Vol. 80 Monday, 

No. 168 August 31, 2015 

Part II 

Commodity Futures Trading Commission 

17 CFR Part 45 

Amendments to Swap Data Recordkeeping and Reporting Requirements 

for Cleared Swaps; Proposed Rule 


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52544 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / 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/DoddFrankAct/index.htm. 

3 7 U.S.C. 1, et seq. 

4See also CEA sections 1a(40)(E) and 1a(48). 

5Regulations governing core principles and 

registration requirements for, and the duties of, 

SDRs are the subject of part 49 of this chapter. 

COMMODITY FUTURES TRADING 

COMMISSION 

17 CFR Part 45 

RIN 3038–AE12 

Amendments to Swap Data 

Recordkeeping and Reporting 

Requirements for Cleared Swaps 

AGENCY: Commodity Futures Trading 

Commission. 

ACTION: Notice of proposed rulemaking. 

SUMMARY: The Commodity Futures 

Trading Commission (‘‘Commission’’ or 

‘‘CFTC’’) is proposing amendments to 

rules relating to swap data reporting in 

connection with cleared swaps for swap 

data repositories (‘‘SDRs’’), derivatives 

clearing organizations (‘‘DCOs’’), 

designated contract markets (‘‘DCMs’’), 

swap execution facilities (‘‘SEFs’’), swap 

dealers (‘‘SDs’’), major swap 

participants (‘‘MSPs’’), and swap 

counterparties who are neither SDs nor 

MSPs. Commodity Exchange Act 

(‘‘CEA’’ or ‘‘Act’’) provisions relating to 

swap data recordkeeping and reporting 

were added by the Dodd-Frank Wall 

Street Reform and Consumer Protection 

Act (‘‘Dodd-Frank Act’’). The proposed 

amendments to the rules further the 

goals of the Dodd-Frank Act to reduce 

systemic risk, increase transparency and 

promote market integrity within the 

financial system. 

DATES: Comments must be received on 

or before October 30, 2015. 

ADDRESSES: You may submit comments, 

identified by ‘‘Amendments to Swap 

Data Recordkeeping and Reporting 

Requirements for Cleared Swaps’’ and 

RIN 3038–AE12, by any of the following 

methods: 

• CFTC Web site: http://

comments.cftc.gov. Follow the 

instructions for submitting comments 

through the Comments Online process 

on the Web site. 

• Mail: Send to Christopher 

Kirkpatrick, Secretary of the 

Commission, Commodity Futures 

Trading Commission, Three Lafayette 

Centre, 1155 21st Street NW., 

Washington, DC 20581. 

• Hand Delivery/Courier: Same as 

Mail, above. 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

Please submit your comments using 

only one of these methods. 

All comments must be submitted in 

English, or if not, accompanied by an 

English translation. Comments will be 

posted as received to www.cftc.gov. You 

should submit only information that 

you wish to make available publicly. If 

you wish the Commission to consider 

information that you believe 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 procedures established in § 145.9 

of the Commission’s regulations.1

The Commission reserves the right, 

but shall have no 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 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 and other 

applicable laws, and may be accessible 

under the Freedom of Information Act. 

FOR FURTHER INFORMATION CONTACT: Dan 

Bucsa, Deputy Director, Division of 

Market Oversight, 202–418–5435, 

dbucsa@cftc.gov; Aaron Brodsky, 

Special Counsel, Division of Market 

Oversight, 202–418–5349, abrodsky@

cftc.gov; Ben DeMaria, Special Counsel, 

Division of Market Oversight, 202–418– 

5988, bdemaria@cftc.gov; Esen Onur, 

Economist, Office of the Chief 

Economist, 202–418–6146, eonur@

cftc.gov; or Mike Penick, Economist, 

Office of the Chief Economist, 202–418– 

5279, mpenick@cftc.gov; Commodity 

Futures Trading Commission, Three 

Lafayette Centre, 1151 21st Street NW., 

Washington, DC 20581. 

SUPPLEMENTARY INFORMATION: 

Table of Contents 

I. Background 

A. Introduction 

B. Statutory Authority 

C. Regulatory History—Part 45 Final 

Rulemaking 

D. Consultation With Other U.S. Financial 

Regulators 

E. Summary of Proposed Revisions to Part 

45 

II. Proposed Regulations 

A. Definitions—Proposed Amendments to 

§ 45.1 

B. Swap Data Reporting: Creation Data— 

Proposed Amendments to § 45.3 

C. Swap Data Reporting: Continuation 

Data—Proposed Amendments to § 45.4 

D. Unique Swap Identifiers—Proposed 

Amendments to § 45.5 

E. Determination of Which Counterparty 

Must Report—Proposed Amendments to 

§ 45.8 

F. Reporting to a Single Swap Data 

Repository—Proposed Amendments to 

§ 45.10 

G. Examples of Cleared Swap Reporting 

Workflows Under the Proposed 

Revisions 

H. Primary Economic Terms Data— 

Proposed Amendments to Appendix 1 to 

Part 45—Tables of Minimum Primary 

Economic Terms 

III. Request for Comments 

IV. Related Matters 

A. Regulatory Flexibility Act 

B. Paperwork Reduction Act 

C. Cost-Benefit Considerations 

D. Antitrust Considerations 

I. Background 

A. Introduction 

On July 21, 2010, President Obama 

signed into law the Dodd-Frank Act.2

Title VII of the Dodd-Frank Act 

amended the CEA 3 to establish a 

comprehensive new regulatory 

framework for swaps and security-based 

swaps. The legislation was enacted to 

reduce systemic risk, increase 

transparency, and promote market 

integrity within the financial system by, 

among other things: providing for the 

registration and comprehensive 

regulation of SDs and MSPs; imposing 

clearing and trade execution 

requirements on standardized derivative 

products; creating rigorous 

recordkeeping and data reporting 

regimes with respect to swaps, 

including real time reporting; and 

enhancing the Commission’s 

rulemaking and enforcement authorities 

with respect to, among others, all 

registered entities, intermediaries, and 

swap counterparties subject to the 

Commission’s oversight. 

B. Statutory Authority 

To enhance transparency, promote 

standardization, and reduce systemic 

risk, section 727 of the Dodd-Frank Act 

added to the CEA section 2(a)(13)(G), 

which requires all swaps, whether 

cleared or uncleared, to be reported to 

SDRs, which are registered entities 4

created by section 728 of the DoddFrank Act to collect and maintain data 

related to swap transactions as 

prescribed by the Commission, and to 

make such data available to the 

Commission and other regulators.5

Section 21(b) of the CEA, added by 

section 728 of the Dodd-Frank Act, 

directs the Commission to prescribe 

standards for swap data recordkeeping 


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Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52545 

6CEA section 21(b)(1)(A). 

7CEA section 21(b)(3). 

8See ‘‘Swap Data Recordkeeping and Reporting 

Requirements,’’ 77 FR 2136, Jan. 13, 2012. 

9See 17 CFR 45.1 (defining ‘‘required swap 

creation data’’ as ‘‘all primary economic terms data 

for a swap in the swap asset class in question, and 

all confirmation data for the swap.’’) ‘‘Primary 

economic terms data’’ is defined as ‘‘all of the data 

elements necessary to fully report all of the primary 

economic terms of a swap in the swap asset class 

of the swap in question,’’ while ‘‘confirmation data’’ 

is defined as ‘‘all of the terms of a swap matched 

and agreed upon by the counterparties in 

confirming the swap. For cleared swaps, 

confirmation data also includes the internal 

identifiers assigned by the automated systems of the 

[DCO] to the two transactions resulting from 

novation to the clearing house.’’ Id. See also 17 CFR 

45.3. 

10See 17 CFR 45.1 (defining ‘‘required swap 

continuation data’’ as ‘‘all of the data elements that 

must be reported during the existence of a swap to 

ensure that all data concerning the swap in the 

swap data repository remains current and accurate, 

and includes all changes to the primary economic 

terms of the swap occurring during the existence of 

the swap. . . . ’’ See also 17 CFR 45.4. 

11See Press Release, CFTC to Form an 

Interdivisional Working Group to Review 

Regulatory Reporting, Jan. 21, 2014, available at 

http://www.cftc.gov/PressRoom/PressReleases/

pr6837-14. 

12See ‘‘Review of Swap Data Recordkeeping and 

Reporting Requirements,’’ Request for Comment, 79 

FR 16689, Mar. 26, 2014. 

13 Id. at 16694. 

14Commenters included: The American Gas 

Association, May 27, 2014; American Petroleum 

Institute, May 27, 2014; Americans for Financial 

Reform, May 27, 2014 (‘‘AFR’’); Australian Bankers’ 

Association, May 27, 2014 (‘‘ABA’’); Better Markets, 

Inc., May 27, 2014, (‘‘Better Markets’’); B&F Capital 

Markets, Inc., May 27, 2014; CME Group, May 27, 

2014 (‘‘CME’’); Coalition for Derivatives End-Users, 

May 27, 2014 (‘‘CDEU’’); Coalition of Physical 

Energy Companies, May 27, 2014; Commercial 

Energy Working Group, May 27, 2014 (‘‘CEWG’’); 

Commodity Markets Council, May 27, 2014 

(‘‘CMC’’); The Depository Trust & Clearing 

Corporation, May 27, 2014 (‘‘DTCC’’); EDF Trading 

North America, LLC, May 27, 2014; Edison Electric 

Institute, May 27, 2014 (‘‘EEI’’); Financial 

InterGroup Holdings Ltd, May 27, 2014; Financial 

Services Roundtable, May 27, 2014; Fix Trading 

Community, May 27, 2014; The Global Foreign 

Exchange Division of the Global Financial Markets 

Association, May 27, 2014 (‘‘GFMA’’); HSBC, May 

27, 2014; Interactive Data Corporation, May 27, 

2014; Intercontinental Exchange, May 27, 2014 

(‘‘ICE’’); International Energy Credit Association, 

May 27, 2014; International Swaps and Derivatives 

Association, Inc., May 23, 2014 (‘‘ISDA’’); Japanese 

Bankers Association, May 27, 2014 (‘‘JBA’’); Just 

Energy Group Inc., May 27, 2014; LCH.Clearnet 

Group Limited, May 29, 2014 (‘‘LCH’’); Managed 

Funds Association, May 27, 2014 (‘‘MFA’’); Markit, 

May 27, 2014; Natural Gas Supply Association, May 

27, 2014 (‘‘NGSA’’); NFP Electric Associations 

(National Rural Electric Cooperative Association, 

American Public Power Association, and Large 

Public Power Council), May 27, 2014 (‘‘NFPEA’’); 

OTC Clearing Hong Kong Limited, May 27, 2014 

(‘‘OTC Hong Kong’’); Securities Industry and 

Financial Markets Association Asset Management 

Group, May 27, 2014 (‘‘SIFMA’’); SWIFT, May 27, 

2014; Swiss Re, May 27, 2014; Thomson Reuters 

(SEF) LLC, May 27, 2014 (‘‘TR SEF’’); and 

TriOptima, May 27, 2014. 

15See 17 CFR 39.12(b)(6) (requiring a DCO that 

clears swaps to ‘‘have rules providing that, upon 

acceptance of a swap by the [DCO] for clearing: (i) 

The original swap is extinguished; (ii) the original 

swap is replaced by an equal and opposite swap 

between the [DCO] and each clearing member 

acting as principal for a house trading or acting as 

agent for a customer trade . . .’’). The Commission 

reaffirmed its position regarding the composition of 

a cleared swap in a statement regarding Chicago 

Mercantile Exchange (‘‘CME’’) Rule 1001. See 

Statement of the Commission on the Approval of 

CME Rule 1001 at 6, Mar. 6, 2013, available at 

http://www.cftc.gov/ucm/groups/public/@

newsroom/documents/file/

statementofthecommission.pdf. 

16See ‘‘Regulation SBSR—Reporting and 

Dissemination of Security-Based Swap 

Information,’’ 80 FR 14740, Mar. 19, 2015. 

and reporting, which are to apply to 

both registered entities and 

counterparties involved with swaps 6

and which are to be comparable to those 

for clearing organizations in connection 

with their clearing of swaps.7

C. Regulatory History—Part 45 Final 

Rulemaking 

On December 20, 2011, the 

Commission adopted part 45 of the 

Commission’s regulations (‘‘Final Part 

45 Rulemaking’’).8 Part 45 implements 

the requirements of section 21 of the 

CEA by setting forth the manner and 

contents of reporting to SDRs, and 

requires electronic reporting both when 

a swap is initially executed, referred to 

as ‘‘creation’’ data,9 and over the course 

of the swap’s existence, referred to as 

‘‘continuation’’ data.10 The part 45 

regulations set forth varying reporting 

timeframes depending on the type of 

reporting, counterparty, execution, or 

product. 

As part of the Commission’s ongoing 

efforts to improve swap transaction data 

quality and to improve the 

Commission’s ability to utilize the data 

for regulatory purposes, Commission 

staff has continued to evaluate reporting 

issues relating to the operation of part 

45, and cleared swaps in particular. 

Commission staff’s efforts included the 

formation of an interdivisional staff 

working group to identify, and make 

recommendations to resolve, reporting 

challenges associated with certain 

swaps transaction data recordkeeping 

and reporting provisions, including the 

provisions adopted in the Final Part 45 

Rulemaking.11

Based in large part on those efforts, 

the Commission ultimately requested 

comment on a variety of swap data 

reporting and recordkeeping provisions 

to help determine how such provisions 

were being applied and to determine 

whether or what clarifications or 

enhancements may be appropriate.12

One of the subjects of the request for 

comment was the reporting of cleared 

swaps, and, in particular, the manner in 

which the swap data reporting rules 

should address cleared swaps.13 In 

response to this request, the 

Commission received a number of 

comment letters addressing reporting of 

cleared swaps.14 References to 

‘‘commenters’’ throughout this release 

refer to those who submitted such 

comment letters, and summaries and a 

discussion of the general themes raised 

by those commenters appear in the 

relevant sections throughout this 

release. 

The swap data reporting framework 

adopted in the Final Part 45 Rulemaking 

was largely based on the mechanisms 

for the trading and execution of 

uncleared swaps. Under such a regime, 

swap data reporting was premised upon 

the existence of one continuous swap 

for reporting and data representation 

purposes. The Commission has since 

had additional opportunities to consult 

with industry and to observe how the 

part 45 regulations function in practice 

with respect to swaps that are cleared, 

including how the implementation of 

part 45 interacts with the 

implementation of part 39 of the 

Commission’s regulations, which 

contains provisions applicable to DCOs. 

In particular, § 39.12(b)(6) provides 

that upon acceptance of a swap by a 

DCO for clearing, the original swap is 

extinguished and replaced by equal and 

opposite swaps, with the DCO as the 

counterparty to each such swap.15 The 

original swap that is extinguished upon 

acceptance for clearing is commonly 

referred to as the ‘‘alpha’’ swap and the 

equal and opposite swaps that replace 

the original swap are commonly referred 

to as ‘‘beta’’ and ‘‘gamma’’ swaps. The 

Commission has observed that certain 

provisions of part 45 could better 

accommodate the cleared swap 

framework set forth in § 39.12(b)(6). The 

revisions and additions proposed in this 

release are intended to provide clarity to 

swap counterparties and registered 

entities of their part 45 reporting 

obligations with respect to the swaps 

involved in a cleared swap transaction. 

This proposal is also intended to 

improve the efficiency of data collection 

and maintenance associated with the 

reporting of the swaps involved in a 

cleared swap transaction. 

Where possible, the Commission has 

endeavored to harmonize the rules 

proposed in this release with the 

approach proposed by the Securities 

and Exchange Commission (‘‘SEC’’) in 

its release proposing certain new rules 

and rule amendments to Regulation 

SBSR—Reporting and Dissemination of 

Security-Based Swap Information 

(‘‘Regulation SBSR’’).16 The SEC release 

proposed new rules and rule 

amendments to Regulation SBSR, 


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17The comment file is available at http://

www.sec.gov/comments/s7-03-15/s70315.shtml. 

18The discussion of comments received by the 

SEC on its release proposing new rules and rule 

amendments to Regulation SBSR reflects the 

Commission’s understanding of the comment letters 

and do not necessarily reflect the views of the SEC. 

Comments received by the SEC in response to its 

release proposing new rules and rule amendments 

to Regulation SBSR are denoted as ‘‘Regulation 

SBSR Comment Letter’’ throughout this release. 

19As summarized in this release, references to 

SDRs in Regulation SBSR Comment Letters in some 

cases have been replaced with ‘‘SB–SDR’’ to 

delineate between the SEC and the Commission 

SDR registration regimes, respectively. Throughout 

this release, references to ‘‘SDR’’ refer to SDRs 

registered with the Commission. 

20See Depository Trust and Clearing Corporation 

Regulation SBSR Comment Letter, May 4, 2015, at 

4–6 (advocating for all records related to a single 

alpha trade to be reported to a single SB–SDR and 

suggesting an alternative to the SEC’s proposed 

rules); Better Markets, Inc. Regulation SBSR 

Comment Letter, May 4, 2015, at 2, 4 (stating that 

the SEC must ensure it is easy to commingle and 

use data from two different SDRs and enable beta 

and gamma trades to be traced back to the alpha 

trade, and, if not, that the SEC must require the 

alpha, beta, and gamma trades to all be reported to 

the same SDR); and Markit Regulation SBSR 

Comment Letter, May 4, 2015, at 3, 6. 

21SEC Rule 900(g) defines ‘‘clearing transaction’’ 

as ‘‘a security-based swap that has a registered 

clearing agency as a direct counterparty.’’). See 

Regulation SBSR—Reporting and Dissemination of 

Security-Based Swap Information,’’ 80 FR 14564, 

Mar. 19, 2015. 

22See International Swaps and Derivatives 

Association, Inc. and Securities Industry and 

Financial Markets Association Regulation SBSR 

Comment Letter, May 4, 2015, at 24 (noting that 

clearing agencies have demonstrated their ability 

and preference to report data for cleared 

transactions in other jurisdictions globally and 

under the CFTC rules) and ICE Trade Vault, LLC 

Regulation SBSR Comment Letter, May 4, 2015, at 

1, 3, 5 (stating that for cleared security-based swaps, 

the clearing agency is the sole party who holds the 

complete and accurate record of transactions and 

positions, and that no other party has complete 

information about the resulting swaps and the 

subsequent downstream clearing processes that 

affect those swaps). 

23See International Swaps and Derivatives 

Association, Inc. and Securities Industry and 

Financial Markets Association Regulation SBSR 

Comment Letter at 24 (noting that such a 

requirement would prevent the ‘‘orphaning’’ of 

alphas that currently occurs under CFTC rules) and 

ICE Trade Vault, LLC Regulation SBSR Comment 

Letter at 5 (noting that the SDR should immediately 

accept and process the alpha termination and that 

clearing agencies are the sole reporting side that can 

report alpha terminations). 

24The ‘‘reporting side’’ under SEC rules is a 

similar concept to the ‘‘reporting counterparty’’ 

under part 45 of the Commission’s rules. 

25See Markit Regulation SBSR Comment Letter at 

15. 

26See International Swaps and Derivatives 

Association, Inc. and Securities Industry and 

Financial Markets Association Regulation SBSR 

Comment Letter at 25. 

27The Commission is also proposing to amend 

the part 45 authority citation to replace a reference 

to 7 U.S.C. 24 with a reference to 7 U.S.C. 24a. 

which, in pertinent part, address the 

reporting to a registered security-based 

swap data repository of security-based 

swaps that will be submitted to clearing. 

The SEC received a number of 

comments on its release,17 and, given 

the similarities between the reporting 

framework set forth in the proposed 

new rules and rule amendments to 

Regulation SBSR and the proposed 

amendments to part 45 that are the 

subject of this release, the Commission 

also includes in this release the 

following discussion of the general 

themes raised in the Regulation SBSR 

comment letters: 18

Several commenters expressed 

concerns that allowing the clearing 

agency to report data to a different 

security-based SDR (‘‘SB–SDR’’) 19 than 

the SB–SDR to which an initial alpha 

trade was reported could result in 

bifurcated data, and contended that beta 

and gamma trades should be reported to 

the same SB–SDR as the alpha trade in 

order to facilitate data aggregation and 

to allow regulators easy access to all of 

the data for a particular swap 

transaction.20

Some commenters expressed support 

for modifications which would assign 

the sole reporting duty for a clearing 

transaction 21 to the registered clearing 

agency, provided that the SEC adopts its 

proposal to assign the clearing agency 

the sole reporting obligation for clearing 

transactions and that the SEC allows the 

registered clearing agency to select the 

SB–SDR to which it reports.22

Some commenters agreed with the 

SEC’s proposed addition of a 

requirement that the registered clearing 

agency report whether it has accepted 

an alpha for clearing to the alpha SB– 

SDR in the format required by such SB– 

SDR.23 Another commenter contended 

that if the reporting side 24 to the alpha 

selected the SB–SDR to receive the beta 

and gamma trades, the clearing agency 

would not have to report to the alpha 

SB–SDR that the security-based swap 

has been accepted for clearing.25

Some commenters acknowledged the 

value of the proposal to require the 

party required to report the alpha to 

provide the clearing agency with the 

transaction ID of the alpha and the 

identity of the alpha SB–SDR, noting 

that the Unique Transaction Identifier 

has already been incorporated into 

submission flows to clearing agencies 

for use in reporting in other 

jurisdictions.26

D. Consultation With Other U.S. 

Financial Regulators 

In developing these rules, 

Commission staff has engaged in 

extensive consultations with U.S. 

domestic financial regulators. The 

agencies and institutions consulted 

include the SEC, the Federal Reserve 

Board of Governors, the Federal 

Housing Finance Agency, the Federal 

Deposit Insurance Corporation, Office of 

Comptroller of the Currency, and the 

Farm Credit Administration. 

E. Summary of Proposed Revisions to 

Part 45 

The Commission is proposing 

revisions and additions to §§ 45.1, 45.3, 

45.4, 45.5, 45.8, 45.10, and appendix 1 

to part 45 in order to provide clarity to 

counterparties to a swap and registered 

entities regarding their part 45 reporting 

obligations with respect to each of the 

swaps involved in a cleared swap 

transaction.27 The Commission 

proposes the following amendments, 

each of which is discussed in greater 

detail in Section II of this release: 

• Amendments to § 45.1 would revise 

the definition of ‘‘derivatives clearing 

organization’’ to update a crossreference and to make explicit that the 

definition covers only registered DCOs. 

Revised § 45.1 would also add new 

definitions for ‘‘original swaps’’ and 

‘‘clearing swaps.’’ These proposed terms 

would be used throughout part 45 to 

help clarify reporting obligations for the 

swaps involved in a cleared swap 

transaction. 

• Amendments to § 45.3 would: 

Modify and clarify DCO creation data 

reporting obligations for swaps that 

result from the clearing process; 

establish which entity has the obligation 

to choose the SDR to which creation 

data is reported; eliminate confirmation 

data reporting obligations for swaps that 

are intended to be submitted to a DCO 

for clearing at the time of execution; and 

make conforming changes. 

• Amendments to § 45.4 would 

modify and clarify continuation data 

reporting obligations for original swaps, 

including the obligation to report 

original swap terminations to the SDR to 

which the original swap was reported; 

modify and clarify the obligation to 

report data providing for the linking of 

original and clearing swaps and the 

original and clearing swap SDRs; 

remove the requirement for SD/MSP 

reporting counterparties to report daily 

valuation data for cleared swaps; and 

would make conforming changes. 

• Amendments to § 45.5 would set 

forth a DCO’s obligations to create, 

transmit, and use unique swap 

identifiers (‘‘USIs’’) to identify clearing 

swaps. 

• Amendments to § 45.8 would 

provide that the DCO will be the 

reporting counterparty for clearing 

swaps. 

• Amendments to § 45.10 would 

provide that all swap data for a given 


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28 7 U.S.C. 7a–1(a). 

29See 17 CFR 39.12(b)(6). 

30For example, in the preamble to the part 39 

adopting release, the Commission noted that ‘‘open 

offer’’ systems are acceptable under § 39.12(b)(6), 

stating that ‘‘Effectively, under an open offer system 

there is no ‘original’ swap between executing 

parties that needs to be novated; the swap that is 

created upon execution is between the DCO and the 

clearing member, acting either as principal or 

agent.’’). ‘‘Derivatives Clearing Organization 

General Provisions and Core Principles,’’ 76 FR 

69334, 69361, Nov. 8, 2011. 

31See 17 CFR 39.12(b)(6). Clearing swaps would 

not be executed on or pursuant to the rules of a SEF 

or DCM as such swaps are created by a DCO. 

clearing swap, and all swap data for 

each clearing swap that replaces a 

particular original swap (and each equal 

and offsetting clearing swap that is 

created upon execution of the same 

transaction and that does not replace an 

original swap), must be reported to a 

single SDR. Amendments would also 

make conforming changes. 

• Amendments to appendix 1 would 

modify certain existing PET data fields 

and certain explanatory notes in the 

Comment sections for existing PET data 

fields, and would add several new PET 

data fields to account for the 

clarifications provided in this release for 

the reporting of clearing swaps. 

II. Proposed Regulations 

Throughout Section II of this release, 

the Commission will outline each 

existing provision the Commission is 

proposing to amend, discuss each 

proposed amendment, and request 

comments about the proposed 

amendments. The Commission has also 

included several examples to 

demonstrate how cleared swap 

reporting workflows would function 

under the proposed revisions. 

A. Definitions—Proposed Amendments 

to § 45.1 

1. Existing § 45.1 

The Commission is proposing to 

revise the definition of ‘‘derivatives 

clearing organization’’ in § 45.1 and to 

add definitions for the terms ‘‘original 

swap’’ and ‘‘clearing swap’’ to § 45.1. 

2. Proposed Amendments and 

Additions to § 45.1 

i. ‘‘Derivatives Clearing Organization’’ 

Currently, § 45.1 defines ‘‘derivatives 

clearing organization,’’ as used in part 

45, to have the meaning ‘‘set forth in 

CEA section 1a(9), and any Commission 

regulation implementing that Section, 

including, without limitation, § 39.5 of 

this chapter.’’ However, the CEA 

currently defines ‘‘derivatives clearing 

organization’’ in section 1a(15), not 

section 1a(9). 

The Commission proposes to revise 

the definition of ‘‘derivatives clearing 

organization’’ in § 45.1 so that it crossreferences the definition provided in 

§ 1.3(d) of the Commission’s regulations 

and so that it explicitly refers to a DCO 

registered with the Commission under 

section 5b(a) of the CEA.28 The 

proposed modification would redefine a 

‘‘derivatives clearing organization’’ for 

purposes of part 45 to mean ‘‘a 

derivatives clearing organization, as 

defined by § 1.3(d) of this chapter, that 

is registered with the Commission.’’ 

ii. ‘‘Original Swap’’ and ‘‘Clearing 

Swap’’ 

As discussed earlier in this release, a 

cleared-swap transaction generally 

comprises an original swap that is 

terminated upon novation, and the 

equal and opposite swaps that replace 

it, with the DCO as the counterparty for 

each swap that replaces the original 

swap.29 The existing part 45 regulations 

do not clearly delineate the swap data 

reporting requirements associated with 

each of the swaps involved in a clearedswap transaction. Accordingly, the 

Commission proposes to add definitions 

of ‘‘original swap’’ and ‘‘clearing swap’’ 

to part 45 so that the part 45 reporting 

rules will be more consistent with the 

regulations applicable to DCOs set forth 

in § 39.12(b)(6). 

The Commission is proposing to 

define ‘‘original swap’’ as ‘‘a swap that 

has been accepted for clearing by a 

derivatives clearing organization’’ and 

‘‘clearing swap’’ as ‘‘a swap created 

pursuant to the rules of a derivatives 

clearing organization that has a 

derivatives clearing organization as a 

counterparty, including any swap that 

replaces an original swap that was 

extinguished upon acceptance of such 

original swap by the derivatives clearing 

organization for clearing.’’ 

As noted above, while a cleared-swap 

transaction generally comprises an 

original swap that is terminated upon 

novation and the equal and opposite 

swaps that replace it, the Commission is 

aware of certain circumstances in which 

a cleared swap transaction may not 

involve the replacement of an original 

swap.30 Accordingly, the proposed 

definition of ‘‘clearing swap’’ is 

intended to encompass: (1) Swaps to 

which the DCO is a counterparty and 

that replace an original swap (i.e., swaps 

commonly known as betas and gammas) 

and (2) all other swaps to which the 

DCO is a counterparty (even if such 

swap does not replace an original swap). 

As noted above, while original swaps 

are commonly referred to as ‘‘alpha’’ 

swaps and while the equal and opposite 

swaps that replace the original swap are 

commonly referred to as ‘‘beta’’ and 

‘‘gamma’’ swaps, the Commission will 

use the proposed defined terms 

‘‘original swap’’ and ‘‘clearing swap’’ 

throughout this section of the release. 

The proposed definition of original 

swap will provide clarity with respect to 

certain continuation data reporting 

requirements for such swaps by tying 

such obligations to a specific point in 

time in the life of a swap that is either 

intended to be submitted to a DCO for 

clearing at the time of execution, or that 

is not intended to be cleared at the time 

of execution but is later submitted to a 

DCO for clearing. The Commission 

notes that under the proposed 

definition, a swap that is submitted to 

a DCO for clearing can become an 

original swap by virtue of the DCO’s 

acceptance of such swap for clearing, 

irrespective of: (1) Whether such swap 

is executed on or pursuant to the rules 

of a SEF or DCM or off-facility; (2) 

whether or not such swap is subject to 

the clearing requirement; and (3) 

whether such swap is intended to be 

cleared at the time of execution or not 

intended to be cleared at the time of 

execution, but subsequently submitted 

to a DCO for clearing.31

3. Request for Comment 

The Commission requests comment 

on all aspects of the proposed revised 

and proposed new definitions in § 45.1. 

The Commission also invites comments 

on the following: 

(1) Is the Commission’s proposed 

definition of ‘‘original swap’’ 

sufficiently clear and complete? If not, 

please provide detail about aspects of 

the definition that you believe are 

insufficiently clear or inadequately 

addressed. 

(2) Is the Commission’s proposed 

definition of ‘‘clearing swap’’ 

sufficiently clear and complete, and 

does it, together with the proposed 

definition of ‘‘original swap,’’ 

adequately account for all components 

of a cleared swap transaction and for all 

types of cleared swap transactions? If 

not, please provide detail about aspects 

of the definition that you believe are 

insufficiently clear or inadequately 

addressed. 

(3) Is the Commission’s proposed 

revised definition of ‘‘derivatives 

clearing organization’’ sufficiently clear 

and complete? If not, please provide 

detail about aspects of the definition 

that you believe are insufficiently clear 

or inadequately addressed. 

(4) Are any other new defined terms 

necessary regarding swap data 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
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32Section 45.1 defines ‘‘required swap creation 

data’’ as primary economic terms data and 

confirmation data. Section 45.1 defines ‘‘primary 

economic terms data’’ as ‘‘all of the data elements 

necessary to fully report all of the primary 

economic terms of a swap in the swap asset class 

of the swap in question’’ and defines ‘‘confirmation 

data’’ as ‘‘all of the terms of a swap matched and 

agreed upon by the counterparties in confirming the 

swap. For cleared swaps, confirmation data also 

includes the internal identifiers assigned by the 

automated systems of the derivatives clearing 

organization to the two transactions resulting from 

novation to the clearing house.’’ 17 CFR 45.1. 

33See 17 CFR 45.3(a)(2), (b)(2), (c)(1)(ii), (c)(2)(ii), 

and (d)(2). 

34See 17 CFR 45.3(b)(1), (c)(1)(i), (c)(2)(i), and 

(d)(1). 

35Currently, § 45.8 establishes a hierarchy under 

which the reporting counterparty for a particular 

swap is determined, depending generally on the 

registration status of the counterparties involved in 

the swap. That hierarchy does not explicitly 

mention DCOs. Accordingly, the Commission is 

proposing § 45.8(i), which would establish the DCO 

as the reporting counterparty for all clearing swaps. 

This proposed change is discussed in greater detail 

in Section II.E. of this release. The Commission is 

also proposing conforming amendments to 

§ 45.4(b)(1) and (2) to add the phrase ‘‘as reporting 

counterparty’’ after ‘‘derivatives clearing 

organization’’ to make clear that the DCO will be 

the reporting counterparty for purposes of those 

provisions. 

36Swaps created by a DCO under § 39.12(b)(6) are 

a type of clearing swap as defined in this release, 

and thus could not be executed on or pursuant to 

the rules of a SEF or DCM. Additionally, a DCO 

would not report creation data for a swap that was 

executed on or pursuant to the rules of a SEF or 

DCM, or for an off-facility swap that is submitted 

to the DCO for clearing, because, under § 45.3(a) 

through (d), the SEF/DCM or reporting counterparty 

would be responsible for reporting creation data for 

such swaps after execution. Under the proposed 

revisions to § 45.3, a DCO will not have creation 

data reporting obligations for swaps to which it is 

not a counterparty and that are not clearing swaps. 

recordkeeping and reporting 

requirements of part 45 with respect to 

cleared swaps? 

(5) Are the terms as defined in § 45.1 

adequately clear with respect to the 

existing swap data recordkeeping and 

reporting requirements of part 45? If not, 

please explain. 

B. Swap Data Reporting: Creation 

Data—Proposed Amendments to § 45.3 

1. Existing § 45.3 

Regulation 45.3 requires reporting to 

an SDR of two types of ‘‘creation data’’ 

generated in connection with a swap’s 

creation: ‘‘Primary economic terms 

data’’ and ‘‘confirmation data.’’ 32

Regulation 45.3 governs what creation 

data must be reported, who must report 

it, and deadlines for its reporting. 

Regulation 45.3 imposes swap data 

reporting requirements with respect to 

both primary economic terms data and 

confirmation data to different reporting 

counterparties and entities depending 

on whether the swap is executed on or 

pursuant to the rules of a SEF or DCM 

(§ 45.3(a)), subject to mandatory clearing 

and executed off-facility (§ 45.3(b)), or 

not subject to mandatory clearing and 

executed off-facility (§ 45.3(c) and (d)). 

Regulation 45.3 also addresses specific 

creation data reporting requirements in 

circumstances where a swap is accepted 

for clearing by a DCO,33 including 

excusing the reporting counterparty 

from reporting creation data in certain 

circumstances.34

2. Proposed Amendments to § 45.3 

As noted above, the Commission has 

had an opportunity to observe how the 

part 45 regulations function in practice 

with respect to swaps that are cleared. 

While CEA section 2(a)(13)(G) requires 

each swap (whether cleared or 

uncleared) to be reported to a registered 

SDR, the Commission understands that 

the interplay between the § 45.3 

reporting requirements applicable to 

SEFs, DCMs and reporting 

counterparties, and the reporting 

requirements applicable to DCOs, could 

benefit from greater clarity regarding 

how the subsections of § 45.3 assign 

reporting responsibilities for each of the 

swaps involved in a cleared-swap 

transaction. Accordingly, the 

Commission proposes several additions 

and deletions so that § 45.3 will better 

delineate the creation data reporting 

requirements associated with each swap 

involved in a cleared swap transaction. 

The Commission also proposes several 

modifications to clarify existing 

requirements. 

i. Proposed Revised References to 

Clearing Requirement Exceptions and 

Exemptions 

Currently, §§ 45.3 and 45.8 include 

references to the end-user exception to 

the swap clearing requirement set forth 

in section 2(h)(7) of the CEA. Following 

the publication of the Final Part 45 

Rulemaking, the Commission codified 

the end-user exception in § 50.50 and 

published Two exemptions to the swap 

clearing requirement: The inter-affiliate 

exemption (§ 50.52) and the financial 

cooperative exemption (§ 50.51). The 

Commission is thus proposing to revise 

the introductory language of § 45.3, 

§§ 45.3(b) through (d), and 45.8(h)(1)(vi) 

to reflect that exceptions to, and 

exemptions from the clearing 

requirement are now codified in part 50 

of the Commission’s regulations. 

ii. Proposed Addition of § 45.3(e)— 

Clearing Swaps 

Currently, paragraphs (a) through (d) 

of § 45.3 govern creation data reporting 

for swaps executed on or pursuant to 

the rules of a SEF or DCM and for offfacility swaps, but do not separately 

address creation data reporting for 

swaps created through the clearing 

process by a DCO (i.e., clearing swaps). 

Accordingly, the Commission is 

proposing to renumber existing 

paragraph (e) (Allocations) of § 45.3 as 

paragraph (f), and to add newly 

proposed paragraph (e) to § 45.3, which 

would exclusively govern creation data 

reporting requirements for clearing 

swaps. The Commission also proposes 

to revise the introductory language of 

§ 45.3 to make clear that paragraphs (a) 

through (d) apply to all swaps except 

clearing swaps, while paragraph (e) 

applies to clearing swaps. 

The proposed revisions to § 45.3(e) 

would require a DCO, as reporting 

counterparty under proposed § 45.8(i),35

to report all required swap creation data 

for each clearing swap, either as soon as 

technologically practicable after an 

original swap is accepted by the DCO 

for clearing (in the event that the 

clearing swap replaced an original 

swap), or as soon as technologically 

practicable after execution of a clearing 

swap (in the event that the clearing 

swap does not replace an original swap). 

Additionally, under the proposed 

revisions to § 45.3(e), required swap 

creation data for clearing swaps must be 

provided to a registered SDR 

electronically by the DCO and must 

include all primary economic terms 

(‘‘PET’’) data and all confirmation data 

for each clearing swap. 

As noted above, CEA section 

2(a)(13)(G) requires each swap (whether 

cleared or uncleared) to be reported to 

a registered SDR. Proposed paragraphs 

(a) through (e) of § 45.3 would thus 

cover creation data reporting 

requirements for all swaps: Existing 

§ 45.3(a) applies to ‘‘each swap executed 

on or pursuant to the rules of a [SEF] or 

[DCM],’’ existing § 45.3(b) through (d) 

applies to ‘‘all off-facility swaps,’’ and 

proposed § 45.3(e) would apply to 

clearing swaps. The provisions of 

§ 45.3(a) through (d) as proposed to be 

amended in this release would thus 

exclude clearing swaps. Under the 

proposed revisions and amendments to 

§ 45.3, a SEF/DCM or counterparty other 

than the DCO will not have swap data 

reporting obligations with respect to 

clearing swaps. Additionally, proposed 

§ 45.3(a) through (d) would govern the 

creation data reporting requirements for 

swaps, including swaps commonly 

known as ‘‘alpha’’ swaps, regardless of 

whether they later become original 

swaps by virtue of their acceptance for 

clearing.36

In response to the Commission’s 2014 

request for comment, commenters 

disagreed as to whether part 45 should 


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Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52549 

37See TR SEF letter, AFR letter, Markit letter, and 

DTCC letter. 

38See AFR letter at 5 (noting that ‘‘Information 

related to swaps clearing is particularly important 

and in general all life cycle information relevant to 

tracking a swap from initial conception through 

clearing should be included in swaps reporting 

(including the reporting of the initial ‘alpha’ swap 

prior to novation into clearing). Such life cycle 

information will be particularly useful in tracking 

trends in clearing use in swaps markets, including 

both enforcement of the clearing mandate and also 

the optional use of clearing.’’) 

39See Markit letter at 25 (‘‘The reporting 

requirements in relation to the alpha swap should 

not be modified or waived. This is because it will 

often be essential for the Commission to know the 

exact origin of a cleared swap transaction, in 

particular for market surveillance purposes.’’); TR 

SEF letter at 10 (‘‘We do not believe that the 

reporting requirements for an alpha swap should be 

waived because this information is necessary for 

surveillance and audit trail purposes . . . If only 

the beta and gamma swaps are reported, then the 

Commission would not easily see where the swap 

was originally executed.’’); DTCC letter at 17–18 

(arguing that any changes to the Commission’s 

reporting requirements which would not require the 

reporting of swap transaction data to SDRs for all 

swaps would be inconsistent with the CEA, and 

noting that ‘‘[i]n order to understand the origins of 

cleared swaps, regulators must have the ability to 

access and examine the connections between the 

alpha, beta, and gamma swaps. If the Commission’s 

oversight were limited to cleared swap data, it 

would not be able to develop a detailed and 

comprehensive understanding of a swap 

transaction, the trading activities of market 

participants, or the detection of any violations.’’). 

40See SIFMA letter, CEWG letter, MFA letter, and 

ISDA letter. 

41See ISDA letter at 43 (‘‘Therefore there is little 

value to reporting creation data, either PET or 

confirmation, for alpha swaps since they are almost 

immediately superseded by the cleared swaps, and 

thus are not meaningful to an analysis of 

counterparty exposure. We agree that the Part 45 

reporting requirement for alpha swaps that are 

required to be cleared or executed with the intent 

to clear (and subsequently cleared) should be 

waived.’’). 

42See SIFMA letter at 4 (noting that ‘‘. . . 

separately reporting alpha swaps to SDRs can result 

in misleading data being retained by SDRs. This is 

particularly concerning if alpha swaps and the 

subsequent beta-gamma swaps are reported to 

different SDRs, which could potentially result in 

the double-counting of swaps.’’). 

43See LCH letter at 10 (‘‘Part 45 reporting is not 

necessary to the extent that the information 

required by the Commission regarding the 

execution event is already captured directly from 

the execution venue or the execution counterparties 

under Part 43 or other relevant rules.’’). 

44The Commission is also proposing to renumber 

existing § 45.3(a)(1) as § 45.3(a). 

45See DTCC letter at 2 (stating that any 

differentiation between confirmation data reporting 

requirements for cleared and uncleared swaps 

would unnecessarily bifurcate reporting and 

potentially inhibit the Commission’s oversight 

objectives). 

46See ISDA letter at 8 (stating that confirmation 

data should not be required for an alpha trade that 

is intended for clearing at the point of execution 

because such data is not meaningful as the alphas 

will be terminated and replaced with cleared swaps 

simultaneously or shortly after execution, at which 

point confirmation data will be reported by the 

DCO), CME letter at 2, 3, 8 (stating that for intended 

to be cleared swaps, including separate 

confirmation data elements as part of the reporting 

submission to the SDR is redundant and 

unnecessary, and that DCO rules already require the 

generation of a confirmation), ICE letter at 14 

(stating that the Commission should require less 

information for cleared transaction confirmations 

since these confirmation terms are already defined 

in the relevant product specs and rulebooks of 

DCOs). 

require intended to be cleared alpha 

swaps to be reported to registered SDRs. 

Some commenters noted that reporting 

of alpha swaps should continue to be 

required.37 One commenter noted that 

the reporting of alpha swaps provides 

useful information about the execution 

of the alpha swap and information 

regarding the life cycle of a cleared 

swap transaction.38 Other commenters 

noted that the requirement to report 

alpha swaps should not be waived as it 

is essential for the Commission to know 

the origins of a cleared swap 

transaction, and because the reporting of 

alpha swaps provides information 

necessary for surveillance and audittrail purposes.39

On the other hand, some commenters 

contended that alpha swaps should not 

be required to be reported to an SDR.40

One commenter stated that there is little 

value in reporting alpha swaps that are 

intended to be cleared as such swaps 

are, within a short time, superseded by 

beta and gamma swaps.41 Another 

commenter suggested that separately 

reporting alpha swaps can result in 

misleading data and could result in 

double-counting of swap transactions.42

One commenter asserted that part 43 

reporting and other relevant rules 

provide the necessary information 

regarding the execution event.43

The Commission agrees with 

commenters who argued that alpha 

swaps should be required to be 

reported. As these commenters stated, 

alpha swaps contain information 

regarding the origins of a cleared swap 

transaction that is essential for market 

surveillance and audit-trail purposes. It 

is important that this information be 

reported reliably based on the reporting 

hierarchy established and sourced from 

the registered entity or reporting 

counterparty that the Commission 

believes has the easiest and fastest 

access to the data. Consistent reporting 

of alpha swap USIs in creation data for 

beta and gamma swaps, for instance, is 

crucial to the Commission’s ability to 

trace the history of a cleared swap 

transaction from execution between the 

original counterparties to clearing 

novation. Similarly, determining when 

an alpha swap has been terminated aids 

the Commission’s ability to analyze 

cleared swap activity and to review 

swap activity for compliance with the 

clearing requirement. 

Finally, commenters also espoused 

varying views on which counterparty or 

entity should have the part 45 obligation 

to report alpha swaps; these comments 

will be discussed in section II.G. of this 

release. 

iii. Proposed Removal of Provisions 

As noted above, several current 

provisions of § 45.3 impose certain 

creation data reporting requirements on 

a DCO in circumstances where a swap 

is accepted for clearing by a DCO. To 

ensure consistency with § 39.12(b)(6), 

the Commission is proposing to remove 

these creation data reporting provisions 

(current § 45.3(a)(2),44 (b)(2), (c)(1)(ii), 

(c)(2)(ii), and (d)(2)), and to replace 

them with new proposed § 45.3(e), 

described above. 

Additionally, the Commission is 

proposing to remove portions of 

§ 45.3(b)(1), (c)(1)(i), (c)(2)(i), and (d)(1). 

Currently, where both a DCO and 

reporting counterparty have obligations 

under § 45.3 for reporting creation data 

for the same swap, these subsections 

excuse the reporting counterparty from 

reporting creation data if the swap is 

accepted for clearing before any PET 

data is reported by the reporting 

counterparty. Under the proposed rules, 

these excusal provisions would no 

longer be necessary because the 

proposed rules would require DCOs to 

report creation data only for clearing 

swaps, and not for swaps accepted for 

clearing (i.e., original swaps). 

iv. Proposed Removal of Certain 

Confirmation Data Reporting 

Requirements 

Currently, § 45.3(a) through (d) 

requires the SEF/DCM (§ 45.3(a)) or the 

reporting counterparty (§ 45.3(b) 

through (d)) to report both PET and 

confirmation data in order to comply 

with their creation data reporting 

obligations. While one commenter 

suggested that confirmation data 

reported to an SDR should be the same 

for cleared and uncleared swaps,45 other 

commenters contended that 

confirmation data need not be reported 

if the swap is required or intended to be 

cleared.46 The Commission 

preliminarily believes that the 

confirmation data requirements for 

clearing swaps in proposed § 45.3(e) 

would provide the Commission with a 

sufficient representation of the 

confirmation data for a cleared swap 

transaction, because the original swap is 

extinguished upon acceptance for 

clearing and replaced by equal and 

opposite clearing swaps. 

Accordingly, for swaps that are 

intended to be submitted to a DCO for 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52550 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

47The Commission notes that the proposed 

change would only impact certain confirmation 

data reporting and recordkeeping requirements in 

§ 45.3, and does not alter existing obligations to 

generate or exchange confirmations under other 

Commission regulations. 48The Commission also proposes to renumber 

§ 45.3 paragraphs (f), (g), and (h) as paragraphs (g), 

(h), and (i), respectively. 49See, e.g., LCH comment letter at 11. 

50Section 45.3(j) as proposed generally reflects 

the language included in the preamble to the Final 

Part 45 Rulemaking, which provides that ‘‘the SEF 

or DCM would select the SDR for platform-executed 

swaps, and the reporting counterparty would 

choose the SDR for off-facility swaps.’’ See 77 FR 

2136, 2146, Jan. 13, 2012. Under the proposed rule, 

the DCO would have the obligation to choose the 

SDR for clearing swaps. 

51See ICE letter at 4–5 (stating that ‘‘a DCO’s 

choice to report beta and gamma swaps to an 

affiliated SDR is unambiguous,’’ and that while the 

text of part 45 is silent as to whether a DCO selects 

the SDR for cleared swaps, the preambles to both 

part 45 and part 49 contemplate that a DCO can 

adopt rules identifying the SDR to which it will 

report). 

52See Markit letter at 4, 25 (stating that this 

approach: would create a level playing field 

between SDRs, allowing them to compete based on 

the quality of their services; would be simple 

compared to assigning reporting obligations to 

various parties depending on the nature and status 

of the swap transaction; and would increase the 

utility of SDR data for the Commission and for 

market participants) and DTCC letter at 20–21 

(recommending that the Commission clarify that 

DCOs must report data to the SDR that receives the 

data for the alpha and stating that concerns that 

have been raised regarding duplication of records 

for cleared swaps results from the Commission’s 

decision to allow DCOs to report cleared swap data 

to their captive SDRs). 

53Proposed revisions to § 45.10 are discussed in 

Section II.F below. As will be discussed in Section 

II.C below, by operation of § 45.10, DCOs will be 

obligated to report all required continuation data for 

original swaps to the registered SDR (as selected by 

the SEF, DCM, or reporting counterparty pursuant 

to proposed § 45.3(j)) to which required creation 

data for the swap was reported pursuant to § 45.3(a) 

through (d). 

54 17 CFR 45.10. See also section II.F.2, infra. 

55 Id. 

56 Id. 

clearing at the time of execution, the 

Commission proposes to amend 

§ 45.3(a), (b), (c)(1)(iii), (c)(2)(iii), and 

(d)(2) to remove the existing 

confirmation data reporting 

requirements. Under the modified rules, 

SEFs/DCMs and reporting 

counterparties would continue to be 

required to report PET data as part of 

their creation data reporting, but would 

be required to report confirmation data 

only for swaps that, at the time of 

execution, are not intended to be 

submitted to a DCO for clearing. For 

swaps that, at the time of execution, are 

intended to be submitted to a DCO for 

clearing, SEFs/DCMs and reporting 

counterparties would not be required to 

report confirmation data. If the swap is 

accepted for clearing by a DCO, the DCO 

would be required to report 

confirmation data for the clearing swaps 

pursuant to proposed § 45.3(e).47

v. Proposed Revisions to § 45.3(f)— 

Allocations 

The Commission is proposing to 

renumber existing § 45.3(e), which 

governs creation data reporting for 

swaps involving allocation, as 

§ 45.3(f).48 The Commission is also 

proposing to replace the phrase 

‘‘original swap transaction’’ in 

§§ 45.3(f)(2) and 45.8(h)(1)(vii)(D), and 

in the PET data tables found in 

Appendix 1 to part 45, with ‘‘initial 

swap transaction’’ to avoid confusion 

with the term ‘‘original swap,’’ which is 

proposed to be defined in § 45.1. 

vi. Proposed Addition of § 45.3(j): 

Choice of SDR 

Commenters requested that the 

Commission provide guidance as to who 

has the legal right to determine choice 

of SDR.49 In response, the Commission 

is proposing to add new § 45.3(j) in 

order to explicitly establish which 

entity has the obligation to choose the 

SDR to which the required swap 

creation data is reported. As proposed, 

§ 45.3(j) would provide that: for swaps 

executed on or pursuant to the rules of 

a SEF or DCM (including swaps that 

may later become original swaps), the 

SEF or DCM will have the obligation to 

choose the SDR; for all other swaps 

(including for off-facility swaps and/or 

clearing swaps) the reporting 

counterparty (as determined in § 45.8) 

will have the obligation to choose the 

SDR.50

While some commenters 

recommended that the Commission 

affirmatively codify the right of the DCO 

to select the SDR,51 other commenters 

stated that the Commission should 

empower the reporting counterparty of 

the original trade to select the SDR for 

the alpha, beta, and gamma swaps, 

regardless of how the swap was 

executed and whether or not it was 

cleared.52 The Commission believes that 

it is appropriate to place the obligation 

to choose the SDR with the entity that 

has the obligation to make the first 

report of all required swap creation 

data. Doing so permits the entity with 

the obligation to report required swap 

creation data to select an SDR with 

which it may be an existing user and to 

which the entity has established 

connectivity and developed the 

necessary technological protocols and 

procedures for reporting required swap 

creation data. The Commission also 

understands that, in practice, the choice 

of SDR is currently made by such 

entities. 

By virtue of the addition of § 45.3(j) 

and the revisions to § 45.10,53 the entity 

with the obligation to report the initial 

required swap creation data would 

select the SDR to which all subsequent 

swap creation and continuation data for 

that swap would be reported by 

choosing the SDR to which such initial 

required swap creation data is reported. 

Thereafter, all required swap creation 

data and all required swap continuation 

data for a given swap would be reported 

to the same SDR used by the registered 

entity or counterparty.54

Finally, the Commission notes that it 

is aware that there are certain situations 

wherein SEFs, DCMs and reporting 

counterparties for off-facility swap 

transactions may report the part 43 data 

for a swap to an SDR prior to reporting 

the part 45 required creation data for the 

same swap. In such situations, the 

registered entity or reporting 

counterparty has effectively chosen the 

SDR for the swap prior to submitting the 

part 45 data, since, pursuant to § 45.10, 

all swap data for a given swap is 

required to be reported to a single 

SDR.55 For example, if a swap is 

executed on or pursuant to the rules of 

SEF A, and SEF A immediately upon 

execution reports the part 43 data to 

SDR B, prior to reporting part 45 data, 

SEF A has effectively chosen SDR B as 

the SDR for all required creation data for 

the swap, because § 45.10 requires that 

all swap data for a given swap must be 

reported to a single SDR.56 Accordingly, 

in this example, part 45 required 

creation data must be reported to SDR 

B. 

vii. Proposed Removal of Expired 

Compliance Date References 

Currently, § 45.3(b), (c), and (d), and 

the introductory language to § 45.3 

include references to phase-in 

compliance dates that have since 

expired. The Commission is proposing 

to remove the references to the expired 

compliance dates in § 45.3(b)(1)(i), 

(b)(1)(ii), (b)(2), (b)(2)(ii), (c)(1)(i)(A), 

(c)(1)(i)(B), (c)(2)(i)(A), (c)(2)(i)(B), 

(d)(1), and (d)(3), and in the 

introductory language to § 45.3. 

3. Request for Comment 

The Commission requests comment 

on all aspects of proposed new § 45.3(e) 

and (j) and the proposed amendments to 

§ 45.3. The Commission also invites 

comments on the following: 

(6) At the time that a swap is accepted 

for clearing, are there entities other than 

the DCO that would have complete 

information about the clearing swaps 

and that would be better suited to report 

required creation data for clearing 

swaps? 


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57 ‘‘Required swap continuation data’’ is defined 

in § 45.1 and includes ‘‘life cycle event data’’ or 

‘‘state data’’ (depending on which reporting method 

is used) and ‘‘valuation data.’’ Each of these data 

types is defined in § 45.1. ‘‘Life cycle event data’’ 

means ‘‘all of the data elements necessary to fully 

report any life cycle event.’’ ‘‘State data’’ means ‘‘all 

of the data elements necessary to provide a 

snapshot view, on a daily basis of all of the primary 

economic terms of a swap . . .’’ ‘‘Valuation data’’ 

means ‘‘all of the data elements necessary to fully 

describe the daily mark of the transaction, pursuant 

to CEA section 4s(h)(3)(B)(iii), and to § 23.431 of 

this chapter if applicable.’’ 17 CFR 45.1. 

58See Markit letter at 10–11 (arguing that the 

Commission might receive valuable information 

from valuations reported by counterparties). 

59See ABA letter at 2, CME letter at 9–10, 

Financial Services Roundtable letter at 2, ICE letter 

at 2, 10, 15, ISDA letter at 13–14, JBA letter at 2– 

3, MFA letter at 2, 4, NGSA letter at 4–5. 

(7) Are there circumstances where the 

DCO would have complete information 

about the swap that becomes an original 

swap and would be better suited than 

the SEF/DCM or reporting counterparty 

to report creation data for such swap in 

a timely manner? If so, are there any 

reasons why the DCO should not be 

required to report creation data for the 

swap that would become the original 

swap? 

(8) Are the requirements of proposed 

§ 45.3(e) sufficiently clear and do such 

requirements adequately address the 

mechanics of the clearing process? 

(9) Do the requirements of 

renumbered § 45.3(f) allow for complete, 

accurate, timely, and efficient reporting 

of allocations in light of the proposed 

definition of ‘‘clearing swap’’ and the 

proposed § 45.3(e) creation data 

reporting requirements for clearing 

swaps? 

(10) Are the obligations set forth in 

amended § 45.3 sufficiently clear? If not, 

please explain. 

(11) Are there differences between the 

confirmation data for swaps that are, at 

the time of execution, intended to be 

submitted to a DCO for clearing, and the 

confirmation data for the swaps that 

replace such swap upon acceptance for 

clearing? If so, discuss how the 

Commission should require the 

reporting of confirmation data with 

respect to a cleared swap transaction. 

(12) Should another entity, other than 

the entity with the regulatory obligation 

to report the required swap creation 

data, be able to choose an SDR for 

reporting purposes? If so, please 

explain. 

(13) Are the industry data standards 

currently used by market participants 

sufficient to report required swap 

creation data as required in the 

amended, revised and/or newly 

proposed provisions of this release? If 

not, what are the specific 

insufficiencies, and how should they be 

addressed? 

C. Swap Data Reporting: Continuation 

Data—Proposed Amendments to § 45.4 

1. Existing § 45.4 

Regulation 45.4 governs the reporting 

of swap continuation data to an SDR 

during a swap’s existence through its 

final termination or expiration. This 

provision establishes the manner in 

which continuation data, including life 

cycle event data or state data, and 

valuation data,57 must be reported 

(§ 45.4(a)), and sets forth specific 

continuation data reporting 

requirements for both cleared (§ 45.4(b)) 

and uncleared (§ 45.4(c)) swaps. For 

cleared swaps, § 45.4(b) currently 

requires that life cycle event data or 

state data be reported by the DCO, and 

that valuation data be reported by both 

the DCO and by the reporting 

counterparty (if the reporting 

counterparty is an SD or MSP). 

For uncleared swaps, § 45.4(c) 

requires the reporting counterparty to 

report all required swap continuation 

data, including life cycle event data or 

state data, and valuation data. 

2. Proposed Amendments to § 45.4 

As noted earlier in this release, the 

Commission has had an opportunity to 

observe how the part 45 regulations 

function in practice with respect to 

swaps that are cleared. The Commission 

understands that § 45.4 could benefit 

from greater clarity regarding 

continuation data reporting 

responsibilities for each of the swaps 

involved in a cleared swap transaction. 

Accordingly, the Commission proposes 

several revisions and additions so that 

§ 45.4 will better delineate the 

continuation data reporting 

requirements associated with each swap 

involved in a cleared swap transaction. 

In particular, the Commission proposes 

conforming changes to existing § 45.4(a), 

revisions to existing § 45.4(b) and to 

existing § 45.4(c) (proposed to be 

renumbered as § 45.4(d)), and the 

addition of new § 45.4(c). Each 

proposed change is discussed in detail 

below. 

i. Proposed Conforming Changes to 

§ 45.4(a) 

The Commission is proposing to 

revise the heading of § 45.4(a) to read 

‘‘Continuation data reporting method 

generally’’ to reflect that the 

continuation data reporting method 

requirements in § 45.4(a) apply to all 

swaps, regardless of asset class or 

whether the swap is an original swap, 

clearing swap or uncleared swap, 

whereas the continuation data reporting 

requirements in proposed § 45.4(b), (c), 

and (d) would apply to clearing swaps, 

original swaps, and uncleared swaps, 

respectively. 

ii. Proposed Revisions to § 45.4(b) 

Regulation 45.4(b) currently governs 

continuation data reporting obligations 

for ‘‘cleared swaps,’’ but does not 

distinguish among the different swaps 

involved in a cleared swap transaction 

(i.e. original and clearing swaps). The 

Commission is thus proposing to revise 

the introductory language of § 45.4(b) to 

replace the terms ‘‘cleared swaps’’ and 

‘‘swaps cleared by a derivatives clearing 

organization,’’ which were not defined 

in the Final Part 45 Rulemaking, with 

the defined term ‘‘clearing swaps.’’ 

The Commission is not proposing 

modifications to the DCO life-cycle 

event data or state data reporting 

requirements in § 45.4(b)(1) or to the 

valuation data reporting requirements in 

§ 45.4(b)(2)(i). However, the 

Commission is proposing to remove 

existing § 45.4(b)(2)(ii), which requires a 

reporting counterparty that is an SD or 

MSP to report valuation data for cleared 

swaps daily, in addition to the valuation 

data that is required to be reported by 

the DCO pursuant to § 45.4(b)(2)(i). 

Under the proposed revisions to 

§ 45.4(b)(2), a reporting counterparty 

that is an SD or an MSP will not be 

required to report valuation data for 

clearing swaps; instead, the DCO would 

be the only swap counterparty required 

to report required continuation data, 

including valuation data, for clearing 

swaps. 

While one commenter contended that 

valuation data from SD/MSP swap 

counterparties is valuable information 

and that the Commission should require 

such information from SD/MSP 

counterparties for all swaps, cleared or 

uncleared,58 numerous commenters 

stated that only the DCO should have 

the responsibility to report valuation 

data for cleared swaps, and that the 

Commission should eliminate the 

requirement for an SD or MSP to report 

valuation data for cleared swaps.59

The valuation data reporting 

requirements applicable to DCOs 

pursuant to existing § 45.4(b)(2)(i) 

should present sufficient information 

for the Commission to understand 

clearing swap valuations. Additionally, 

the proposed removal of § 45.4(b)(2)(ii) 

would codify a series of no-action letters 

issued by Commission staff providing 

no-action relief to SDs and MSPs from 

the continuation data reporting 


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60See CFTC Division of Market Oversight, NoAction Letter No. 12–55, Dec. 17, 2012; No-Action 

Letter No. 13–34, Jun. 26, 2013; and No-Action 

Letter No. 14–90, Jun. 30, 2014. Staff no-action 

relief from the requirements of § 45.4(b)(2)(ii) has 

been in effect since the initial compliance date for 

part 45 reporting. 

61As discussed earlier in this release, under the 

proposed revisions to § 45.3(a) through (d), a SEF/ 

DCM or reporting counterparty would be required 

to report creation data for all swaps except clearing 

swaps (including for swaps that later become 

original swaps by virtue of their acceptance for 

clearing by a DCO). See Section II.B.2., supra. See 

also § 45.10 (a) through (c) (providing that all 

required swap continuation data reported for a 

swap must be reported to the same SDR to which 

required swap creation data was first reported 

pursuant to § 45.3). The Commission notes that 

pursuant to existing regulation § 45.13, each 

reporting entity and/or counterparty is required to 

‘‘use the facilities, methods, or data standards 

provided or required by the [SDR] to which the 

entity or counterparty reports the data.’’ 17 CFR 

45.13. 

62Rule § 49.10(a) provides that an SDR ‘‘shall 

accept and promptly record all swap data in its 

selected asset class and other regulatory 

information that is required to be reported pursuant 

to part 45 and part 43 of this chapter by [DCMs], 

[DCOs], [SEFs], [SDs], [MSPs] and/or non-swap 

dealer/non-major swap participant counterparties.’’ 

Rule § 49.10(a)(1) further provides that for 

‘‘purposes of accepting all swap data as required by 

part 45 and part 43, the registered [SDR] shall adopt 

policies and procedures, including technological 

protocols, which provide for electronic connectivity 

between the [SDR] and [DCMs], [DCOs], [SEFs], 

[SDs], [MSPs] and/or certain other non-swap dealer/ 

non-major swap participant counterparties who 

report such data. The technological protocols 

established by a [SDR] shall provide for the receipt 

of swap creation data, swap continuation data, realtime public reporting data, and all other data and 

information required to be reported to such [SDR]. 

The [SDR] shall ensure that its mechanisms for 

swap data acceptance are reliable and secure.’’ 17 

CFR 49.10. The Commission also proposes 

conforming changes to the introductory language of 

§ 45.3 and § 45.4 to make clear that all required 

swap creation and continuation data must be 

reported to the relevant SDR in the manner 

provided in § 45.13, and pursuant to § 49.10, which 

sets forth rules governing the acceptance and 

recording of such data. 

63See ICE letter at 4 (noting that failure to accept 

the termination message can produce inaccurate 

swap data due to double reporting and that the 

rejection of the termination message could distort 

notional amounts and market risks, and stating that 

amending the reporting rules to place the reporting 

obligation on the DCO for intended to be cleared 

swaps simplifies the reporting flows and places the 

responsibility on the party best-suited to accurately 

report cleared swap data). 

64See OTC Hong Kong letter at 2–3 (stating that 

requiring the original counterparty to report 

termination of the alpha would be more costeffective because the original reporting counterparty 

is already required to report creation data and life 

cycle event data of such alpha to an SDR, and thus 

would already have in place a technical and 

operational interface with the SDR of its choice. 

The commenter also stated that imposing an 

additional requirement on a DCO to report 

termination of the alpha does not appear to increase 

or improve the quantity and quality of information 

already available to the Commission, and that the 

burden on DCOs of the additional reporting 

requirement appears to outweigh the benefits to the 

Commission) and LCH letter at 8 (stating that 

reporting entities should already report 

terminations under the obligation to report 

continuation data). 

65See DTCC letter at 7 (stating that when an alpha 

swap is novated, the Commission should require a 

DCO to submit information about the beta and 

gamma swaps in addition to the termination notice 

for the alpha swap). 

66See 17 CFR 39.12(b)(6). Through its rules, the 

DCO determines whether or not a swap that is 

submitted for clearing becomes an original swap. 

67See CME letter at 10 (‘‘The most effective and 

efficient method for achieving linkage for all such 

events that have a one-to-one relationship (i.e., 

assignment or exercise) or a one-to-many 

relationship (i.e., clearing, novation, allocation) is 

by the inclusion of a prior USI(s).)’’; DTCC letter 

appendix at 3 (stating that a new swap can 

generally be linked to an existing swaps through the 

use of a ‘‘prior USI’’ data field); ISDA letter at 11 

(‘‘Related swaps sent to different SDRs can also be 

linked via use of the USI. . . .’’); Markit letter at 

8 (arguing that the most effective method to 

establish a link between new and existing swaps is 

to store the USI of the original swap as a prior USI). 

68See existing § 45.5(a)(2)(iii), (b)(2)(iii), and 

(c)(2)(ii) (requiring the entity that created the USI 

obligations of that subsection for daily 

valuation data.60

iii. Proposed Addition of § 45.4(c): 

Continuation Data Reporting for 

Original Swaps 

Currently, § 45.4(c) governs 

continuation data reporting for 

uncleared swaps. The Commission is 

proposing to renumber § 45.4(c) as 

§ 45.4(d) (discussed below), and is 

proposing the addition of a new 

§ 45.4(c), which would set forth the 

continuation data reporting 

requirements for original swaps. 

Specifically, proposed § 45.4(c) would 

require a DCO to report all required 

continuation data for original swaps, 

including original swap terminations, to 

the SDR to which the swap that became 

such original swap was reported 

pursuant to § 45.3(a) through (d).61 As 

proposed, § 45.4(c) would also reference 

the existing requirement that all 

continuation data must be reported in 

the manner provided in § 45.13(b), and 

that the SDR, in order to comply with 

§ 49.10, must also ‘‘accept and record’’ 

such data, including original swap 

terminations.62 The proposed addition 

of a reference to § 49.10 is consistent 

with a commenter’s request for 

clarification regarding the obligation of 

the SDR to accept and process the 

termination message from the DCO.63

As proposed, § 45.4(c)(1) would 

require a DCO to report all life cycle 

event data for an original swap on the 

same day that any life cycle event 

occurs, or to report all state data for the 

original swap, daily. 

The continuation data reporting 

requirements of proposed § 45.4(c) 

would apply to a swap that has been 

submitted to a DCO for clearing and that 

becomes an original swap by virtue of 

the DCO’s acceptance of such swap for 

clearing. The DCO’s continuation data 

reporting obligations for a swap to 

which it is not a counterparty (i.e., for 

swaps other than clearing swaps) will 

only be triggered if a swap is accepted 

for clearing (and thus becomes an 

original swap). If a swap is submitted to 

a DCO for clearing and is not accepted 

for clearing, the DCO will not have 

continuation data reporting obligations 

for the swap, because the swap is not an 

original swap or a clearing swap. 

While some commenters 

recommended that the original 

counterparty, and not the DCO, should 

report termination of the alpha to the 

SDR,64 another commenter suggested 

that the DCO should report termination 

of the alpha to the SDR.65 The 

continuation data reporting methods for 

original swaps proposed in § 45.4(c)(1) 

are consistent with those for ‘‘cleared’’ 

swaps currently found in § 45.4(b)(1), 

which also places responsibility on the 

DCO to report life cycle event data or 

state data to the SDR. As proposed, 

§ 45.4(c)(1) would place the 

responsibility on the DCO to report the 

required continuation data for original 

swaps because the DCO, by virtue of its 

decision to accept a swap for clearing 

and extinguish the swap upon 

acceptance,66 controls when 

termination, a key life-cycle event for an 

original swap, occurs. Therefore, it is 

the Commission’s view that the DCO is 

in the best position to report required 

continuation data for original swaps, as 

it has the easiest and quickest access to 

the information regarding the 

termination of such swaps. 

iv. Proposed Additional Continuation 

Data Fields To Be Reported by DCOs 

Several commenters asserted that the 

most cost-effective method for 

establishing a link between the original 

swaps and the swaps that replace the 

original swap upon acceptance for 

clearing is to include the USI of the 

original swap as a prior USI for the beta 

and gamma swaps.67 The Commission is 

of the view that reporting of the USI of 

the original swap as continuation data is 

an efficient mechanism for linking 

clearing swaps to the original swap that 

they replace and should be used for this 

purpose. As proposed, § 45.4(c)(2) 

would thus require DCOs to include the 

following additional enumerated data 

elements when reporting continuation 

data for original swaps pursuant to 

proposed § 45.4(c)(1): (i) The legal entity 

identifier (‘‘LEI’’) of the SDR to which 

each clearing swap for a particular 

original swap was reported by the DCO 

pursuant to new § 45.3(e); (ii) the USI of 

the original swap that was replaced by 

the clearing swaps; 68 and (iii) the USI 


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to transmit the USI of a swap ‘‘to the [DCO], if any, 

to which the swap is submitted for clearing, as part 

of the required swap creation data transmitted to 

the derivatives clearing organization for clearing 

purposes’’). Proposed revisions to § 45.5 are 

described in Section II.D of this release. 

69For instance, inclusion of the USI of the 

original swap in DCO continuation data reporting 

will permit the SDR receiving such continuation 

data to associate data regarding a life cycle event 

such as termination with the existing data 

maintained for the swap. This will help ensure that 

data in the SDR remains current and accurate and 

will enable the Commission and other regulators to 

ascertain whether a swap remains in existence or 

has been extinguished upon acceptance for clearing 

by a DCO. 

70See 17 CFR 39.12(b)(6). Part 45 currently 

requires all swap data and information reported to 

and maintained by an SDR regarding a given swap 

to be ‘‘current and accurate’’ and to include ‘‘all 

changes’’ to a swap. 17 CFR 45.4(a). 

71See 17 CFR 45.3(b) through (d) (creation data 

reporting requirements for off-facility swaps) and 17 

CFR 45.3(a) (creation data reporting requirements 

for swaps executed on or pursuant to the rules of 

a SEF or DCM). See also section B.2.ii supra. 

for the clearing swaps that replace the 

original swap. 

These proposed data fields would 

enable the DCO to fulfill its 

continuation data reporting obligations, 

enable the SDR to maintain the accuracy 

and completeness of swap transaction 

data, and enable the Commission to 

track the life of a cleared swap 

transaction. In particular, including the 

LEI of the SDR where required swap 

creation data for each clearing swap was 

reported will permit the Commission 

and other regulators to ascertain the 

SDR where the clearing swaps 

associated with a particular original 

swap reside. This will enable the 

Commission and other regulators to 

review and more effectively associate 

data available at multiple SDRs in 

circumstances where the reporting 

entity or counterparty selects one SDR 

for the original swap and the DCO 

selects a different SDR for the clearing 

swaps under § 45.3. 

Inclusion of the original swap’s USI is 

necessary to enable the SDR where the 

swap that became the original swap’s 

creation data was reported to associate 

continuation data reported by the DCO 

with the initial creation data reported by 

a SEF/DCM or reporting counterparty 

pursuant to § 45.3(a) through (d).69

Similarly, in the case of clearing swaps 

that replace an original swap, inclusion 

of the USIs of the clearing swaps will 

permit the Commission and other 

regulators to identify the specific 

clearing swaps that replaced an original 

swap, presenting a full history of the 

cleared swap transaction. 

Together, the proposed revisions to 

§ 45.4(b) and the addition of § 45.4(c) 

would require the reporting of 

continuation data for original swaps and 

clearing swaps. Accordingly, the 

Commission expects that records of 

original swaps that have been 

terminated would include the USIs for 

the clearing swaps that replaced the 

original swap and the LEI of the clearing 

swap SDR, such that review of an 

original swap would permit the 

identification of, and note the SDR 

where, the clearing swaps reside. These 

provisions will reflect the regulations 

applicable to DCOs outlined in part 39 

of the Commission’s regulations and 

will clearly delineate the continuation 

data reporting obligations associated 

with each swap involved in a cleared 

swap transaction.70

v. Proposed Revisions to § 45.4(d) 

As mentioned above, the Commission 

is proposing to renumber § 45.4(c) 

(Continuation data reporting for 

uncleared swaps) as § 45.4(d). The 

Commission is also proposing to amend 

§ 45.4(d), which applies to ‘‘all swaps 

that are not cleared by a derivatives 

clearing organization,’’ to add the 

phrase ‘‘including swaps executed on or 

pursuant to the rules of a swap 

execution facility or designated contract 

market.’’ This proposed change would 

clarify the existing requirement that 

reporting counterparties report all 

required swap continuation data for an 

uncleared swap, irrespective of whether 

the swap was executed off-facility (in 

which case the reporting counterparty 

must report required swap creation 

data), or whether the swap was executed 

on or pursuant to the rules of a SEF or 

DCM (in which case the SEF or DCM 

must report the required swap creation 

data).71

Finally, the Commission proposes to 

modify the introductory language to 

§ 45.4 and § 45.4(d)(1)(ii)(A) to remove 

outdated references to compliance dates 

that have already expired. 

3. Request for Comment 

The Commission requests comment 

on all aspects of proposed new § 45.4(c) 

and the proposed amendments to § 45.4. 

The Commission also invites comments 

on the following: 

(14) Would market participants other 

than DCOs be better placed to more 

efficiently incur the duty to report 

continuation data for original swaps? If 

so, how would placing continuation 

data reporting requirements on such 

other market participants further the 

goal of ensuring that swap data for 

original swaps remains ‘‘current and 

accurate’’? 

(15) Should the Commission consider 

any alternative approaches to reporting 

requirements for original swap 

terminations? If so, please describe such 

an approach. 

(16) Please describe whether there 

might be any life-cycle events for an 

original swap other than termination. 

Does § 45.4(c) adequately address any 

such life-cycle events? 

(17) Would the valuation data that 

DCOs must currently report to SDRs 

pursuant to § 45.4(b)(2)(i) present 

sufficient information for the 

Commission to understand clearing 

swap valuations? Explain why this is or 

is not the case. 

(18) What value, if any, would the 

Commission gain by receiving clearing 

swap valuation data from SD/MSP 

reporting counterparties? 

(19) Do the continuation data 

reporting requirements and existing 

definition of life-cycle event found in 

§ 45.1 adequately address the possible 

range of events that could occur during 

the life of a clearing swap? 

(20) Should the Commission require 

original swap terminations to be 

reported as soon as technologically 

practicable after termination of an 

original swap? 

(21) Should both the life cycle event 

method and state data method for 

continuation data reporting be 

permitted for clearing swaps? Please 

provide information about the 

advantages and disadvantages of each 

method with respect to clearing swaps. 

(22) Do the proposed revisions to 

§ 45.4 provide sufficient clarity 

concerning the reporting of continuation 

data for all life cycle events required to 

be reported, including any 

modifications to the clearing swaps? If 

not, what areas require further clarity? 

(23) For a swap executed on or 

pursuant to the rules of a SEF or DCM, 

as well as for off-facility swaps, would 

the DCO to which the swap is submitted 

for clearing have the information 

necessary, at the time of submission for 

clearing, to report the required 

continuation data, including a notice of 

termination of the swap, to the SDR to 

which the SEF or DCM reported the 

swap? 

(24) Are current industry data 

standards sufficient for DCOs to report 

required swap continuation data to the 

appropriate SDRs in a manner that 

would be consistent with proposed 

§ 45.4? If not, what are the specific 

insufficiencies and how should they be 

addressed? 

(25) Are the obligations that would be 

assigned in the proposed amendments 

to § 45.4 sufficiently clear? If not, please 

explain. 


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72See § 45.5(a) through (c). 

73See, e.g., § 45.5(a)(1)(i), (b)(1)(i) and (c)(1)(i) 

(the data component of a USI commonly referred to 

as a namespace is the unique alphanumeric code 

assigned to the registered entity responsible for 

generating the USI for the purpose of identifying 

such registered entity with respect to USI creation). 

74The Commission also proposes conforming 

amendments to renumber existing § 45.5(e) as 

§ 45.5(f). 

75See, e.g., 17 CFR 45.5(a), 45.5(c). 

76See 77 FR 2136, 2158 (Jan. 13, 2012). The 

Commission’s approach with respect to SEFs, 

DCMs, SDs, MSPs, and SDRs was designed to foster 

efficiency by taking advantage of the technological 

sophistication and capabilities of such entities, 

while ensuring that a swap is identified by a USI 

from its inception. 

77See 17 CFR 39.12(b)(6). 

78 Id. (providing that a DCO that clears swaps 

must have rules providing that upon acceptance of 

a swap by the DCO for clearing, the ‘‘original swap 

is replaced by an equal and opposite swap between 

the [DCO] and each clearing member . . .’’). 

D. Unique Swap Identifiers—Proposed 

Amendments to Section 45.5 

1. Existing § 45.5 

Regulation 45.5 currently requires 

that each swap subject to the 

Commission’s jurisdiction be identified 

in all recordkeeping and all swap data 

reporting by the use of a USI. The rule 

establishes different requirements for 

the creation and transmission of USIs 

depending on whether the swap is 

executed on a SEF or DCM (§ 45.5(a)), 

executed off-facility with an SD or MSP 

reporting counterparty (§ 45.5(b)), or 

executed off-facility with a non-SD/MSP 

reporting counterparty (§ 45.5(c)). 

Existing § 45.5 provides that for swaps 

executed on a SEF or DCM, the SEF or 

DCM creates the USI, and for swaps not 

executed on a SEF or DCM, the USI is 

created by an SD or MSP reporting 

counterparty, or by the SDR if the 

reporting counterparty is not an SD or 

MSP.72

With the exception of swaps with a 

non-SD/MSP reporting counterparty, the 

existing rule generally requires USI 

creation and transmission to be carried 

out by the entity or counterparty 

required to report all required swap 

creation data for the swap. Section 45.5 

thus does not currently distinguish 

between original and clearing swaps, 

does not provide USI creation and 

transmission requirements specifically 

for DCOs, and consequently does not 

provide for the issuance to DCOs of a 

USI ‘‘namespace,’’ which is one of two 

component parts of a USI.73

The Commission understands that in 

market practice, SEFs/DCMs and 

reporting counterparties, or SDRs in the 

case of non-SD/MSP reporting 

counterparties, generate and assign USIs 

for swaps that would become original 

swaps under the proposed rules, and 

that DCOs generate and assign USIs to 

swaps that would qualify as clearing 

swaps in connection with reporting 

required swap creation data for clearing 

swaps to SDRs. 

2. Proposed Amendments to § 45.5 

The Commission is proposing to 

renumber existing § 45.5(d) as § 45.5(e) 

and to create a new § 45.5(d) which 

would set forth requirements regarding 

the creation and transmission of USIs 

for clearing swaps.74

As proposed, § 45.5(d)(1) would 

require a DCO to generate and assign a 

USI for each clearing swap upon, or as 

soon as technologically practicable after, 

acceptance of an original swap by the 

DCO for clearing (or execution of a 

clearing swap that does not replace an 

original swap), and prior to reporting 

the required swap creation data for each 

clearing swap. Proposed § 45.5(d)(1) 

would also require that the USI for each 

clearing swap consist of two data 

components: A unique alphanumeric 

code assigned to the DCO by the 

Commission for the purpose of 

identifying the DCO with respect to USI 

creation; and an alphanumeric code 

generated and assigned to that clearing 

swap by the automated systems of the 

DCO. These proposed USI creation 

requirements and components for DCOs 

and clearing swaps are consistent with 

those currently required by part 45 for 

other registered entities such as SEFs, 

DCMs, and SDRs.75

As proposed, § 45.5(d)(2) would 

require a DCO to transmit the USI for a 

clearing swap electronically to the SDR 

to which the DCO reports required swap 

creation data for the clearing swap, as 

part of that report; and to the DCO’s 

counterparty with respect to that 

clearing swap, as soon as 

technologically practicable after either 

acceptance of the original swap by the 

DCO for clearing or execution of a 

clearing swap that does not replace an 

original swap. The proposed § 45.5(d) 

provisions governing creation and 

assignment of USIs by the DCO with 

respect to clearing swaps are consistent 

with the Commission’s ‘‘first-touch’’ 

approach to USI creation for SEFs, 

DCMs, SDs, MSPs, and SDRs.76

Finally, the Commission proposes to 

amend §§ 45.5(a), 45.8(f), and 45.10(a) to 

incorporate the language ‘‘or pursuant to 

the rules of’’ to the phrase ‘‘swaps 

executed on a swap execution facility or 

designated contract market’’ to make 

clear that those provisions currently 

apply to all swaps executed on or 

pursuant to the rules of a SEF or DCM. 

3. Request for Comment 

The Commission requests comment 

on all aspects of proposed § 45.5(d). The 

Commission also invites comments on 

the following: 

(26) Should an entity other than the 

DCO be required to create and transmit 

USIs for clearing swaps? 

(27) Do the proposed requirements of 

§ 45.5(d)(2) ensure that all relevant 

entities will receive the USI for a 

particular clearing swap? 

(28) Should the proposed USI creation 

and transmission requirements for DCOs 

differ from those of other registered 

entities such as SEFs, DCMs and SDRs? 

If so, please explain how and why the 

requirements should differ. 

E. Determination of Which Counterparty 

Must Report—Proposed Amendments to 

§ 45.8 

1. Existing § 45.8 

Regulation 45.8 sets forth a hierarchy 

under which the reporting counterparty 

for a particular swap depends on the 

nature of the counterparties involved in 

the transaction. Regulation 45.8 assigns 

a reporting counterparty for off-facility 

swaps, for which the reporting 

counterparty must report all required 

swap creation data, as well as for swaps 

executed on or pursuant to the rules of 

a SEF or DCM, for which the SEF or 

DCM must report all required swap 

creation data. 

2. Proposed Amendments to § 45.8 

Existing § 45.8 could be improved to 

better reflect the mechanics for cleared 

swap transactions. While existing § 45.3 

currently imposes certain creation data 

reporting requirements on the DCO in 

connection with a swap that is accepted 

for clearing, the hierarchy currently set 

forth in § 45.8 does not expressly 

include a separate designation for the 

DCO as a reporting counterparty. 

As discussed earlier in this release, a 

cleared swap transaction generally 

involves an original swap that is 

terminated upon novation, and the 

equal and opposite swaps that replace 

it, with the DCO as the counterparty for 

each swap that replaces the original 

swap.77 Accordingly, the Commission is 

proposing to add paragraph (i) to § 45.8 

in order to explicitly provide that the 

DCO will be the reporting counterparty 

for clearing swaps. This proposed 

change is consistent with part 39, which 

requires that the DCO must be a 

counterparty to each swap that replaces 

an original swap and must have rules 

governing acceptance and replacement 

of an original swap.78 The DCO is also 

the entity that should have the easiest 


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79The Commission notes that § 49.17(f)(2) 

prohibits SDRs from disclosing the identity or LEI 

of a counterparty for swaps that are executed 

anonymously on a SEF or DCM, and then cleared 

in accordance with the Commission’s straightthrough processing requirements, when 

counterparties to a particular swap are allowed 

access to data related to the swap. See ‘‘Swap Data 

Repositories—Access to SDR Data by Market 

Participants,’’ 79 FR 16672, Mar. 26, 2014. 

80The Commission is also proposing to repeat the 

language ‘‘Off-facility swaps with a swap dealer or 

major swap participant reporting counterparty’’ 

from the title of § 45.10(b) in the body of that 

regulation to make clear that the requirement 

pertains to off-facility swaps with an SD or MSP. 

81The Commission also proposes conforming 

amendments to § 45.10 to renumber paragraph 

(b)(3) as (b)(2), paragraph (c)(3) as (c)(2), and 

paragraph (c)(4) as (c)(3). The Commission also 

proposes to remove a reference to § 45.10(c)(2) from 

existing § 45.10(c)(4) because the Commission is 

proposing to remove § 45.10(c)(2). 

82See Section II.B.2.ii, supra. 

83The Commission notes that proposed 

§ 45.10(d)(3) would require any equal and opposite 

clearing swaps, including those resulting from the 

operation of § 39.12(b)(6) of the Commission’s 

regulations, to be reported to a single SDR, 

regardless of whether such clearing swaps replaced 

an original swap. 

and quickest access to full information 

with respect to PET data and 

confirmation data for clearing swaps, 

placing the DCO in the best position to 

report all required swap creation data 

for the clearing swaps. 

The Commission is also proposing to 

amend the introductory language of 

§ 45.8 to make clear that the reporting 

counterparty for all swaps except 

clearing swaps will be made as provided 

in paragraphs (a) through (h) of § 45.8, 

while the reporting counterparty for 

clearing swaps will be made as provided 

in paragraph (i) of § 45.8. 

The Commission also proposes to 

remove the language ‘‘if available’’ from 

§ 45.8(h)(1)(i) to ensure consistency 

with proposed changes to appendix 1 to 

part 45 and because this language was 

only relevant prior to availability of the 

LEI system. 

Finally, the Commission proposes to 

further amend § 45.8 to remove part of 

paragraphs (d)(1) and (f)(1) and to 

remove part of paragraph (h)(2) and all 

of paragraphs (h)(2)(i) and (ii). Section 

45.8(h) currently provides that if the 

SEF/DCM is unable to determine which 

counterparty to a swap is the reporting 

counterparty, it must notify each 

counterparty that it cannot identify 

which counterparty is the reporting 

counterparty, and must also transmit to 

each counterparty the LEI of the other 

counterparty. The removal of these 

paragraphs would ensure that swaps 

that are executed anonymously on a SEF 

or DCM, and then cleared in accordance 

with the Commission’s straight-through 

processing requirements, remain 

anonymous.79 Section 45.8(d)(1) and 

(f)(1) contemplate a process whereby the 

counterparties agree which counterparty 

shall be the reporting counterparty no 

later than the end of the first business 

day following the date of execution of 

the swap. The removal of these 

paragraphs will provide for a more 

streamlined process with respect to the 

determination of the reporting 

counterparty for swaps where 

paragraphs (d)(1) or (f)(1) apply. SEFs 

and DCMs have adopted rules governing 

determination of the reporting 

counterparty for all swaps executed on 

or pursuant to the rules of a SEF or 

DCM, which eliminates the need for 

these portions of § 45.8(d)(1), (f)(1), and 

(h)(2). The Commission is also 

proposing conforming changes to 

explanatory notes in the PET data tables 

in appendix 1 to part 45 that reference 

the situation described in § 45.8(h)(2). 

3. Request for Comment 

The Commission requests comment 

on all aspects of proposed § 45.8(i). The 

Commission also invites comments on 

the following: 

(29) Are the proposed additions of 

§§ 45.8(i) and 45.3(j), along with 

existing § 45.8, sufficiently clear with 

respect to the determination of the 

reporting counterparty and the choice of 

SDR? Please explain any scenarios for 

which the determination of the 

reporting counterparty or choice of SDR 

would not be sufficiently clear. 

F. Reporting to a Single Swap Data 

Repository—Proposed Amendments to 

§ 45.10 

1. Existing § 45.10 

Regulation 45.10 currently requires 

‘‘all swap data for a given swap’’ to be 

reported to a single SDR, which must be 

the same SDR to which creation data for 

that swap is first reported. The time and 

manner in which such data must be 

reported to a single SDR depends on 

whether the swap is executed on a SEF 

or DCM (§ 45.10(a)), executed off-facility 

with an SD/MSP reporting counterparty 

(§ 45.10(b)), or executed off-facility with 

a non-SD/MSP reporting counterparty 

(§ 45.10(c)). Currently, § 45.10(b) and (c) 

also discuss circumstances in which a 

reporting counterparty is excused from 

reporting PET data to an SDR because 

the swap is accepted for clearing by a 

DCO before the applicable reporting 

deadline. 

2. Proposed Amendments to § 45.10 

In order to further clarify that ‘‘all 

swap data for a given swap’’ 

encompasses all swap data required to 

be reported pursuant to parts 43 and 45 

of the Commission’s regulations, the 

Commission is proposing to add 

language to this effect to paragraphs (a) 

through (c) and to the introductory 

language of § 45.10. This proposed 

additional language would clarify the 

existing requirement that registered 

entities and reporting counterparties 

must provide all swap data required 

under parts 43 and 45 to a single SDR 

for a given swap.80

The Commission is also proposing to 

remove § 45.10(b)(2) and (c)(2).81 These 

two paragraphs are no longer applicable 

because they reference provisions in 

§ 45.3(b)(1), (c)(1)(i), and (c)(2)(i) that, as 

discussed earlier in this release, the 

Commission is proposing to remove.82

The Commission is proposing to add 

new § 45.10(d), which would govern 

clearing swaps and would establish 

explicit requirements that DCOs report 

all required swap creation data and all 

required swap continuation data for 

each clearing swap to a single SDR. 

Specifically, proposed § 45.10(d)(1) 

would require a DCO to report all 

required swap creation data for a 

particular clearing swap to a single SDR. 

As proposed, § 45.10(d)(1) would also 

require the DCO to transmit the LEI of 

the SDR to which it reported the 

required swap creation data for each 

clearing swap to the counterparty of 

each clearing swap, as soon as 

technologically practicable after either 

acceptance of the original swap by the 

DCO for clearing or execution of a 

clearing swap that does not replace an 

original swap. 

As proposed, § 45.10(d)(2) would 

require a DCO to report all required 

swap creation data and all required 

swap continuation data for a particular 

clearing swap to the same SDR that 

received the initial swap creation data 

for the clearing swap required by 

§ 45.10(d)(1). 

In the event there are clearing swaps 

that replace a particular original swap, 

and in the event there are equal and 

opposite clearing swaps that are created 

upon execution of the same transaction 

and that do not replace an original 

swap, § 45.10(d)(3) would require the 

DCO to report all required swap creation 

and continuation data for each such 

clearing swap to a single SDR.83

Accordingly, all required creation data 

and all required continuation data for 

all clearing swaps that can be traced 

back to the same original swap (and for 

all equal and opposite clearing swaps 

that are created upon execution of the 

same transaction but that do not replace 


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84See DTCC letter at 2–3, appendix at 4, 21 

(arguing that the Commission should adopt a 

‘‘single SDR’’ rule to ensure that all of the data for 

a swap is available in one SDR.); ISDA letter at 44 

(contending that original and resulting swaps 

should be reported to the same SDR when a swap 

was executed without the intention or requirement 

to clear, but is subsequently cleared). 

85See Section H, infra, discussing proposed 

additional PET data fields including: Clearing swap 

USIs, Clearing swap SDR, Original swap USI, and 

Original swap SDR. See also section C.2.iv. supra, 

discussing information required for continuation 

data for original swaps, including: (i) the LEI of the 

SDR to which each clearing swap for a particular 

original swap was reported by the DCO pursuant to 

new § 45.3(e); (ii) the USI of the original swap that 

was replaced by the clearing swaps; and (iii) the 

USI for the clearing swaps that replace the original 

swap. 

86Pursuant to proposed § 45.10(a)(2), (b)(2), and 

(c)(3), continuation data for original swaps must be 

reported to the SDR where the first report of 

required swap creation data was made for the swap. 

87Pursuant to existing § 45.13(b), the DCO ‘‘shall 

use the facilities, methods, or data standards 

provided or required by’’ SDR A. 17 CFR 45.13(b). 

88The Commission notes that pursuant to 

proposed § 45.10(a) through (d), the DCO in this 

example could select an SDR other than SDR A. 

89See, e.g., 77 FR 2136, 2139, Jan. 13, 2012, (‘‘To 

avoid fragmentation of data for a given swap across 

multiple SDRs, the [Notice of Proposed 

Rulemaking] [for part 45] would require that all 

data for a particular swap must be reported to the 

same SDR.’’); at 2143 (‘‘First, in order to prevent 

fragmentation of data for a single swap across 

multiple SDRs, which would seriously impair the 

ability of the Commission and other regulators to 

view or aggregate all of the data concerning the 

swap, the proposed rule provided that, once an 

initial data report concerning a swap is made to an 

SDR, all data reported for that swap thereafter must 

be reported to the same SDR.’’); and at 2168 (‘‘The 

Commission believes the important regulatory 

purposes of the Dodd-Frank Act would be 

frustrated, and that regulators’ ability to see 

necessary information concerning swaps could be 

impeded, if data concerning a given swap was 

spread over multiple SDRs.’’). 

an original swap) will be reported to a 

single SDR. 

The Commission notes that by 

operation of proposed new § 45.8(i) and 

(j) and proposed § 45.3(e), there may be 

scenarios in which the SEF/DCM or 

reporting counterparty reports required 

swap creation data for the swap that 

became the original swap to one SDR, 

and the DCO reports required swap 

creation data for the clearing swaps that 

replace the original swap to a different 

SDR. While some commenters stated 

that the Commission should require 

resulting swaps to be reported to the 

same SDR as original swaps,84 the 

Commission is proposing to require that 

all swap data for the clearing swaps that 

can be traced back to the same original 

swap be reported to the same SDR, but 

is not requiring that the clearing swaps 

be reported to the same SDR as the 

original swap. 

As noted above, proposed § 45.3(j) 

would place the obligation to choose the 

SDR to which required swap creation 

data is reported on the registered entity 

or counterparty that is required to make 

the first report of required swap creation 

data pursuant to § 45.3. Placing the 

obligation to choose the SDR on the 

registered entity or counterparty that is 

required to report the swap, rather than 

on another entity, should result in more 

efficient data reporting and promote 

market competition, while avoiding 

injecting a third party into the decision 

as to how a registered entity or 

counterparty fulfills its regulatory 

obligation to report initial required 

swap creation data. The registered entity 

or counterparty that is required to report 

may select an SDR to which its 

technological systems are most suited 

and/or to which it already has an 

established relationship, with existing 

technological protocols and procedures, 

providing for the efficient and accurate 

reporting of swap data. The Commission 

notes that under proposed § 45.3(j), a 

registered entity or counterparty would 

not be precluded from choosing an SDR 

based on consideration of market 

preference or other factors; however, the 

obligation to choose the SDR will rest 

solely with the registered entity or 

counterparty enumerated therein. As 

discussed above, the Commission is 

proposing a number of requirements 85

which should allow for the efficient and 

accurate linking of data where the 

original swap and clearing swaps are 

not reported to the same SDR. 

The Commission has included the 

following example to illustrate the 

application of proposed § 45.10: 

Swap 1 is intended to be submitted to 

a DCO for clearing and executed on or 

pursuant to the rules of a SEF. The SEF 

reports all required creation data for 

such swap to registered SDR A pursuant 

to § 45.3(a), selected by the SEF 

pursuant to § 45.3(j)(1), and submits the 

swap to the DCO for clearing. Upon 

acceptance of Swap 1 for clearing, the 

DCO extinguishes Swap 1 and replaces 

it with Swap 2 and Swap 3, both of 

which are clearing swaps. Swap 1 is 

now an original swap. 

Under the proposal, § 45.4(c) would 

require the DCO to report the 

termination of Swap 1 to SDR A,86

reflecting that Swap 1, now an original 

swap, has been terminated through 

clearing novation.87 The DCO would 

also report all required swap creation 

data for clearing Swap 2 to a single SDR 

of its choice (say, for example, SDR B) 

pursuant to proposed §§ 45.3(e) and 

(j)(2), and 45.10(d).88 Similarly, the DCO 

would be required to report all required 

swap creation data for clearing Swap 3 

to a single SDR, in this case SDR B. 

Pursuant to proposed § 45.10(d)(3), the 

DCO would be required to report all 

required swap creation data for clearing 

Swap 2 and clearing Swap 3 to the same 

SDR (SDR B) because Swap 2 and Swap 

3 replaced Swap 1. Thereafter, proposed 

§ 45.10(d)(2) would require the DCO to 

report all required swap creation data 

and continuation data to the SDR where 

the first report of required swap creation 

data for both clearing Swap 2 and 

clearing Swap 3 was made (SDR B). 

The requirements for DCOs 

demonstrated in the above example and 

contained in proposed § 45.10(d)(1) and 

(2) are consistent with the existing 

requirements for SEFs, DCMs, and other 

reporting counterparties under current 

§ 45.10. By requiring that all swap data 

for each clearing swap be reported to a 

single SDR, proposed § 45.10(d)(1) and 

(2) further the Commission’s stated 

purpose in creating § 45.10, and part 45 

generally, of reducing fragmentation of 

data for a given swap across multiple 

SDRs.89

The proposed requirement in 

§ 45.10(d)(3) that the DCO report to a 

single SDR all swap data for each 

clearing swap that can be traced back to 

the same original swap also supports the 

goal of avoiding fragmentation of swap 

data. Though clearing swaps are new 

individual swaps, all clearing swaps 

that issue from the same original swap 

are component parts of a cleared swap 

transaction. Fragmentation among 

clearing swaps would needlessly impair 

the ability of the Commission and other 

regulators to view or aggregate all the 

data concerning the related clearing 

swaps. 

3. Request for Comment 

The Commission requests comment 

on all aspects of proposed new 

§ 45.10(d) and amended § 45.10(a) 

through (c). The Commission also 

invites comments on the following: 

(30) Are the obligations assigned in 

the newly proposed and amended 

provisions of § 45.10 sufficiently clear? 

If not, please explain how you believe 

they should be clarified. 

G. Examples of Cleared Swap Reporting 

Workflows Under the Proposed 

Revisions 

The following examples demonstrate 

the manner in which the proposed rules 

would operate in hypothetical scenarios 

involving: (1) an off-facility swap not 

subject to the clearing requirement with 

an SD/MSP reporting counterparty; and 

(2) a swap executed on or pursuant to 

the rules of a SEF or DCM. All 

references to part 45 appearing in the 

following examples refer to the rules as 

proposed in this release. These 


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90Proposed modifications to appendix 1 would 

require that PET data include the original swap USI. 

See Proposed additions to appendix 1 to part 45, 

‘‘Additional Data categories and fields for clearing 

swaps.’’ 

91See 15 CFR 45.13(b). 

92The Commission notes that the proposed 

§ 45.4(c)(2)(i) requirement that the DCO include the 

LEI of the SDR to which all required swap creation 

data for each clearing swap was reported by the 

DCO applies whether or not swap data for the 

original and clearing swaps is reported to the same 

SDR or to different SDRs. The Commission expects 

that this information will be useful for regulators 

with respect to their review of data pertaining to 

cleared swap transactions, and to SDRs with respect 

to their processing of swap data received, even 

when the original and clearing swaps reside in the 

same SDR. 

93While the DCO would have no additional 

continuation data reporting requirement with 

respect to the original swap after reporting the 

termination upon acceptance for clearing, the DCO 

remains obligated under § 45.14 to correct errors 

and omissions in the data reported by the DCO, 

including the termination notice. For example, if a 

swap is submitted to, and accepted by, a DCO for 

clearing, the DCO would report the termination 

notice of the original swap to the SDR to which the 

creation data for the original swap was reported. 

After submission of the termination notice to the 

SDR, if the DCO should become aware of an error 

or omission in the termination notice, the DCO is 

required, pursuant to § 45.14, to correct any errors 

and omissions in the data so reported as soon as 

is technologically practicable after discovery of 

such errors or omissions. Likewise, all reporting 

entities and swap counterparties also remain 

obligated under § 45.14 to correct errors and 

omissions in all data reported by or on behalf of 

each entity and swap counterparty to an SDR. 

94Pursuant to § 45.14(b), if a counterparty to a 

swap that is not the reporting counterparty as 

determined by § 45.8 discovers any error or 

omission with respect to the continuation data, 

including termination notice of the original swap, 

such non-reporting counterparty is required to 

notify the DCO of each such error or omission. 

95Pursuant to 45.3(j)(2), the DCO could have 

selected SDR B. 

96See notes 93–94, supra. 

examples are provided only for 

illustrative purposes to demonstrate the 

applicability of certain rules proposed 

in this release in hypothetical scenarios. 

The examples are not intended to 

dictate any aspect of compliance, 

reporting or other related processes and 

are not intended to cover all possible 

reporting circumstances. 

1. Off-Facility Swap Not Subject to the 

Clearing Requirement With SD/MSP 

Reporting Counterparty 

An off-facility swap that is not subject 

to the clearing requirement is executed 

with an SD reporting counterparty. The 

SD generates and assigns a USI for the 

swap pursuant to § 45.5(b) and reports 

all required swap creation data for the 

swap to SDR A pursuant to § 45.3(c). 

The SD submits the swap to a DCO for 

clearing and, pursuant to § 45.10(b), 

transmits to the DCO, at the time the 

swap is submitted for clearing, the 

identity of SDR A and the USI for the 

swap. 

The DCO accepts the swap for 

clearing, extinguishing it and replacing 

it with clearing swaps; the swap that 

was submitted for clearing is now an 

original swap. The DCO generates and 

assigns a USI to each clearing swap 

pursuant to proposed § 45.5(d) and, 

pursuant to the proposed amendments 

to § 45.3(e), reports all required swap 

creation data for the clearing swaps, 

including the original swap USI,90 to 

SDR B, which the DCO in this example 

selected pursuant to proposed 

§ 45.3(j)(2). 

Pursuant to the proposed 

amendments to § 45.4(c), the DCO 

would report continuation data for the 

original swap, including the original 

swap termination notice, to SDR A 

using either the life cycle or state data 

methods, and using the facilities, 

methods, or data standards provided or 

required by SDR A.91 In addition to all 

other necessary continuation data, 

original swap continuation data 

reported by the DCO, including the 

original swap termination notice, would 

also include: the LEI of SDR B (the SDR 

to which creation data for each clearing 

swap that replaced the particular 

original swap was reported);92 the USI 

of the original swap as transmitted to 

the DCO by the SD at the time the swap 

was submitted for clearing; and the USI 

for each clearing swap. 

The DCO would have no further 

continuation data reporting obligations 

with respect to the original swap 

thereafter. However, the Commission 

notes that pursuant to § 45.14, registered 

entities and counterparties required to 

report swap data to an SDR must report 

any errors and omissions in the data 

reported.93 Additionally, non-reporting 

counterparties are required to notify the 

reporting counterparty of such errors or 

omissions.94 Finally, pursuant to 

§ 49.10(a), SDR A would be required to 

accept and record any original swap 

continuation data, including the original 

swap termination. 

2. Swaps Executed on or Pursuant to the 

Rules of a SEF or DCM 

A swap is executed on or pursuant to 

the rules of a SEF or DCM. The SEF/

DCM generates and assigns a USI for the 

swap pursuant to § 45.5(a) and reports 

all required swap creation data to SDR 

A pursuant to § 45.3(a). The SEF/DCM 

submits the swap to a DCO for clearing 

and, pursuant to § 45.10(a), transmits to 

the DCO, at the time the swap is 

submitted for clearing, the identity of 

SDR A and the USI for the swap. 

The DCO accepts the swap for 

clearing, extinguishing it and replacing 

it with clearing swaps; the swap that 

was submitted for clearing is now an 

original swap. Under the proposed 

amendments to §§ 45.5(d) and 45.3(e), 

the DCO would generate and assign a 

USI to each clearing swap and report all 

required swap creation data, including 

the original swap USI, for the clearing 

swaps to registered SDR A, which, in 

this example, the DCO selected 

pursuant to proposed § 45.3(j)(2).95

Pursuant to the proposed 

amendments to § 45.4(c), the DCO 

would report continuation data for the 

original swap, including the original 

swap termination notice, to SDR A 

using either the life cycle or state data 

methods, and using the facilities, 

methods, or data standards provided or 

required by SDR A. Such continuation 

data would include the LEI of SDR A 

(the SDR to which creation data for each 

clearing swap that replaced the 

particular original swap was reported), 

the USI of the original swap as 

transmitted to the DCO by the SEF/DCM 

at the time the swap was submitted for 

clearing, and the USI for each clearing 

swap. 

The DCO would have no further 

continuation data reporting obligations 

with respect to the original swap 

thereafter. However, the Commission 

notes that pursuant to § 45.14, registered 

entities and counterparties required to 

report swap data to an SDR must report 

any errors and omissions in the data 

reported. Additionally, non-reporting 

counterparties are also required notify 

the reporting counterparty of such errors 

or omissions.96 Finally, pursuant to 

§ 49.10(a), SDR A would be required to 

accept and record the original swap 

termination. 

3. General Comments Received by the 

Commission Regarding the Approach 

Proposed in This Release 

As demonstrated by the examples 

above, the Commission is proposing an 

approach to the reporting of cleared 

swaps that would require reporting 

counterparties or SEFs/DCMs to report 

creation and continuation data for 

swaps commonly known as alphas, and 

that would require DCOs to report alpha 

swap terminations and swaps 

commonly known as beta and gamma 

swaps. 

A number of commenters suggested 

that part 45 should place swap data 

reporting obligations solely on DCOs, 

including with respect to swaps that are 

intended to be cleared at the time of 

execution and accepted for clearing by 

a DCO (alpha swaps) and swaps 

resulting from clearing (beta and gamma 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
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97See CMC letter at 1, 3, 6 (noting that ‘‘cleared 

swaps reporting should be handled exclusively by 

DCOs.’’); NFPEA letter at 12 (noting that ‘‘If and 

when a swap is cleared and thereafter, all 

information about the swap should be reported to 

the SDR solely by the DCO’’); EEI letter at 3, 14 

(‘‘The Commission should put all obligations for 

reporting cleared swaps on DCOs.’’); ICE letter at 3, 

17 (stating that the DCO should be the sole 

reporting party for intended to be cleared swaps.); 

CEWG letter at 16 (‘‘The Working Group 

recommends that the Part 45 regulations be 

amended to make clear that the DCO has the 

reporting obligations (creation and continuation 

data) for the original alpha swap and resulting 

positions . . .’’); CME letter at 20 (contending that 

the act of submitting an intended to be cleared swap 

to a DCO should completely discharge the reporting 

obligations of each reporting counterparty, SEF or 

DCM, and that this position would be consistent 

with Congressional intent and would help ensure 

the Commission gets access to the best possible 

information for regulatory purposes without 

imposing unnecessary costs on the Commission or 

market participants). 

98See LCH letter at 10 (‘‘It would not be 

appropriate to oblige the DCO to enhance part 45 

reporting in order to source information regarding 

the original execution that should be provided 

directly by the execution venue or execution 

counterparties.’’). 

99The Commission also proposes to revise each 

of the data categories and fields that reference the 

clearing requirement exception in CEA section 

2(h)(7) to reflect that exceptions to, and exemptions 

from, the clearing requirement, including the 

clearing requirement exception in CEA section 

2(h)(7), are set forth under part 50 of the 

Commission’s regulations. 

100These include the following fields in Exhibits 

A through D: The Legal Entity Identifier of the 

reporting counterparty; If the swap will be 

allocated, or is a post-allocation swap, the Legal 

Entity Identifier of the agent; The Legal Entity 

Identifier of the non-reporting party; Clearing 

venue; The identity of the counterparty electing an 

exception or exemption to the clearing requirement 

under part 50 of this chapter (formerly The identity 

of the counterparty electing the clearing 

requirement exception in CEA section 2(h)(7)); 

Exhibit A: An indication of the counterparty 

purchasing protection; An indication of the 

counterparty selling protection; Information 

identifying the reference entity; Exhibit D: Buyer, 

Seller. 

101The explanatory notes discussing a situation 

where no CFTC designated LEI is yet available are 

no longer applicable. See generally ‘‘Order 

Extending the Designation of the Provider of Legal 

Entity Identifiers To Be Used in Recordkeeping and 

Swap Data Reporting Pursuant to the Commission’s 

Regulations,’’ 80 FR 44078, Jul. 24, 2015. 

102See generally ‘‘Procedures To Establish 

Appropriate Minimum Block Sizes for Large 

Notional Off-Facility Swaps and Block Trades,’’ 78 

FR 32866, May 31, 2013. 

swaps).97 However, one commenter 

noted that it would not be appropriate 

to require a DCO to report information 

related to the execution of an alpha 

swap.98

The Commission understands that 

reporting counterparties and registered 

entities have invested substantial time 

and resources to report swaps to 

registered SDRs (whether or not such 

swaps are intended to be cleared at the 

time of execution) and that DCOs have 

invested substantial resources to report 

beta and gamma swaps that result from 

acceptance of a swap for clearing. 

Adopting the framework suggested by 

commenters above could result in a 

disruption of industry work flows and 

could require significant retooling of 

operational and technological solutions 

in place designed to report swap data, 

all at an additional cost to market 

participants. 

H. Primary Economic Terms Data— 

Proposed Amendments to Appendix 1 

to Part 45—Tables of Minimum Primary 

Economic Terms 

The Commission’s current lists of 

minimum primary economic terms for 

swaps in each swap asset class are 

found in tables in Exhibits A–D of 

appendix 1 to part 45. Those tables 

include data elements that reflect 

generic economic terms and conditions 

common to most standardized products. 

They reflect the fact that PET data 

captures a swap’s basic nature and 

essential economic terms, and are 

provided in order to ensure to the extent 

possible that most such essential terms 

are included when required primary 

economic terms are reported for each 

swap. 

The Commission is proposing the 

following revisions to Exhibits A 

through D of appendix 1, each of which 

is discussed in greater detail below: (1) 

modifications to existing PET data 

fields; (2) the addition of three new PET 

data fields applicable to all reporting 

entities for all swaps; and (3) the 

addition of a number of new data fields 

that must be reported by DCOs for 

clearing swaps.99

i. Proposed Modifications to Existing 

PET Data Fields 

The Commission proposes clarifying 

and conforming changes and minor 

corrective modifications to the 

following existing PET data fields: 

• The Unique Swap Identifier for the 

swap—The Commission is proposing to 

remove the explanatory note in the 

Comment section to this data field in 

Exhibits A–D. The explanatory note is 

no longer necessary because under 

proposed § 45.5(d), the DCO would 

create the USI for each clearing swap. 

• PET data fields that utilize a legal 

entity identifier 100—The Commission is 

proposing conforming changes to the 

Comment sections to data fields in 

Exhibits A–D that utilize the LEI to 

reflect that the CFTC has designated an 

LEI system101 and to reflect that a 

substitute identifier may be reported for 

natural person swap counterparties. 

• If no CFTC-approved Legal Entity 

Identifier for the non-reporting 

counterparty is yet available, the 

internal identifier for the non-reporting 

counterparty used by the swap data 

repository—The Commission is also 

proposing to remove this data field in 

each of the Exhibits. As noted above, the 

CFTC has designated an LEI, and these 

PET data fields are no longer applicable. 

• For a mixed swap reported to two 

non-dually-registered swap data 

repositories, the identity of the other 

swap data repository (if any) to which 

the swap is or will be reported—The 

Commission is proposing to add an 

explanatory note to the Comment 

section for this data field in Exhibits A– 

D providing that the field value is the 

LEI of the other SDR to which the swap 

is or will be reported. 

• Block trade indicator—The 

Commission is proposing to modify the 

Comment section to this data field in 

Exhibits A–D to reflect that the CFTC 

has issued a final rulemaking regarding 

Procedures To Establish Appropriate 

Minimum Block Sizes for Large 

Notional Off-Facility Swaps and Block 

Trades.102

• Execution venue—The Commission 

is proposing to modify the explanatory 

note in the Comment section to this data 

field in Exhibits A–D to reflect that the 

CFTC has designated an LEI system and 

to require the reporting of only the LEI 

of the SEF or DCM for swaps executed 

on or pursuant to the rules of a SEF or 

DCM. 

• Clearing indicator—The 

Commission is proposing modifications 

to the explanatory note in the Comment 

section to this data field in Exhibits A 

through D to provide for the reporting 

of a Yes/No indication of whether the 

swap will be submitted for clearing to 

a DCO. 

• Clearing venue—The Commission 

is proposing modifications to the 

Comment section of this data field in 

Exhibits A–D to provide for the 

reporting of only the LEI of the 

derivatives clearing organization. 

ii. Proposed Addition of New PET Data 

Fields Applicable to All Reporting 

Entities for All Swaps 

The Commission proposes to add to 

Exhibits A–D the following new PET 

fields which would be applicable to all 

reporting entities for all swaps: 

• Asset class—This data field would 

provide the specific asset class for the 

swap. Field values: credit, equity, FX, 

rates and other commodity. 

• An indication of whether the 

reporting counterparty is a derivatives 

clearing organization with respect to the 

swap. 

• Clearing exception or exemption 

type—This field would provide the type 


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103As noted above, in addition to the end-user 

exception to the swap clearing requirement set forth 

in section 2(h)(7) of the CEA and codified in part 

50 of the Commission’s regulations, the 

Commission has published two exemptions to the 

swap clearing requirement: the inter-affiliate 

exemption (§ 50.52) and the financial cooperative 

exemption (§ 50.51). 

104See also § 45.10(a)(1), (b)(1)(iii), (b)(2)(ii), 

(c)(1)(iii), (c)(2)(ii), and (c)(3) (requiring entities 

with reporting obligations to transmit to the DCO 

for swaps submitted for clearing ‘‘the identity of the 

swap data repository to which required swap 

creation data is reported’’ and the USI for the swap). 

105 Id. 

106See CMC letter at 3 (recommending that the 

Commission reduce the number and complexity of 

data fields required to improve data reporting); 

CME letter at 17–19 (providing recommendations 

on modification for specific data fields and arguing 

against requiring certain additional reporting); 

DTCC letter at 3, appendix at 15 (suggesting that the 

Commission consider whether requiring fewer data 

elements would better enable the Commission and 

other regulators to fulfill their regulatory 

obligations); International Energy Credit 

Association letter at 5–6 (arguing that existing swap 

data reporting requirements do not need to be 

expanded and that data reporting would be 

improved by reducing the current reporting 

burden); Swiss Re letter at 5 (describing reporting 

difficulties for specific data fields). 

of clearing exception or exemption 

being claimed. Field values: End user, 

Inter-affiliate or Cooperative. 

The asset class data field will assist 

the Commission in identifying the asset 

class for swaps reported to registered 

SDRs pursuant to part 45. The 

indication of whether the reporting 

counterparty is a DCO with respect to 

the swap data field is consistent with 

proposed § 45.8(i), which designates the 

DCO as the reporting counterparty for 

clearing swaps, and the existing PET 

data fields that require certain 

information related to the registration 

status of the counterparties to be 

included in PET data reporting. The 

clearing exception or exemption types 

data field will provide information with 

respect to the specific exception or 

exemption from the clearing 

requirement that is being elected for the 

swap.103

iii. Proposed Addition of New PET Data 

Fields Applicable to DCOs for Clearing 

Swaps 

The Commission also proposes to 

modify Exhibits A–D in order to add 

new PET fields specifically to be 

reported by DCOs for clearing swaps. 

The proposed fields, which would be 

placed under the heading ‘‘Additional 

Data Categories and Fields for Clearing 

Swaps’’ in each table included as 

Exhibits A–D, would more accurately 

capture the additional, unique features 

of clearing swaps that are not relevant 

to uncleared swaps. The newly 

proposed data fields that must be 

reported by DCOs for clearing swaps 

include the following: 

• Clearing swap USIs—This data field 

would provide the USI for each clearing 

swap that replaces the original swap, 

other than the USI for which the PET 

data is currently being reported. 

• Original swap USI—This data field 

would provide the USI for the original 

swap that was replaced by clearing 

swaps.104

• Original swap SDR—This data field 

would provide the LEI of the SDR to 

which the original swap was 

reported.105

• Clearing member LEI—This data 

field would provide the LEI of the 

clearing member. 

• Clearing member client account— 

This data field would provide the 

account number for the client, if 

applicable, of the clearing member. 

• Origin (house or customer)—This 

data field would provide information 

regarding whether the clearing member 

acted as principal for a house trade or 

agent for a customer trade. 

• Clearing Receipt Timestamp—This 

data field would provide the date and 

time at which the DCO received the 

original swap that was submitted for 

clearing. 

• Clearing Acceptance Timestamp— 

This data field would provide the date 

and time at which the DCO accepted the 

original swap that was submitted for 

clearing. 

Some commenters argued that the 

Commission should not require 

additional data fields for reporting and 

should reduce the number of fields 

currently required.106 The Commission 

is of the view that the proposed 

modifications to existing PET data fields 

will add clarity to the current reporting 

requirements and, in regards to the 

additional fields, will require the 

reporting of information that is essential 

to the efficient operation of reporting of 

the swaps involved in a cleared swap 

transaction. 

3. Request for Comment 

The Commission requests comment 

on all aspects of the proposed revisions 

to the PET data tables found in 

appendix 1 to part 45 and the proposed 

‘‘Additional Data Categories and Fields 

for Clearing Swaps.’’ The Commission 

also invites comments on the following: 

(31) Are there additional data 

categories and fields for clearing swaps 

which are necessary to understand a 

clearing swap and/or the mechanics of 

the clearing process? If so, please 

describe such additional data categories 

and fields. 

(32) Will reporting any of the new or 

revised data categories and fields result 

in any operational or technological 

challenges? If so, please explain. 

(33) Are there other entities, in 

addition to those currently required to 

be identified in swap data reporting, 

that may play some part in the 

execution or reporting of a cleared swap 

transaction? If so, what are they? Should 

their identifying information be 

reported to a registered SDR as an 

element of PET data? 

(34) Are the newly proposed and 

revised PET data fields included in 

appendix 1, including the PET data 

therein, sufficiently clear? If not, please 

explain. 

III. Request for Comments 

The Commission requests comments 

concerning all aspects of the proposed 

regulations, including, without 

limitation, all of the aspects of the 

proposed regulations on which 

comments have been requested 

specifically herein. The Commission 

also invites comments on the following: 

(35) Please identify any challenges 

that might result from any differences 

between the Commission’s and the 

SEC’s respective proposals for treatment 

of cleared swap transactions. 

(36) Are there differences between the 

Commission’s and the SEC’s respective 

proposals for the reporting of cleared 

swap transactions that should be 

harmonized? If so, please explain. 

(37) Based upon the proposed 

modifications to the swap data reporting 

provisions of part 45, do commenters 

believe that associated modifications are 

necessary to the recordkeeping 

provisions of § 45.2? 

(38) In practice, would DCOs employ 

agents for reporting clearing swaps to an 

SDR? Please explain any ways you 

believe the proposed regulations should 

be modified to facilitate a DCO’s ability 

to employ agents to report clearing 

swaps. 

(39) Please describe the nature of any 

changes necessary, i.e., operational, 

technological, administrative, etc., for 

SEFs, DCMs and reporting 

counterparties to comply with the rules 

proposed in the release, and the length 

of time needed to implement each type 

of change. 

(40) Do the proposed amendments 

and additions to part 45 adequately 

address the reporting of swap 

transaction data for both the principal 

and agency clearing models? If not, 

please explain. 

(41) Do commenters believe that 

additional revisions are necessary to 

part 45 to accurately and timely report 

any other type of swap transaction data 

for clearing transactions? If so, please 

explain. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52560 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

107See 5 U.S.C. 601 et seq. 

108 47 FR 18618, 18618–21, Apr. 30, 1982. 

109 Id. 

110 66 FR 45604, 45609, Aug. 29, 2001. 

111 75 FR 76574, 76595, Dec. 8, 2010 (The Notice 

of Proposed Rulemaking for 17 CFR part 45 

describes why SDRs, SEFs, SDs, and MSPs should 

not be considered small entities). 

112 77 FR 2136, 2170–71, Jan. 13, 2012 (The Final 

Part 45 Rulemaking discussion for non-SD/MSP 

counterparties); 75 FR at 76595, Dec. 8, 2010, (The 

part 45 Notice of Proposed Rulemaking discussion 

for non-SD/MSP counterparties). 

113See 44 U.S.C. 3501. 

114See 44 U.S.C. 3502. 

115See 5 CFR 1320.3(c)(1). 

116See 77 FR 2136, 2171–2176, Jan. 13, 2012. 

117See 77 FR at 2174, Jan. 13, 2012. 

118See 77 FR at 2174 (‘‘The Commission 

anticipates that the reporting required by §§ 45.3 

and 45.4 will to a significant extent be 

automatically completed by electronic computer 

systems; the following burden hours are calculated 

based on the annual burden hours necessary to 

oversee, maintain, and utilize the reporting 

functionality.’’). 

119See id. (‘‘The Commission notes, however, 

that these burdens should not be considered 

additional to the costs of compliance with part 43, 

because the basic data reporting technology, 

processes, and personnel hours and expertise 

needed to fulfill the requirements of part 43 

encompass both the data stream necessary for realtime public reporting and the creation data stream 

necessary for regulatory reporting.’’). 

120See 44 U.S.C. 3501(2) and (3). 

IV. Related Matters 

A. Regulatory Flexibility Act 

The Regulatory Flexibility Act 

(‘‘RFA’’) requires federal agencies, in 

promulgating rules, to consider the 

impact of those rules on small 

entities.107 The rules proposed herein 

will have a direct effect on SDRs, DCOs, 

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

MSP counterparties who are 

counterparties to one or more swaps and 

subject to the Commission’s 

jurisdiction. The Commission has 

previously established certain 

definitions of ‘‘small entities’’ to be used 

by the Commission in evaluating the 

impact of its rules on small entities in 

accordance with the RFA.108 The 

Commission has previously determined 

that DCMs109 and DCOs110 are not small 

entities for the purpose of the RFA. The 

Commission has also previously 

proposed that SDRs, SEFs, SDs, and 

MSPs should not be considered to be 

small entities.111

The Final Part 45 Rulemaking and 

preceding proposal discussed how 

certain non-SD/MSP counterparties 

could be considered small entities in 

certain limited situations, but 

concluded that part 45 does not have a 

significant impact on a substantial 

number of small entities.112 The 

modifications to part 45 proposed 

herein do not modify that conclusion, or 

the reasoning behind it, and therefore 

the Commission does not believe that 

these proposed rules will have a 

significant economic impact on a 

substantial number of small entities. 

Therefore, the Chairman, on behalf of 

the Commission, pursuant to 5 U.S.C. 

605(b), hereby certifies that the 

proposed rules will not have a 

significant economic impact on a 

substantial number of small entities. 

B. Paperwork Reduction Act 

The purposes of the Paperwork 

Reduction Act of 1995, 44 U.S.C. 3501 

et seq. (‘‘PRA’’) are, among other things, 

to minimize the paperwork burden to 

the private sector, to ensure that any 

collection of information by a 

government agency is put to the greatest 

possible uses, and to minimize 

duplicative information collections 

across the government.113 The PRA 

applies to all information, ‘‘regardless of 

form or format,’’ whenever the 

government is ‘‘obtaining, causing to be 

obtained, [or] soliciting’’ information, 

and includes required ‘‘disclosure to 

third parties or the public, of facts or 

opinions,’’ when the information 

collection calls for ‘‘answers to identical 

questions posed to, or identical 

reporting or recordkeeping requirements 

imposed on, ten or more persons.’’ 114

The PRA requirements have been 

determined to include not only 

mandatory but also voluntary 

information collections, and include 

both written and oral 

communications.115 Under the PRA, an 

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 from the Office of Management 

and Budget (‘‘OMB’’). The OMB control 

number of this information collection is 

3038–0089. 

The Commission is not seeking to 

amend information collection 3038– 

0089 because the Commission believes 

that the rule modifications proposed 

herein will not impose any new 

information collection requirements that 

require approval from OMB under the 

PRA. The proposed amendments may 

necessitate changes to market 

participants’ and registered entities’ 

reporting systems, but burdens for the 

maintenance and utilization of reporting 

functionality are already included in the 

approved information collection.116

Any necessary changes to reporting 

functionality will not increase the 

existing annual burden calculated for a 

market participant or registered entity to 

‘‘oversee, maintain, and utilize the 

reporting functionality.’’ 117 Changes to 

the data reported pursuant to the 

proposed amendments, whether in the 

form of additional data fields or the 

shifting of reporting responsibilities, 

also do not impose any new collection 

of information because, as noted in the 

original publication of part 45, reporting 

pursuant to this part is largely automatic 

and electronic, which limits the burden 

of reporting to the hours and cost 

required in maintaining and utilizing an 

entity’s reporting functionality.118

Additionally, though the proposed 

rules clarify the responsibilities of 

certain entities under part 45 where the 

responsibilities were not explicitly 

assigned in the original rule, the 

relevant entities were included in the 

PRA calculation for the original rule, 

meaning that explicitly assigning the 

responsibilities now does not create a 

burden that is not already included in 

information collection 3038–0089. 

Further, the proposed changes, 

especially in the context of swap data 

reporting, could also affect burdens that 

are included in the burdens calculated 

for part 43 of the Commission’s 

regulations and, as described in the 

original publication of part 45, any cost 

or burden created by the proposed 

changes should not be considered 

additional to the burdens already 

calculated for part 43, as applicable.119

To the extent that this rulemaking 

contains provisions that would qualify 

as collections of information for which 

the Commission has already sought and 

obtained a control number from OMB, 

the burden hours associated with those 

provisions are not replicated here, as the 

Commission is obligated to account for 

PRA burden once and the PRA 

encourages multiple applications of a 

single collection.120 Therefore, these 

proposed amendments to part 45 do not, 

by themselves, impose any new 

information collection requirements 

other than those that already exist in 

parts 43 and 45 of the Commission’s 

regulations. 

The Commission specifically invites 

public comment on the accuracy of its 

estimate that no additional information 

collection requirements or changes to 

existing collection requirements would 

result from this proposal. 

Information Collection Comments 

The Commission invites the public 

and other Federal agencies to comment 

on any aspect of the proposed 

information collection requirements 

discussed above. The Commission will 

consider public comments on this 

proposed collection of information in: 

(1) Evaluating whether the proposed 

collection of information is necessary 

for the proper performance of the 


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Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52561 

121 7 U.S.C. 19(a). 

122See ‘‘Swap Data Recordkeeping and Reporting 

Requirements,’’ 77 FR 2136, Jan. 13, 2012. 

123Section 45.1 defines ‘‘required swap creation 

data’’ as primary economic terms data and 

confirmation data. Section 45.1 defines ‘‘primary 

economic terms data’’ as ‘‘all of the data elements 

necessary to fully report all of the primary 

economic terms of a swap in the swap asset class 

of the swap in question’’ and defines ‘‘confirmation 

data’’ as ‘‘all of the terms of a swap matched and 

agreed upon by the counterparties in confirming the 

swap. For cleared swaps, confirmation data also 

includes the internal identifiers assigned by the 

automated systems of the derivatives clearing 

organization to the two transactions resulting from 

novation to the clearing house.’’ 17 CFR 45.1. 

124The SEC proposed certain new rules and rule 

amendments to Regulation SBSR governing 

reporting in the context of security-based swaps. 

See ‘‘Regulation SBSR—Reporting and 

Dissemination of Security-Based Swap 

Information,’’ 80 FR 14740, Mar. 19, 2015. 

125See 17 CFR 39.12(b)(6) (requiring a DCO that 

clears swaps to ‘‘have rules providing that, upon 

acceptance of a swap by the [DCO] for clearing: (i) 

the original swap is extinguished; (ii) the original 

swap is replaced by an equal and opposite swap 

between the [DCO] and each clearing member 

acting as principal for a house trading or acting as 

agent for a customer trade . . .’’). Subsequent to 

adoption of the Final Part 45 Rulemaking, the 

Commission affirmed that the multi-swap 

framework (comprising separate and unique 

original and resulting swaps) should apply for part 

45 reporting purposes. See Statement of the 

Commission on the Approval of Chicago Mercantile 

Exchange Rule 1001 at 6, Mar. 6, 2013, available at 

http://www.cftc.gov/ucm/groups/public/@

newsroom/documents/file/

statementofthecommission.pdf. 

126The Commission also notes that a single swap 

reporting framework for cleared swaps, as opposed 

to a multi-swap framework like the one 

contemplated by § 39.12(b)(6), would likely not be 

consistent with the approach proposed by the SEC 

in its release proposing certain new rules and rule 

amendments to Regulation SBSR. See ‘‘Regulation 

SBSR—Reporting and Dissemination of SecurityBased Swap Information,’’ 80 FR 14740, Mar. 19, 

2015. The Commission discusses the benefits 

associated with harmonizing its approach with that 

of other regulators later in this release. 

functions of the Commission, including 

whether the information will have a 

practical use; 

(2) Evaluating the accuracy of the 

estimated burden of the proposed 

collection of information, including the 

degree to which the methodology and 

the assumptions that the Commission 

employed were valid; 

(3) Enhancing the quality, utility, and 

clarity of the information proposed to be 

collected; and 

(4) Minimizing the burden of the 

proposed information collection 

requirements on derivatives clearing 

organizations, designated contract 

markets, and swap execution facilities, 

including through the use of appropriate 

automated, electronic, mechanical, or 

other technological information 

collection techniques, e.g., permitting 

electronic submission of responses. 

Copies of the submission from the 

Commission to OMB are available from 

the CFTC Clearance Officer, 1155 21st 

Street NW., Washington, DC 20581, 

(202) 418–5160 or from http://

RegInfo.gov. Organizations and 

individuals desiring to submit 

comments on the proposed information 

collection requirements should send 

those comments to: 

• The Office of Information and 

Regulatory Affairs, Office of 

Management and Budget, Room 10235, 

New Executive Office Building, 

Washington, DC 20503, Attn: Desk 

Officer of the Commodity Futures 

Trading Commission; 

• (202) 395–6566 (fax); or 

• OIRAsubmissions@omb.eop.gov 

(email). 

Please provide the Commission with 

a copy of submitted comments so that 

all comments can be summarized and 

addressed in the final rulemaking, and 

please refer to the ADDRESSES section of 

this rulemaking for instructions on 

submitting comments to the 

Commission. OMB is required to make 

a decision concerning the proposed 

information collection requirements 

between 30 and 60 days after 

publication of this release in the Federal 

Register. Therefore, a comment to OMB 

is best assured of receiving full 

consideration if OMB receives it within 

30 calendar days of publication of this 

release. Nothing in the foregoing affects 

the deadline enumerated above for 

public comment to the Commission on 

the proposed rules. 

C. Cost-Benefit Considerations 

1. Introduction 

Section 15(a) of the CEA requires the 

Commission to consider the costs and 

benefits of its actions before 

promulgating a regulation under the 

CEA or issuing certain orders.121

Section 15(a) further specifies that the 

costs and benefits shall be evaluated in 

light of five broad areas of market and 

public concern: (1) Protection of market 

participants and the public; (2) 

efficiency, competitiveness, and 

financial integrity of futures markets; (3) 

price discovery; (4) sound risk 

management practices; and (5) other 

public interest considerations. The 

Commission considers the costs and 

benefits resulting from its discretionary 

determinations with respect to the 

section 15(a) factors. 

The Commission is proposing 

revisions and additions to §§ 45.1, 45.3, 

45.4, 45.5, 45.8, 45.10, and appendix 1 

to part 45 in order to provide clarity to 

counterparties to a swap and registered 

entities regarding their part 45 reporting 

obligations with respect to cleared swap 

transactions and to improve the 

efficiency of data collection and 

maintenance associated with the 

reporting of the swaps involved in a 

cleared swap transaction. 

2. Background 

The swap data reporting framework 

adopted in the Final Part 45 

Rulemaking 122 was largely based on the 

mechanisms for the trading and 

execution of uncleared swaps. The plain 

language of the existing part 45 rules 

presumes the existence of a single, 

continuous swap both prior to and after 

acceptance of a swap for clearing by a 

DCO. Under that framework, registered 

entities and counterparties would each 

report data with respect to a single swap 

when such swap is initially executed, 

referred to as ‘‘creation data,’’ and over 

the course of the swap’s existence, 

referred to as ‘‘continuation data.’’ 123

The Commission has since had 

additional opportunities to consult with 

industry and with other regulators, 

including the Securities and Exchange 

Commission (‘‘SEC’’),124 and to observe 

how the part 45 regulations function in 

practice with respect to swaps that are 

cleared, including how the 

implementation of part 45 interacts with 

the implementation of part 39 of the 

Commission’s regulations, which 

contains provisions applicable to DCOs. 

In particular, § 39.12(b)(6) provides 

that upon acceptance of a swap by a 

DCO for clearing, the original swap is 

extinguished and replaced by equal and 

opposite swaps, with the DCO as the 

counterparty to each such swap.125 The 

original swap that is extinguished upon 

acceptance for clearing is commonly 

referred to as the ‘‘alpha’’ swap and the 

equal and opposite swaps that replace 

the original swap are commonly referred 

to as ‘‘beta’’ and ‘‘gamma’’ swaps. The 

Commission is of the view that the 

existing part 45 regulations could be 

amended to better accommodate the 

multi-swap framework of § 39.12(b)(6) 

by explicitly addressing beta and 

gamma swaps as distinct swaps for 

purposes of part 45 reporting.126

The existing part 45 regulations do 

not explicitly reflect industry practice, 

which the Commission understands is 

to generally report part 45 data for 

cleared swap transactions in 

conformance with the framework 

described in § 39.12(b)(6), where 

separate swaps (alphas, betas, and 

gammas) are represented individually in 

reported swap data. The Commission 

understands that under existing market 

practice: SEFs, DCMs and reporting 

counterparties generally report required 

swap creation data for alpha swaps to 

the SDR of their choice; DCOs that 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
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127While the above reflects the Commission’s 

general understanding of industry practice with 

respect to the reporting of component parts of a 

cleared swap transaction, the Commission does not 

possess complete information regarding certain 

details and nuances of the reporting practices of 

different registered entities and reporting 

counterparties. For instance, in some cases, the 

Commission generally does not possess sufficient 

information to ascertain the period of time between 

the DCO’s acceptance of an alpha swap for clearing 

and the DCO’s report of creation data for beta and 

gamma swaps. Questions eliciting specific details or 

nuances of industry practice that are likely to have 

cost/benefit implications are posed in the relevant 

sections discussing the costs and benefits of each 

proposed amendment or addition below. 

128See ‘‘Swap Data Recordkeeping and Reporting 

Requirements,’’ 77 FR 2136, Jan. 13, 2012. 

129As described in detail throughout Section II of 

this release, the Commission is also proposing a 

number of non-substantive, conforming rule 

amendments in this release, such as renumbering 

certain provisions and modifying the wording of 

existing provisions to ensure consistency with the 

wording in newly proposed definitions. Nonsubstantive amendments of this nature will not be 

discussed in the cost-benefit portion of this release. 

130See ‘‘Review of Swap Data Recordkeeping and 

Reporting Requirements,’’ Request for Comment, 79 

FR 16689, Mar. 26, 2014. 

131 7 U.S.C. 2(i). Section 2(i)(1) makes the swaps 

provisions of the Dodd-Frank Act, and Commission 

regulations promulgated under those provisions, 

applicable to activities outside the United States 

that ‘‘have a direct and significant connection 

accept alpha swaps for clearing 

generally report required swap creation 

data for the beta and gamma swaps that 

result from clearing novation of the 

alpha swap to the SDR of their choice 

(which may be different than the SDR to 

which the alpha swap was reported); 

such DCOs do not in all cases include 

the USI of the alpha swap in creation 

data reported for the beta and gamma 

swaps; and that DCOs may 

inconsistently report, and SDRs may 

inconsistently accept and process, alpha 

swap terminations.127

The gaps between the existing part 45 

regulations, § 39.12(b)(6), and certain 

industry practices, including those 

outlined above, have likely contributed 

to a lack of certainty regarding the 

applicability of the part 45 regulations 

to beta and gamma swaps, including 

which registered entity or counterparty 

is required to report creation data and/ 

or continuation data for such swaps, 

and the manner in which such swaps 

must be reported. The Commission 

understands that this uncertainty 

presents compliance challenges for 

registered entities and reporting 

counterparties. 

Additionally, the lack of clarity 

regarding existing part 45 obligations 

with respect to beta and gamma swaps 

has impacted the accuracy, quality, and 

usefulness of data that is reported for 

cleared swaps. For instance, 

inconsistent DCO reporting of alpha 

swap USIs in creation data for beta and 

gamma swaps hinders the Commission’s 

ability to trace the history of a cleared 

swap transaction from execution 

between the original counterparties to 

clearing novation. Even in cases where 

the Commission can ascertain the USI of 

a specific alpha swap that was replaced 

by beta and gamma swaps, SDR data 

available to the Commission at times 

misleadingly shows some alpha swaps 

as remaining open between the original 

counterparties, when in actuality such 

swaps have been extinguished through 

clearing novation. An inability to 

determine whether an alpha swap has 

been terminated impedes the 

Commission’s ability to analyze cleared 

swap activity and to review swap 

activity for compliance with the clearing 

requirement. Situations where alpha 

swaps that have been terminated that 

appear to remain open create a risk of 

double counting swap notional 

exposures and would impede the 

Commission’s ability to analyze and 

study swaps market activity using 

accurate information. The inability to 

link the different swaps in a cleared 

swap transaction also impedes the 

Commission’s ability to assess 

exposures of market participants in the 

uncleared and cleared swaps markets. 

Additionally, certain creation data fields 

that are currently populated for beta and 

gamma swaps prove difficult to 

interpret, and thus can result in 

inconsistencies in their application and 

reporting among alpha, beta, and gamma 

swaps, hindering the Commission’s 

ability to interpret and analyze data 

regarding beta and gamma swaps. 

The revisions and additions proposed 

in this release would amend part 45 so 

that it differentiates reporting 

requirements for cleared and uncleared 

swap transactions, and so that it 

explicitly addresses swap counterparty 

and registered entity reporting 

requirements for each component (e.g., 

alpha, beta, and gamma) of a cleared 

swap transaction. This proposal will 

remove uncertainty as to which 

counterparty to a swap is responsible for 

reporting creation data for each of the 

various components of a cleared swap 

transaction. The proposal will also make 

clear whose obligation it is to report the 

extinguishment of the original swap 

upon acceptance of a swap by a DCO for 

clearing. These additional details will 

include where, when, and how to report 

the swap data pertaining to the 

establishment of the beta and gamma 

swaps and the reporting of the 

termination message to the SDR that 

originally received the swap data for the 

alpha swap. This proposal is also 

intended to improve the efficiency of 

data collection and maintenance 

associated with the reporting of the 

swaps involved in a cleared swap 

transaction and to improve the 

accuracy, quality, and usefulness of data 

that is reported for cleared swaps and 

alpha swaps that have been 

extinguished due to clearing novation. 

The Commission believes that the 

baseline for this consideration of costs 

and benefits is generally the existing 

part 45 regulations, which were adopted 

in 2011.128 However, as described 

above, in certain circumstances, 

industry practice has been informed by 

certain provisions of part 39 and by 

subsequent industry developments, and 

thus does not necessarily reflect the 

plain language of the existing part 45 

regulations. In those circumstances, the 

baseline for this consideration of costs 

and benefits will be industry practice. 

The following consideration of costs 

and benefits is organized according to 

the rules and rule amendments 

proposed in this release. For each rule, 

the Commission summarizes the 

proposed amendments 129 and identifies 

and discusses the costs and benefits 

attributable to them, including costs and 

benefits raised by commenters in 

response to the Commission’s 2014 

request for comment regarding swap 

data recordkeeping and reporting 

requirements.130 The Commission then 

considers the costs and benefits of 

certain alternatives to the rules 

proposed in this release, as well as the 

costs and benefits of all of the proposed 

rules jointly in light of the five public 

interest considerations set out in section 

15(a) of the CEA. 

The Commission notes that this 

consideration of costs and benefits is 

based on the understanding that the 

swaps market functions internationally, 

with many transactions involving U.S. 

firms taking place across international 

boundaries, with some Commission 

registrants being organized outside of 

the United States, with leading industry 

members typically conducting 

operations both within and outside the 

United States, and with industry 

members commonly following 

substantially similar business practices 

wherever located. Where the 

Commission does not specifically refer 

to matters of location, the below 

discussion of costs and benefits refers to 

the effects of the proposed rules on all 

swaps activity subject to the proposed 

and amended regulations, whether by 

virtue of the activity’s physical location 

in the United States or by virtue of the 

activity’s connection with or effect on 

U.S. commerce under CEA section 

2(i).131 The Commission also notes that 


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activities in, or effect on, commerce of the United 

States;’’ while section 2(i)(2) makes them applicable 

to activities outside the United States that 

contravene Commission rules promulgated to 

prevent evasion of Dodd-Frank. Application of 

section 2(i)(1) to the existing part 45 regulations 

with respect to SDs/MSPs and non-SD/non-MSP 

counterparties is discussed in the Commission’s 

non-binding Interpretive Guidance and Policy 

Statement Regarding Compliance With Certain 

Swap Regulations, 78 FR 45292 (July 26, 2013). 

132See 17 CFR 45.1 (defining ‘‘International 

swap’’ to mean ‘‘a swap required by U.S. law and 

the law of another jurisdiction to be reported both 

to a swap data repository and to a different trade 

repository registered with the other jurisdiction.’’); 

see also 17 CFR 45.3(h) (prescribing requirements 

with respect to international swaps). 

133The Commission determined to utilize the 

proposed to be defined terms ‘‘original swap’’ and 

‘‘clearing swaps’’ in this release rather than the 

industry terms ‘‘alpha, beta, and gamma’’ because 

while a cleared-swap transaction generally 

comprises an original swap that is terminated upon 

novation and the equal and opposite swaps that 

replace it, the Commission is aware of certain 

circumstances in which a cleared swap transaction 

may not involve the replacement of an original 

swap (e.g., an open offer swap, as discussed earlier 

in this release). See note 30, supra. 

134The Commission acknowledges that the 

alternative approaches to the reporting of cleared 

swap transactions separately discussed in the 

Consideration of Alternatives section later in this 

release could also provide these benefits for 

registered entities and swap counterparties. 

However, for the reasons explained in that section, 

the Commission is of the view that the proposed 

approach is more consistent with industry practice 

than the alternatives. 

135Section 45.1 defines ‘‘required swap creation 

data’’ as primary economic terms data and 

confirmation data. Section 45.1 defines ‘‘primary 

economic terms data’’ as ‘‘all of the data elements 

necessary to fully report all of the primary 

economic terms of a swap in the swap asset class 

of the swap in question’’ and defines ‘‘confirmation 

data’’ as ‘‘all of the terms of a swap matched and 

agreed upon by the counterparties in confirming the 

swap. For cleared swaps, confirmation data also 

includes the internal identifiers assigned by the 

automated systems of the derivatives clearing 

organization to the two transactions resulting from 

novation to the clearing house.’’ 17 CFR 45.1. 

136As discussed in greater detail below, proposed 

§ 45.8(i) would designate the DCO as the reporting 

counterparty for clearing swaps. 

137As noted earlier in this release, the proposed 

definition of ‘‘clearing swap’’ is intended to 

encompass: (1) swaps that replace an original swap 

and to which the DCO is a counterparty (i.e. swaps 

commonly known as betas and gammas) and (2) all 

other swaps to which the DCO is a counterparty 

(even if such swap does not replace an original 

swap). The Commission understands that there may 

be instances in which a clearing swap does not 

replace an original swap. For example, in the 

preamble to the part 39 adopting release, the 

Commission noted that ‘‘open offer’’ systems are 

acceptable under § 39.12(b)(6), stating that 

‘‘Effectively, under an open offer system there is no 

‘original’ swap between executing parties that needs 

to be novated; the swap that is created upon 

execution is between the DCO and the clearing 

member, acting either as principal or agent.’’). 

‘‘Derivatives Clearing Organization General 

Provisions and Core Principles,’’ 76 FR 69334, 

69361, Nov. 8, 2011. 

the existing part 45 regulations 

generally contemplate situations where 

a swap may be required to be reported 

pursuant to U.S. law and the law of 

another jurisdiction.132

3. Definitions—Proposed Amendments 

to § 45.1 

Proposed amendments to § 45.1 

would revise the definition of 

‘‘derivatives clearing organization’’ for 

purposes of part 45 to update a 

reference to an existing definition of 

‘‘derivatives clearing organization’’ and 

to make clear that part 45 applies to 

DCOs registered with the Commission. 

Proposed amendments to § 45.1 would 

also add new definitions for ‘‘original 

swaps’’ (swaps that have been accepted 

for clearing by a DCO, commonly 

referred to as ‘‘alpha’’ swaps) and 

‘‘clearing swaps’’ (swaps created 

pursuant to the rules of a DCO that have 

a DCO as a counterparty, including, but 

not limited to, any swap that replaces an 

original swap that was extinguished 

upon acceptance for clearing, commonly 

referred to as ‘‘beta’’ and ‘‘gamma’’ 

swaps). 

These proposed terms would be used 

throughout part 45 to help clarify 

reporting obligations for each swap 

involved in a cleared swap transaction. 

The Commission will use the defined 

terms ‘‘original swaps’’ and ‘‘clearing 

swaps’’ throughout this consideration of 

costs and benefits when discussing the 

future applicability of the rules 

proposed in this release to the particular 

components of a cleared swap 

transaction. Given that these terms are 

a product of this release and are not yet 

part of industry nomenclature, the 

Commission will also use the terms 

‘‘alpha, beta, and gamma’’ throughout 

this consideration of costs and benefits 

when discussing existing industry 

practice and when helpful for purposes 

of clarification.133

i. Costs 

The Commission does not anticipate 

that these proposed definitions, in and 

of themselves, would impose additional 

costs on DCOs or market participants. 

However, these proposed definitions 

will be referenced in other proposed 

substantive provisions. The costs and 

benefits of those substantive 

requirements will be discussed in the 

relevant sections below. 

ii. Benefits 

As discussed earlier in this release, 

the plain language of the existing part 

45 regulations presumes the existence of 

one continuous swap and does not 

explicitly acknowledge distinct 

reporting requirements for the 

individual components (i.e., alphas, 

betas, and gammas) of a cleared swap 

transaction. However, industry practice 

is generally to report part 45 data for 

cleared swap transactions in 

conformance with the multi-swap 

framework described in § 39.12(b)(6) 

(i.e., to report alphas, betas, and gammas 

separately). The definitions of original 

and clearing swaps, along with the other 

revisions to part 45 proposed in this 

release, would help align the part 45 

regulations with part 39 and with 

certain industry practices and would 

explicitly delineate the swap data 

reporting obligations associated with 

each of the swaps involved in a cleared 

swap transaction.134

4. Creation Data Reporting by 

Derivatives Clearing Organizations— 

Proposed Amendments to § 45.3 

Currently, § 45.3 requires reporting to 

an SDR of two types of ‘‘creation data’’ 

generated in connection with a swap’s 

creation: ‘‘primary economic terms 

data’’ and ‘‘confirmation data.’’ 135

Regulation 45.3 governs what creation 

data must be reported, who must report 

it, and deadlines for its reporting. 

Proposed § 45.3(e) would govern 

creation data reporting requirements for 

swaps that fall under the proposed 

definition of clearing swaps. Proposed 

§ 45.3(e) would require a DCO, as 

reporting counterparty under proposed 

§ 45.8(i),136 to report all required swap 

creation data for each clearing swap as 

soon as technologically practicable after 

acceptance of an original swap by a 

DCO for clearing (in the event that the 

clearing swap replaces an original swap) 

or as soon as technologically practicable 

after execution of the clearing swap (in 

the event that the clearing swap does 

not replace an original swap).137

Additionally, the proposed rule 

would require DCOs to electronically 

report to a registered SDR required swap 

creation data for clearing swaps. Swaps 

other than clearing swaps, including 

swaps that later become original swaps 

by virtue of their acceptance for clearing 

by a DCO, would continue to be 

reported as currently required under 

existing § 45.3(a) through (d). The 

Commission is thus proposing an 

approach to creation data reporting that 

would require reporting counterparties 

or SEFs/DCMs to report creation data for 

swaps commonly known as alpha 

swaps, and that would require DCOs to 

report creation data for swaps 

commonly known as beta and gamma 

swaps, and for any other swaps to 

which the DCO is a counterparty. 

With respect to confirmation data 

reporting, for swaps that are intended to 

be cleared at the time of execution, the 

Commission proposes to amend 

§ 45.3(a), (b), (c)(1)(iii), (c)(2)(iii), and 


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138As noted above, the part 45 regulations 

contemplate situations where a swap may be 

required to be reported pursuant to U.S. law and 

the law of another jurisdiction. 

139The Commission’s understanding is that the 

approach proposed in this release for the reporting 

of cleared swaps (e.g., requiring separate reporting 

of alphas, betas, and gammas) is largely consistent 

with the multi-swap approach adopted by a number 

of jurisdictions, including, for example, the 

European Union, Singapore, and Australia. 

140See CEWG letter at 4–5 (stating that reporting 

confirmation data in addition to PET data is highly 

redundant because confirmation data simply 

includes all of the PET data matched and agreed to 

by the counterparties). 

141See ISDA letter at 6–8 (noting that 

‘‘Confirmation data should not be required for an 

alpha trade that is intended for clearing at point of 

execution, whether due to the clearing mandate or 

bilateral agreement. Confirmation data for alpha 

swaps is not meaningful since they will be 

terminated and replaced with cleared swaps 

simultaneously or shortly after execution for which 

confirmation data will be reported by the DCO.’’). 

(d)(2) to remove certain existing 

confirmation data reporting 

requirements. Under the modified rules, 

SEFs/DCMs and reporting 

counterparties would continue to be 

required to report primary economic 

terms (‘‘PET’’) data as part of their 

creation data reporting, but would not 

be required to report confirmation data 

for swaps that are intended to be 

submitted to a DCO for clearing at the 

time of execution. Instead, the DCO 

would be required to report 

confirmation data for clearing swaps 

pursuant to proposed § 45.3(e). 

The Commission is also proposing 

new § 45.3(j), which would provide that: 

For swaps executed on or pursuant to 

the rules of a SEF or DCM (including 

swaps that become original swaps), the 

SEF or DCM would have the obligation 

to choose the SDR for such swaps; for 

all other swaps (including for off-facility 

swaps and/or clearing swaps) the 

reporting counterparty (as determined 

in § 45.8) would have the obligation to 

choose the SDR. 

i. Costs 

The Commission understands that 

under current industry practice, DCOs 

commonly report to SDRs creation data 

for swaps that would fall under the 

definition of clearing swaps. 

Accordingly, to the extent that DCOs 

currently report in conformance with 

proposed § 45.3(e), the Commission 

does not expect the proposed rule to 

result in any additional costs. The 

Commission requests comment on 

specific details of market practice of 

DCOs and whether § 45.3(e) would carry 

any associated costs and/or impose 

additional obligations that go beyond 

existing industry practice of DCOs. 

With respect to registered DCOs 

organized outside of the United States, 

its territories, and possessions that are 

subject to supervision and regulation in 

a foreign jurisdiction, a home country 

trade reporting regulatory regime may 

require the DCO to report swap data to 

a trade repository in the home country 

jurisdiction. For clearing swaps that a 

DCO would be required to report both 

to a registered SDR pursuant to the 

proposed amendments to part 45, and to 

a foreign trade repository pursuant to a 

home country trade reporting regulatory 

regime, a DCO could be expected to 

incur some additional costs in satisfying 

both its CFTC and home country 

reporting obligations, relative to a DCO 

that would only be subject to part 45 

reporting requirements. As DCOs are not 

required to provide such cost 

information to the Commission, the 

Commission presently lacks access to 

the information needed to assess the 

magnitude of the costs relating to 

compliance with reporting obligations 

in multiple jurisdictions. However, the 

Commission expects that industry 

technological innovations may 

effectively allow for satisfaction of swap 

data reporting requirements across more 

than one jurisdiction by means of a 

single data submission, and that a 

streamlined reporting process or other 

technology and operational 

enhancements could mitigate the cost of 

satisfying reporting requirements for 

swaps that may be required to be 

reported to a foreign trade repository 

under a home country regulatory regime 

as well as to a registered SDR pursuant 

to proposed amendments to part 45.138

Additionally, the Commission 

anticipates that adopting an approach to 

the reporting of cleared swaps in the 

United States that is, to the extent 

possible, consistent with the approaches 

adopted in other jurisdictions may also 

minimize compliance costs for entities 

operating in multiple jurisdictions.139

The Commission also notes that any 

costs arising from reporting swap data 

with respect to more than one 

jurisdiction could already have been 

realized, to the extent that DCOs located 

outside the United States are already 

reporting swap data to a registered SDR 

in addition to reporting swap data to 

trade repository pursuant to a home 

country regulatory regime. 

The Commission requests comment 

regarding any unique costs and benefits 

of proposed § 45.3(e), and the proposed 

amendments and additions to part 45 

generally, in regard to extraterritorial 

application, including: 

• Are there any benefits or costs that 

the Commission identified in this 

release that do not apply, or apply to a 

different extent, to the extraterritorial 

application of the proposed additions 

and amendments to part 45? 

• Are there any costs or benefits that 

are unique to the extraterritorial 

application of the proposed additions 

and amendments to part 45? If so, please 

specify how. 

• If significant differences exist in the 

costs and benefits of the extraterritorial 

and domestic application of the 

proposed additions and amendments to 

part 45, what are the implications of 

those differences for the substantive 

requirements of the proposed additions 

and amendments to part 45? 

• To what extent would trade 

reporting requirements in non-U.S. 

jurisdictions require a DCO to report 

swap data for clearing swaps to a foreign 

trade repository in addition to a 

registered SDR? Please describe any 

unique costs resulting from such 

scenarios. 

• Are there any consistencies and/or 

inconsistencies between the proposed 

amendments to part 45 and any foreign 

trade reporting regulations that would 

apply to registered DCOs that would 

impose costs or provide benefits? If so, 

please describe any such consistencies 

and/or inconsistencies and associated 

cost and/or benefit implications. 

The Commission requests that 

comments focus on information and 

analysis specifically relevant to the 

questions posed above as opposed to 

addressing the cross-border scope of the 

part 45 regulations. The Commission 

further requests that commenters supply 

the Commission with relevant data to 

support their comments. 

With respect to confirmation data 

reporting, one commenter contended 

that requiring the reporting of 

confirmation data, in addition to PET 

data, is unnecessarily burdensome if the 

Commission collects the proper PET 

data.140 The Commission anticipates 

that the proposed removal of certain 

confirmation data reporting 

requirements will result in decreased 

costs for swap counterparties and/or 

registered entities that are currently 

gathering and conveying electronically 

the information necessary to report 

confirmation data for swaps that are 

intended to be submitted to a DCO for 

clearing at the time of execution.141

Finally, with respect to choice of SDR, 

the Commission preliminarily believes 

that amendments to § 45.3(j) will not 

impose any additional costs because the 

amendments simply codify existing 

practice—the Commission understands 

that the workflows that apply the 

proposed choice of SDR obligations are 

already in place. 

The Commission preliminarily 

believes that allowing DCOs to choose 


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142The Commission acknowledges that the 

alternatives separately discussed in the 

Consideration of Alternatives section later in this 

release could also provide these benefits for 

registered entities and swap counterparties. 

However, for the reasons explained in that section, 

the Commission is of the view that the proposed 

approach is more consistent with industry practice 

than the alternatives. 

143The Commission notes that industry practice 

with respect to choice of SDR has likely been 

influenced in part by a variety of factors, including, 

among others, the Commission’s statement 

regarding CME Rule 1001. See Statement of the 

Commission on the Approval of CME Rule 1001 at 

6, Mar. 6, 2013. The Commission notes that other 

DCOs have adopted similar rules. See, e.g., ICE 

Clear Credit Rule 211. 

144See OTC Hong Kong letter at 2–3 (contending 

that setup, application development, and testing to 

interface with each SDR is likely to require at least 

150 man-days, and that a more cost-effective 

framework would be to require the original 

counterparty to report termination of the alpha once 

it receives confirmation that the alpha has been 

accepted for clearing, and that the original 

counterparty would already have in place technical 

and operational interfaces with the SDR of its 

choice. The commenter also contended that the 

burden on DCOs of additional reporting outweighs 

the benefits to the CFTC). 

the SDRs to which they report creation 

and continuation data is costminimizing for DCOs because it allows 

them to select the SDR which is most 

cost effective. Therefore, as discussed in 

greater detail below, the Commission 

anticipates that DCOs that have 

affiliated SDRs will continue their 

current practice of reporting clearing 

swaps to their affiliated SDRs. 

ii. Benefits 

Proposed § 45.3(e) would explicitly 

articulate DCO part 45 reporting 

obligations with respect to clearing 

swaps (e.g., betas and gammas).142 As 

explained above, existing § 45.3 does 

not explicitly acknowledge distinct 

reporting requirements for swaps 

commonly known as alphas, betas, and 

gammas. The proposed amendments 

will explicitly delineate creation data 

reporting obligations for each 

component of a cleared swap 

transaction, which would improve the 

Commission’s ability to analyze data 

associated with such transactions. 

Requiring DCOs to report required 

swap creation data for clearing swaps to 

SDRs in the manner proposed in this 

release is expected to result in uniform 

protocols and consistent reporting of the 

individual components of a cleared 

swap transaction. DCOs already have 

the processes, procedures, and 

connectivity in place for reporting swap 

data to some registered SDRs, and given 

that DCOs utilize automated systems to 

communicate with SDRs, the 

Commission expects the data submitted 

by DCOs to SDRs to be standardized and 

readily available. The Commission 

submits that the proposed reporting 

framework for cleared swaps will result 

in more consistent reporting of all 

components of a cleared swap 

transaction, including linkages between 

the related swaps, thereby increasing 

the efficiency of the SDR data collection 

function and enhancing the 

Commission’s ability to utilize the data 

for regulatory purposes, including for 

systemic risk mitigation, market 

monitoring, and market abuse 

prevention. 

With respect to the proposed removal 

of certain confirmation data reporting 

requirements for swaps that are 

intended to be submitted to a DCO for 

clearing at the time of execution, the 

Commission is of the view that the 

proposed confirmation data reporting 

requirements for clearing swaps should 

provide necessary confirmation data 

with respect to cleared swap 

transactions. Given that the proposed 

rules would require the DCO to report 

confirmation data for clearing swaps, 

requiring an additional set of 

confirmation data reporting for the nowterminated original swap, in addition to 

PET data, would be unnecessary and 

provide little benefit. 

Finally, with respect to choice of SDR, 

under proposed § 45.3(j), the party with 

the obligation to choose the SDR has the 

discretion to select the SDR of its 

choice. This could be an SDR with 

which the party already has a working 

relationship, an SDR which is, in the 

registered entity or reporting 

counterparty’s estimation, most costeffective, or an SDR that provides the 

best overall service and product. This 

flexibility to select SDRs may minimize 

reporting errors and foster competition 

between SDRs, as swap data for a 

particular reporting counterparty would 

be maintained in fewer SDRs, and may 

reduce costs, as reporting counterparties 

and registered entities (other than 

DCOs) should not have to establish 

connection to more than one SDR unless 

they prefer to do so. The Commission’s 

understanding is that § 45.3(j) is 

consistent with industry practice,143

and thus that the benefits described 

above are already being realized. 

5. Continuation Data Reporting by 

Derivatives Clearing Organizations— 

Proposed Amendments to § 45.4 

The Commission proposes 

amendments to § 45.4, which governs 

the reporting of swap continuation data 

to an SDR during a swap’s existence 

through its final termination or 

expiration, to incorporate the 

distinction between original swaps and 

clearing swaps. The Commission is also 

proposing to remove § 45.4(b)(2)(ii), 

which requires a reporting counterparty 

that is an SD or MSP to report valuation 

data for cleared swaps daily; instead, 

the DCO would be the only swap 

counterparty required to report swap 

continuation data, including valuation 

data, for clearing swaps. 

Notably, proposed § 45.4(c) would 

require a DCO to report all required 

continuation data for original swaps, 

including original swap terminations, to 

the SDR to which such original swap 

was reported. Finally, proposed 

§ 45.4(c)(2) would require that 

continuation data reported by DCOs 

include the following data fields as life 

cycle event data or state data for original 

swaps pursuant to proposed § 45.4(c)(1): 

(i) The LEI of the SDR to which each 

clearing swap that replaced a particular 

original swap was reported by the DCO 

pursuant to new § 45.3(e); (ii) the USI of 

the original swap that was replaced by 

the clearing swaps; and (iii) the USIs for 

each of the clearing swaps that replace 

the original swap. 

i. Costs 

Currently, § 45.4(b)(2) requires that 

both SDs/MSPs and DCOs report daily 

valuation data for cleared swaps. The 

proposed removal of § 45.4(b)(2)(ii) 

would eliminate the existing valuation 

data reporting requirement for SDs/

MSPs, leaving DCOs as the sole entity 

responsible for daily valuation data 

reporting. As DCOs are currently 

required to report valuation data for 

cleared swaps, they would not bear any 

additional costs as a result of this 

proposed amendment. 

With respect to termination notices, 

one commenter stated that DCOs should 

not be required to report termination of 

a cleared alpha because doing so would 

result in increased operational costs 

associated with establishing linkages to 

all registered SDRs.144 While DCOs are 

currently required to report 

continuation data, including 

terminations, to SDRs under existing 

§ 45.4,145 the Commission’s 

understanding is that DCOs do not 

consistently report original swap 

terminations. DCOs that do not 

currently have connectivity to the SDR 

where the SEF/DCM or original 

counterparties first reported the swap 

would incur costs associated with 

establishing such connectivity. DCOs 

will also realize costs associated with 

the termination notice and submissions 

correcting previously erroneously 

reported or omitted data. However, DCO 

reporting of alpha swap terminations 

has not been uniform or consistent and 


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52566 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

146 ‘‘Required swap continuation data’’ is defined 

in § 45.1 and includes ‘‘life cycle event data’’ or 

‘‘state data’’ (depending on which reporting method 

is used) and ‘‘valuation data.’’ Each of these data 

types is defined in § 45.1. ‘‘Life cycle event data’’ 

means ‘‘all of the data elements necessary to fully 

report any life cycle event.’’ ‘‘State data’’ means ‘‘all 

of the data elements necessary to provide a 

snapshot view, on a daily basis of all of the primary 

economic terms of a swap . . .’’ 17 CFR 45.1. 

147The Commission acknowledges that the 

alternatives separately discussed in the 

Consideration of Alternatives section later in this 

release could also provide these benefits for 

registered entities and swap counterparties. 

However, for the reasons explained in that section, 

the Commission is of the view that the proposed 

approach is superior to the alternatives. 

148As discussed earlier in this release, 

§ 39.12(b)(6) provides that upon acceptance of a 

swap by a DCO for clearing, the original swap is 

extinguished and replaced by equal and opposite 

swaps, with the DCO as the counterparty to each 

such swap. See 17 CFR 39.12(b)(6). 

149See Markit letter at 11. 

150See ABA letter at 2, ISDA letter at 13–14 

(noting that the cost savings for SDs/MSPs who 

would otherwise have to build to additional SDRs 

solely for the purpose of reporting valuation data 

greatly outweighs any perceived benefit of receiving 

such data), JBA letter at 2, MFA letter at 4 

(contending that the valuation data provided by the 

DCO will generally be more accurate and robust 

than that from a given reporting counterparty, as the 

DCOs have procedures in place for valuing open 

swap positions that source and validate pricing 

information from a variety of sources), and NGSA 

letter at 4–5 (noting that imposing valuation data 

reporting on DCOs alone also alleviates unnecessary 

burdens on SDRs, who would receive fewer 

messages on a daily basis). 

151See CFTC Division of Market Oversight, NoAction Letter No. 12–55, Dec. 17, 2012; No-Action 

Letter No. 13–34, Jun. 26, 2013; No-Action Letter 

No. 14–90, Jun. 30, 2014; and No-Action Letter 

No.15–38, June 15, 2015. Staff no-action relief from 

the requirements of § 45.4(b)(2)(ii) has been in effect 

since the initial compliance date for part 45 

reporting. 

may vary by DCO and SDR, and the 

Commission is generally aware that in 

some instances, DCOs currently report 

alpha swap terminations to the original 

SDR that received the original 

submission of the intended to be cleared 

swap. The proposed rules thus will not 

introduce any new costs for those DCOs 

which have already implemented 

systems to report alpha swap 

terminations to SDRs. 

The Commission requests more 

detailed information regarding the 

nature and amount of the costs 

identified above, as well information 

about the nature and amount of any 

other costs likely to result from 

proposed § 45.4(c), including a 

description of market practice as it 

relates to those costs. The Commission 

also requests information regarding 

whether DCOs are currently reporting 

alpha swap terminations and the scope 

of such reporting relative to all swaps 

accepted for clearing by such DCOs. The 

Commission notes that it does not 

possess the information required to 

quantify such costs since DCOs and 

SDRs are not required to provide the 

relevant information regarding cost 

structures to the Commission, but 

requests that commenters provide 

quantitative estimates, as well as data 

and other information to support those 

estimates. 

With respect to the proposed 

additional data fields, as discussed 

above, proposed § 45.4(c)(2) would add 

three data fields (the LEI of the SDR to 

which creation data for the clearing 

swaps was reported, the USI of the 

original swap, and USIs of the clearing 

swaps) to the life cycle event data or to 

state data reported by DCOs as 

continuation data for original swaps.146

All three of these data fields are either 

already in use or can be created by the 

SDR and reported by the DCO. While 

requiring the reporting of additional 

fields may impose costs, DCOs should 

already possess the information needed 

for these fields, and the Commission 

preliminarily believes that the extra 

costs to DCOs associated with proposed 

§ 45.4(c)(2) would be minimal. The 

Commission does not possess the 

information required to quantify such 

costs since DCOs and SDRs are not 

required to provide to the Commission 

the relevant information regarding the 

costs associated with creating and using 

these fields, but requests that 

commenters provide quantitative 

estimates, as well as data and other 

information to support those estimates. 

ii. Benefits 

Proposed § 45.4(c) would ensure that 

data concerning original swaps remains 

current and accurate, allowing the 

Commission to ascertain whether an 

original swap was terminated through 

clearing novation. Original swap data 

that does not reflect the current state of 

the swap frustrates the use of swap data 

for regulatory purposes, including, but 

not limited to, assessing market 

exposures between counterparties and 

evaluating compliance with the clearing 

requirement. The Commission is of the 

view that, to the extent that DCOs’ 

current practices are not currently in 

conformance with the proposed rule, 

requiring the DCO to report 

continuation data for original swaps is 

the most efficient and effective method 

to ensure that data concerning original 

swaps remains current and accurate as 

the DCO, through its rules, determines 

when an original swap is terminated 

and thus has the quickest and easiest 

access to authoritative information 

concerning termination of the original 

swap. 

Proposed § 45.4(c) would ensure that 

part 45 explicitly addresses DCO part 45 

continuation data reporting obligations 

with respect to original swaps (i.e., 

alphas).147 Existing § 45.4(b), which 

addresses ‘‘continuation data reporting 

for cleared swaps,’’ requires DCOs to 

report continuation data for ‘‘all swaps 

cleared by a [DCO],’’ but does not 

explicitly address the multi-swap 

framework provided in § 39.12(b)(6).148

Therefore, uncertainty persists as to 

whether, under existing § 45.4(b) the 

DCO must report continuation data for 

the alpha, beta and gamma swaps. The 

inconsistent interpretation of this 

reporting requirement leads to 

substantial differences in reporting of 

cleared swaps and presents challenges 

for regulatory oversight. The 

Commission understands that the 

continuation data reporting 

requirements could benefit from greater 

clarity regarding the obligations to 

report continuation data for original 

swaps that have been terminated and 

the clearing swaps that replace a 

terminated original swap. 

With respect to the valuation data 

reporting requirements of current 

§ 45.4(b)(2)(ii), while one commenter 

contended that it would be valuable for 

the Commission to receive counterparty 

valuations for all swaps, whether 

cleared or uncleared,149 several 

commenters contended that the DCO is 

the best and ultimate source of the 

valuation reporting for cleared swaps. 

The benefit to the Commission of 

receiving cleared swap valuation data 

from SDs/MSPs would not justify the 

significant expense and difficulty 

incurred by SDs/MSPs to report this 

data to the SDR.150

The Commission preliminarily 

believes that the § 45.4(b)(2) proposal to 

remove the requirement that SDs and 

MSPs report daily valuation data for 

cleared swaps could result in cost 

savings to the extent that any SDs and 

MSPs are not currently relying on noaction relief.151 In addition, because 

there are fewer DCOs than non-DCO 

reporting counterparties, placing the 

responsibility to report valuation data 

solely on the DCO will result in a more 

consistent and standardized valuation 

reporting scheme, as there would be a 

dramatic decrease in the number of 

potential valuation data submitters to 

SDRs. This would benefit SDRs, 

regulators, and the public because it 

would facilitate data aggregation and 

improve the Commission’s ability to 

analyze SDR data and to satisfy its risk 

and market oversight responsibilities, 

including measurement of the notional 


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Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52567 

152The Commission acknowledges that the 

alternatives separately discussed in the 

Consideration of Alternatives section later in this 

release could also provide these benefits for 

registered entities and swap counterparties. 

However, for the reasons explained in that section, 

the Commission is of the view that the proposed 

approach is more consistent with industry practice 

than the alternatives. 

amount of outstanding swaps in the 

market. 

Proposed § 45.4(c)(2) would require 

DCOs to report three important 

continuation data fields for original 

swaps which would assist regulators in 

tracing the history of, and associating 

the individual swaps involved in, a 

cleared swap transaction, from 

execution of the original swap through 

the life of each clearing swap that 

replaces an original swap, regardless of 

the SDR(s) to which the original and 

clearing swaps are reported. The newly 

required continuation data elements to 

be reported by the DCOs for original 

swaps will ensure that original swap 

continuation data includes sufficient 

information to identify, by USI, any 

clearing swaps created from the same 

original swap, as well as the SDR where 

those clearing swaps reside. As such, 

the Commission expects that review of 

any particular swap in a registered SDR 

will include a listing of all other 

relevant USIs with respect to that swap 

(e.g., original swap and clearing swaps). 

The Commission believes that this 

requirement will help ensure the 

availability of information necessary to 

link original swaps and clearing swaps, 

even if those swaps are reported to 

different SDRs. The ability to link 

original and clearing swaps across 

multiple SDRs would decrease data 

fragmentation and would increase the 

ability of the Commission to accurately 

aggregate cleared swap data across 

various SDRs. As a result, proposed 

§ 45.4(c)(2) would improve the ease of 

use for cleared swaps data, which will 

enhance the Commission’s ability to 

perform its regulatory duties, including 

to protect market participants and the 

public. 

6. Unique Swap Identifier Creation by 

Derivatives Clearing Organizations— 

§ 45.5(d) 

Regulation 45.5 currently requires 

that each swap subject to the 

Commission’s jurisdiction be identified 

in all swap recordkeeping and data 

reporting by a USI. The rule establishes 

different requirements for the creation 

and transmission of USIs depending on 

whether the swap is executed on a SEF 

or DCM or executed off-facility with or 

without an SD or MSP reporting 

counterparty. Section 45.5 also provides 

that for swaps executed on or pursuant 

to the rules of a SEF or DCM, the SEF 

or DCM creates the USI, and for swaps 

not executed on or pursuant to the rules 

of a SEF or DCM, the USI is created by 

an SD or MSP reporting counterparty, or 

by the SDR if the reporting counterparty 

is not an SD or MSP. 

Proposed new rule § 45.5(d) would 

require a DCO to generate and assign a 

USI for a clearing swap upon, or as soon 

as technologically practicable after, 

acceptance of an original swap by the 

DCO for clearing (in the event the 

clearing swap replaces an original swap) 

or execution of a clearing swap (in the 

event that the clearing swap does not 

replace an original swap), and prior to 

reporting the required swap creation 

data for the swap. Proposed § 45.5(d) 

contains provisions governing creation 

and assignment of USIs by the DCO that 

are consistent with analogous 

provisions governing creation and 

assignment of USIs by SEFs, DCMs, SDs, 

MSPs, and SDRs. 

i. Costs 

The Commission believes that 

proposed § 45.5(d) is largely consistent 

with industry practice and will not 

result in any additional costs for DCOs. 

Any DCOs that would not be in 

complete conformance with the 

proposed rule might have to enhance 

their existing technological protocols in 

order to create USIs in house, but these 

marginal costs would likely be lower 

than the costs associated with obtaining 

a USI with a separate USI-creating 

entity. While the Commission believes 

that creating USIs in-house, rather than 

with a different USI creating entity, 

might be less costly for DCOs, the 

Commission currently lacks data on that 

comparison and requests that 

commenters submit comments and/or 

data to estimate the quantifiable costs 

associated with USI creation. 

ii. Benefits 

As noted above, the existing part 45 

regulations do not explicitly address the 

assignment of USIs to swaps that fall 

within the proposed definition of 

clearing swaps. Explicitly requiring 

DCOs to generate, assign and transmit 

USIs for clearing swaps would provide 

regulatory certainty with respect to the 

generation and assignment of USIs for 

clearing swaps. The proposal would 

also help ensure consistent and uniform 

USI creation and assignment for such 

swaps and would allow regulators to 

better identify and trace the swaps 

generally involved in cleared swap 

transactions, from execution of the 

original swap through the life of each 

clearing swap. 

7. Determination of the Reporting 

Counterparty for Clearing Swaps–§ 45.8 

Current § 45.8 establishes a hierarchy 

under which the reporting counterparty 

for a particular swap depends on the 

nature of the counterparties involved in 

the transaction. DCOs are not included 

in the existing § 45.8 hierarchy. The 

Commission is proposing to amend 

§ 45.8 in order to identify DCOs in the 

hierarchy as the reporting counterparty 

for clearing swaps. 

i. Costs 

The Commission does not anticipate 

that the proposed amendments to § 45.8, 

in and of themselves, will impose any 

additional costs on registered entities or 

reporting counterparties. The 

Commission preliminarily believes that 

the rule simply reflects established 

reporting arrangements, which, to the 

Commission’s understanding, is for the 

DCO to submit data to the SDR for 

swaps that would fall within the 

definition of clearing swaps. 

ii. Benefits 

As noted above, clearing swaps are 

not explicitly acknowledged in existing 

§ 45.3, and DCOs are not identified as 

reporting counterparties in the reporting 

counterparty hierarchy of § 45.8. The 

Commission expects that modifications 

to the § 45.8 reporting counterparty 

hierarchy will eliminate ambiguity 

regarding which registered entity or 

swap counterparty is required to report 

required creation data for clearing 

swaps, explicitly delineating the nature 

and extent of DCO reporting obligations, 

and affording market participants and 

SDRs a more precise and accurate 

understanding of reporting obligations 

under part 45.152

8. Reporting to a Single Swap Data 

Repository—§ 45.10 

Regulation 45.10 currently requires 

that all swap data for a given swap must 

be reported to a single SDR, which must 

be the same SDR to which creation data 

for that swap is first reported. The time 

and manner in which such data must be 

reported to a single SDR depends on 

whether the swap is executed on a SEF 

or DCM or executed off-facility with or 

without an SD/MSP reporting 

counterparty. The Commission is 

proposing to require DCOs to report all 

data for a particular clearing swap to a 

single SDR. Moreover, consistent with 

current industry practice, proposed 

§ 45.10(d)(3) would require the DCO to 

report all required swap creation data 

for each clearing swap that replaces a 

particular original swap (i.e., the beta 

and gamma that replace a particular 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52568 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

153See, e.g., CDEU letter at 1–2, CMC letter at 5, 

EDF Trading North American at 6, and International 

Energy Credit Association at 5. 

alpha) to a single SDR, such that all 

required creation data and all required 

continuation data for all clearing swaps 

that can be traced back to the same 

original swap would be reported to the 

same SDR (although not necessarily the 

same SDR as the original swap). 

i. Costs 

The Commission does not expect 

DCOs to incur any new costs associated 

with ensuring that clearing swap data is 

reported to a single SDR because the 

requirements of the proposed rule are, 

to the Commission’s understanding, 

consistent with current DCO reporting 

practice. 

ii. Benefits 

The Commission preliminarily 

believes that the benefit of reporting 

data associated with each clearing swap 

to a single SDR is that all required 

creation data, all required continuation 

data for related clearing swaps and, by 

extension, USIs linking clearing swaps 

to the original swap, would be stored 

with the same SDR. This would 

minimize confusion on the part of SDRs 

and regulators regarding which swaps 

are still active and which ones have 

been terminated. The Commission notes 

that the benefits of reporting all data for 

clearing swaps to the same SDR are 

currently being realized, as it is current 

industry practice for DCOs to report 

swaps that would fall under the 

proposed definition of clearing swaps in 

conformance with proposed 

§ 45.10(d)(3). 

9. Primary Economic Terms Data— 

Amendments to the Primary Economic 

Terms Data Tables for Clearing Swaps 

The Commission’s current lists of 

minimum (required) primary economic 

terms for swaps in each swap asset class 

are found in tables in Exhibits A 

through D of appendix 1 to part 45. The 

Commission proposes to add several 

new data elements under the heading 

‘‘Additional Data Categories and Fields 

for Clearing Swaps’’ to Exhibits A 

through D in order to more accurately 

capture the additional, unique features 

of clearing swaps that are not relevant 

to uncleared swaps. The newly 

proposed data fields include: The USI 

for the clearing swap; the USI for the 

original swap; the SDR to which the 

original swap was reported; clearing 

member LEI, clearing member client 

account origin, house or customer 

account; clearing receipt timestamp; and 

clearing acceptance timestamp. 

The Commission also proposes to add 

several new required data elements 

which would be applicable to all swaps, 

and to make conforming changes to 

some existing data elements. The newly 

proposed fields include: Asset class, an 

indication of whether the reporting 

counterparty is a DCO with respect to 

the swap, and clearing exception or 

exemption types. 

i. Costs 

A number of commenters noted that 

making any changes and additions to 

required data fields could present 

substantial costs and operational 

burdens.153 However, these comments, 

which did not come from DCOs, related 

to creation data reporting fulfilled by a 

swap counterparty and not by a 

registered entity. The newly proposed 

data fields for clearing swaps would be 

reported exclusively by DCOs. The 

Commission preliminarily believes that 

DCOs are better situated than swap 

counterparties to report the additional 

fields for clearing swaps without the 

substantial costs and operational 

burdens cited by commenters because 

DCOs already possess certain 

information, or other registered entities 

and swap counterparties are required to 

transmit the information to DCOs, 

regarding those fields. For example, the 

data necessary to report the proposed 

‘‘original swap SDR’’ field is currently 

required to be transmitted to the DCO 

under existing § 45.5, and the 

Commission understands that data 

required by the proposed ‘‘clearing 

receipt timestamp’’ and ‘‘clearing 

acceptance timestamp’’ fields may 

already be generated and present in 

DCO systems—such DCOs would just 

have to transfer those timestamps to the 

reporting system for each clearing swap. 

Similarly, the Commission understands 

that house or customer account 

designations are already collected and 

maintained in relation to certain part 39 

reporting obligations. Hence, there 

would be no additional cost in 

collecting the information necessary to 

report the ‘‘origin (house or customer)’’ 

field, and marginal costs would stem 

from conveying the information in part 

45 swap data reports. The Commission 

notes that it does not currently have 

complete information regarding the 

extent to which DCOs may already 

possess the information required by the 

proposed additional fields. Accordingly, 

for each of the proposed new data fields 

for clearing swaps, the Commission 

requests comment regarding the extent 

to which DCOs currently possess the 

required information, and the costs 

associated with obtaining and/or 

reporting such information. 

The Commission expects that the 

addition of the three data fields 

applicable to all reporting entities for all 

swaps will result in some increase in 

costs. The Commission does not 

currently possess the data needed to 

quantify such costs since reporting 

entities and SDRs are not required to 

provide to the Commission the relevant 

information regarding the costs 

associated with creating and using these 

fields, but requests that commenters 

provide quantitative estimates, as well 

as data and other information to support 

such estimates. The information 

necessary to report these data elements 

is likely to be readily available in 

connection with the execution of swaps, 

with some marginal costs stemming 

from the requirement to include the 

information in PET data reported to an 

SDR (to the extent that such information 

is not already reported). The 

Commission understands that in some 

cases, market practice is to report some 

of the information required by the 

proposed three new data fields 

applicable to all reporting entities for all 

swaps. 

ii. Benefits 

The Commission preliminarily 

believes that the proposed additions to 

the list of minimum primary economic 

terms would result in a variety of 

benefits. Fields such as USI for the 

original swap or the SDR to which the 

original swap was reported may 

facilitate the monitoring of each original 

swap by SDRs and regulators and may 

prevent potential double-counting of 

swap transactions or notional amounts, 

thus improving the accuracy of SDR 

data. Other proposed fields such as 

clearing member LEI or clearing member 

client account information would 

facilitate the Commission’s assessment 

of risk management of market 

participants, promoting the protection 

of the financial integrity of the markets 

and the protection of market 

participants and the public. The asset 

class data field would assist the 

Commission in determining the asset 

class for swaps reported to SDRs, 

enhancing the Commission’s ability to 

identify swaps activity in each asset 

class as well as the capability to use the 

data for regulatory purposes. The 

indication of whether the reporting 

counterparty is a DCO with respect to 

the swap data field would identify when 

a DCO is a reporting counterparty for 

clearing swaps, increasing the ability to 

interpret and utilize data for these 

swaps. The clearing exception or 

exemption types data field would 


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154See TR SEF letter at 10 (stating that the 

information associated with the reporting of alpha 

swaps is necessary for surveillance and audit trail 

purposes, that it would be helpful for the 

Commission to see all three swaps when analyzing 

data, and that if only the beta and gamma are 

reported, the Commission would not easily see 

where the swap was originally executed), AFR letter 

at 5 (stating that in general, all life cycle 

information relevant to track a swap from initial 

conception to clearing should be included in 

reporting, including the reporting of the initial 

alpha swap prior to novation into clearing, because 

such information will be useful in tracking trends 

in clearing use, including enforcement of the 

clearing mandate and optional use of clearing), 

Markit letter at 25 (stating that reporting 

requirements in relation to the alpha swap should 

not be modified or waived because it will often be 

essential for the Commission to know the exact 

origin of a cleared swap transaction, particularly for 

market surveillance purposes), and DTCC letter at 

17–18 (stating that: Any changes to the 

Commission’s reporting requirements that would 

not require the reporting of swap transaction data 

to SDRs of all swaps, including alpha swaps, would 

be inconsistent with CEA section 2(a)(13)(G); that 

a material, price forming event occurs upon 

execution of an alpha swap; that regulators should 

continue to require the reporting of alpha swap data 

in order to maintain a complete audit trail of all 

transaction-level activity related to a swap trade; 

and that in order to understand the origin of cleared 

swaps, regulators must have the ability to access 

and examine the connections between the alpha, 

beta, and gamma swaps). 

155See SIFMA letter at 4 (stating that separately 

reporting alpha swaps to SDRs can result in 

misleading data being retained by SDRs, and that 

this is particularly concerning if alphas and 

subsequent betas and gammas are reported to 

different SDRs, which could result in double 

counting of swaps), CEWG letter at 15 (contending 

that counterparties enter into an alpha with the 

expectation that it will be cleared almost 

immediately thereafter, and that requiring the 

reporting of alpha, beta, and gamma swaps might 

result in parties reporting related swaps to different 

SDRs), CME letter at 2–3 (contending that there is 

no value in having execution venues report 

intended-to-be-cleared swaps that will exist only for 

a few seconds, and that amending the rules such 

that the DCO is the only party with reporting 

responsibilities for intended-to-be-cleared swaps 

would lower operational risk, cost, and burden, and 

would ensure the Commission gets data directly 

from the source), MFA letter, and ISDA letter. 156See DTCC letter at 2–3, appendix at 4, 21 

(arguing that the Commission should adopt a 

‘‘single SDR’’ rule to ensure that all of the data for 

a swap is available in one SDR); ISDA letter at 44 

(contending that original and resulting swaps 

should be reported to the same SDR when a swap 

was executed without the intention or requirement 

to clear, but is subsequently cleared). 157See CMC letter at 1, 3, 6 (noting that ‘‘cleared 

swaps reporting should be handled exclusively by 

DCOs.’’); NFPEA letter at 12 (noting that ‘‘If and 

when a swap is cleared and thereafter, all 

information about the swap should be reported to 

the SDR solely by the DCO’’); EEI letter at 3, 14 

(stating that the Commission should put all 

obligations for reporting cleared swaps on DCOs 

and that the DCO is the only entity with access to 

all relevant information to trace a cleared swap for 

its entire existence and is the only entity that can 

provide the Commission with position information 

for individual market participants); ICE letter at 3, 

17 (stating that the DCO should be the sole 

reporting party for intended to be cleared swaps, 

that reporting prior to acceptance of a swap for 

clearing introduces another point of failure in the 

reporting chain, and that there is little if any benefit 

of requiring a party other than the DCO to report, 

as the intended to be cleared swap exists only for 

a few seconds); CEWG letter at 16 (‘‘The Working 

Group recommends that the Part 45 regulations be 

amended to make clear that the DCO has the 

reporting obligations (creation and continuation 

data) for the original alpha swap and resulting 

positions . . .’’); CME letter at 20 (contending that 

the act of submitting an intended to be cleared swap 

to a DCO should completely discharge the reporting 

obligations of each reporting counterparty, SEF or 

DCM, and that this position would be consistent 

with Congressional intent and would help ensure 

the Commission gets access to the best possible 

information for regulatory purposes without 

imposing unnecessary costs on the Commission or 

market participants); DTCC letter at 21 (noting that 

placing the cleared swap reporting burden 

exclusively on DCOs would eliminate the 

possibility of duplicate reporting for cleared swaps, 

which would eliminate the need to require 

reporting counterparties and SDRs to adopt costly 

and elaborate mechanisms); and NFP Electric 

Associations letter at 4. 

158See LCH letter at 10 (‘‘It would not be 

appropriate to oblige the DCO to enhance Part 45 

reporting in order to source information regarding 

the original execution that should be provided 

directly by the execution venue or execution 

counterparties.’’). 

enable the Commission to ascertain the 

specific exception or exemption from 

the clearing requirement that was 

elected and would assist in the 

evaluation of compliance with the 

clearing requirement, as well as 

assessing market activity in the 

uncleared swap markets. 

10. Consideration of Alternatives 

The Commission considered the costs 

and benefits of certain alternatives 

raised by commenters in response to the 

Commission’s 2014 request for 

comment, including whether part 45 

should require intended to be cleared 

swaps (original swaps) to be reported to 

registered SDRs. Some commenters 

noted that reporting of alpha swaps is 

beneficial and should continue to be 

required,154 while other commenters 

contended that alpha swaps should not 

be required to be reported to an SDR 

and questioned the benefits of requiring 

the reporting of alpha swaps.155

Some commenters stated that the 

Commission should require resulting 

swaps to be reported to the same SDR 

as original swaps, so that the entire 

history of a swap would reside at the 

same SDR.156 A number of commenters 

suggested that part 45 should place 

swap data reporting obligations solely 

on DCOs, including with respect to 

swaps that are intended to be cleared at 

the time of execution and accepted for 

clearing by a DCO (swaps commonly 

known as ‘‘alpha’’ swaps) and swaps 

resulting from clearing (swaps 

commonly known as ‘‘beta’’ and 

‘‘gamma’’ swaps).157 However, one 

commenter noted that it would not be 

appropriate to require a DCO to report 

information related to the execution of 

an alpha swap.158

In light of these comments, the 

Commission considered the costs and 

benefits of four alternatives in 

comparison to the costs and benefits of 

the proposed rule: (1) Requiring original 

and clearing swaps to be reported to the 

same SDR chosen by the reporting 

counterparty or SEF/DCM; (2) requiring 

original and clearing swaps to be 

reported to the same SDR chosen by the 

DCO accepting the swap for clearing; (3) 

requiring only one report for each swap 

intended for clearing, that is, not 

requiring original (alpha) swaps to be 

reported separately from clearing swaps, 

with the SDR chosen by the reporting 

counterparty or SEF/DCM; and (4) 

requiring only one report for each swap 

intended for clearing as in (3), but with 

the SDR chosen by the DCO accepting 

the swap for clearing. 

The first two alternatives each require 

swaps that are intended to be cleared 

and the resulting clearing swaps to be 

reported to the same SDR. If such swaps 

were reported to the same SDR, there 

would be no need for certain 

requirements in proposed § 45.4(c) that 

extra fields, such as clearing swap SDR, 

be included in the report to the SDR for 

the clearing swap to link the clearing 

swap to an original swap on a different 

SDR. Similarly, the need for certain 

clearing swap PET data fields, such as 

the identity of the original SDR, 

intended to be used for linking 

purposes, might not be necessary. This 

would reduce costs relative to the 

proposed rule. Moreover, DCOs would 

incur reduced costs since they would 

only have to report data regarding 

cleared swap transactions to a single 

SDR. Further, market participants and 

the Commission could access all 

information about a single set of related 

original and clearing swaps at a single 

SDR, also reducing costs relative to the 

proposed rule. 

However, because the proposed rule 

more closely reflects current industry 

practice relative to the alternative, there 

would be some potentially significant 

one-time costs, including the costs of 

changes to existing systems, associated 

with changing practices to conform to 

the alternatives. Additionally, a 

substantial portion of aggregation costs 

for regulators, and, likely, market 

participants, arises from the current 

landscape, which includes multiple 

SDRs. The proposed requirements to 

link original and clearing swaps at 

multiple SDRs is a relatively minor 

burden compared with the larger, 

already- incurred costs from having 

multiple SDRs. Additionally, costs 

associated with monitoring and 

aggregation would likely be mitigated by 

the continuation data fields of proposed 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52570 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

159See ‘‘Regulation SBSR—Reporting and 

Dissemination of Security-Based Swap 

Information,’’ 80 FR 14740, Mar. 19, 2015. 

160The Commission’s understanding is that a 

number of jurisdictions, including the European 

Union, Singapore, and Australia, for example, also 

account for a multi-swap approach to the reporting 

of cleared swaps. 

§ 45.4(c)(2), which would enable 

regulators to more effectively connect 

original swaps at one SDR with clearing 

swaps at another SDR. 

Regarding who would choose the 

single SDR, the SDR could be chosen by 

the reporting counterparty (or DCM or 

SEF) or by the DCO. Under either of the 

first two alternatives, one registered 

entity or counterparty’s choice of SDR 

would bind a second registered entity or 

counterparty to also report to that SDR, 

which could be an SDR that the second 

registered entity or counterparty would 

not otherwise select. Allowing the 

reporting counterparty or SEF/DCM to 

choose the SDR would enable the 

reporting party to choose the SDR with 

the best combination of prices and 

service, and thus may promote 

competition among SDRs. Allowing the 

DCO to choose the SDR would likely 

result in the DCO always choosing the 

same SDR, which may be the SDR that 

is affiliated with the DCO (that is, shares 

the same parent company). This would 

reduce costs for DCOs since they would 

need to maintain connectivity with only 

one SDR, but would limit the ability of 

SDRs to compete since DCOs could 

choose to report only to SDRs with 

which they are affiliated. The 

Commission requests comment on the 

extent to which SDRs compete on the 

basis of price or service and the extent 

to which SDRs are chosen on the basis 

of relationships with registered entities 

and reporting counterparties. 

Under the third and fourth 

alternatives, there would be no 

requirement to report intended to be 

cleared swaps (original swaps) 

separately from the resulting clearing 

swaps. Rather, there would only be one 

report for each cleared swap transaction. 

This would be a change from current 

swap market practice but is similar to 

existing practice in the futures market 

where there is no separate record for 

futures contracts before they are cleared. 

As with the first two alternatives, the 

choice of SDR could be made by the 

reporting counterparty as determined 

under current § 45.8, or by the DCO as 

under proposed § 45.8(i). If there is only 

one report for each cleared swap 

transaction, there would be ongoing cost 

savings associated with the need to 

make fewer reports to SDRs. As with the 

first two alternatives, there would be no 

need for the requirement in proposed 

§ 45.4(c) that extra fields, such as 

clearing swap SDR, be included in the 

report to the SDR to link the clearing 

swap to an original swap on a different 

SDR, and market participants and the 

Commission could access all 

information about a single cleared swap 

transaction at a single SDR. This would 

also reduce costs relative to the 

proposed rule. However, the benefits of 

separate reports for original and clearing 

swaps would be foregone and there may 

be a less complete record of the history 

of each cleared swap. It may be possible 

to reclaim these benefits through 

requiring additional fields in each 

cleared swap report (although this 

would also increase costs). Moreover, 

because the proposed rule more closely 

reflects current industry practice 

relative to these alternatives, there 

would be some potentially significant 

one-time costs, including the costs of 

changes to existing systems, associated 

with changing practices to conform to 

the alternatives. The effects of who 

chooses the SDR are similar to the 

effects described for the first two 

alternatives. 

The Commission has determined not 

to propose the alternatives at this time 

because the proposed rule is more 

consistent with current industry 

practice than the alternatives. The 

Commission understands that reporting 

counterparties and registered entities 

are already set up to report alpha swaps 

to registered SDRs (whether or not such 

swaps are intended to be cleared at the 

time of execution) and that DCOs are 

already set up to report beta and gamma 

swaps that result from acceptance of a 

swap for clearing, and have been 

making such reports. Accordingly, the 

industry has already incurred the costs 

of setting up a system for reporting 

cleared swap transactions to SDRs 

(including separate reports for swaps 

that would fall within the proposed 

definitions of original and clearing 

swaps). Changing this system to 

conform to an alternative rule would be 

costly, and the Commission notes that 

these practices did not evolve as a direct 

consequence of Commission actions. 

The Commission also preliminarily 

believes that clarifying distinct 

reporting requirements in part 45 for 

alphas (swaps that become original 

swaps) and betas and gammas (clearing 

swaps that replace original swaps) 

presents a full history of each cleared 

swap transaction and permits the 

Commission and other regulators to 

identify and analyze each component 

part of such transactions. The 

Commission also continues to hold the 

view that placing the part 45 reporting 

obligation on the counterparty or 

registered entity closest to the source of, 

and with the easiest and fastest access 

to, complete and accurate data regarding 

a swap fosters accuracy and 

completeness in swap data reporting. In 

light of these benefits, the Commission 

proposes to maintain the current 

industry practice of separately reporting 

both alpha swaps (i.e., swaps that would 

become original swaps under the 

proposed rules) and beta and gamma 

swaps (i.e., clearing swaps as defined 

under the proposed rules). 

Additionally, the multi-swap 

reporting approach proposed in this 

release is largely consistent with the 

approach proposed by the SEC in its 

release proposing certain new rules and 

rule amendments to Regulation 

SBSR,159 and is also largely consistent 

with the approach adopted by several 

foreign regulators.160 Given that the 

swaps market is global in nature, the 

Commission anticipates that adopting 

an approach to the reporting of cleared 

swaps in the United States that is 

consistent with the approaches adopted 

in other jurisdictions may minimize 

compliance costs for entities operating 

in multiple jurisdictions. 

The Commission requests comment 

on whether the ongoing cost savings of 

adopting an alternative rule would 

justify the one-time costs of changing 

industry practice to conform to the 

alternative rule. 

11. Request for Comment 

The Commission requests comment 

on all aspects of the proposed rules. 

Beyond specific questions interspersed 

throughout its discussion, the 

Commission generally requests 

comment on all aspects of its 

consideration of costs and benefits, 

including: identification and assessment 

of any costs and benefits not discussed 

therein; the potential costs and benefits 

of the alternatives that the Commission 

discussed in this release; data and any 

other information to assist or otherwise 

inform the Commission’s ability to 

quantify or qualitatively describe the 

benefits and costs of the proposed rules; 

and substantiating data, statistics, and 

any other information to support 

positions posited by commenters with 

respect to the Commission’s 

consideration of costs and benefits. 

Commenters also may suggest other 

alternatives to the proposed approach 

where the commenters believe that the 

alternatives would be appropriate under 

the CEA and provide a superior costbenefit profile. 

12. Section 15(a) Factors 

Section 15(a) of the CEA requires the 

Commission to consider the effects of its 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52571 

161 77 FR 2136, Jan. 13, 2012. 

162 Id. at 2188. 

163 Id. at 2189. 

164 Id. 

165As noted earlier in this release, the 

Commission’s understanding is that the DCO is the 

entity that should have the easiest and quickest 

access to full information with respect to PET data 

and confirmation data for clearing swaps, as well 

with respect to terminations of original swaps. 

166 77 FR 2136, 2189, Jan. 13, 2012. 

167 Id. at 2189. 168 Id. 

actions in light of the following five 

factors: 

(1) Protection of market participants 

and the public. In the Final Part 45 

Rulemaking,161 the Commission stated 

that the data reporting requirements of 

part 45 provided for protection of 

market participants and the public by 

providing regulatory agencies with a 

wealth of previously unavailable data in 

a unified format, greatly enhancing the 

ability of market and systemic risk 

regulators to perform their oversight and 

enforcement functions.162 The 

Commission preliminarily believes that 

the proposed amendments would 

enhance these protections by explicitly 

providing how and by whom each of the 

swaps involved in a cleared swap 

transaction should be reported. In 

particular, by requiring DCOs to 

electronically report the creation data 

and continuation data for clearing 

swaps, the Commission believes that 

data on all clearing swaps associated 

with a specific original swap will be 

aggregated at the same SDR, provided by 

a single entity and readily available for 

accurate and complete analysis. This 

would also allow the Commission and 

other regulators to access all data 

pertaining to related clearing swaps 

from a single SDR. These enhancements 

should allow for efficiencies in 

oversight and enforcement functions, 

resulting in improved protection of 

market participants and the public. 

(2) The efficiency, competitiveness 

and financial integrity of the markets. In 

the Final Part 45 Rulemaking, the 

Commission stated that the swap data 

reporting requirements of part 45 would 

enhance the financial integrity of swap 

markets.163 The Commission also stated 

that part 45’s streamlined reporting 

regime, including the counterparty 

hierarchy used to select the reporting 

counterparty, could be considered 

efficient in that it assigns greater 

reporting responsibility to more 

sophisticated entities more likely to be 

able to realize economies of scale and 

scope in reporting costs.164 The 

Commission preliminarily believes that 

the proposed amendments may further 

enhance this efficiency by requiring 

DCOs to report where they are the party 

best equipped to do so.165 In addition, 

by explicitly delineating reporting 

responsibilities associated with each 

component of a cleared swap 

transaction, the proposed rules should 

result in improved reliability and 

consistency of the swaps data reported, 

further enhancing the financial integrity 

of the swap markets. 

The rule obligating the reporting 

counterparty or SEF/DCM to choose the 

SDR for the original intended to be 

cleared swap may promote competition 

among SDRs. However, the Commission 

also acknowledges that by allowing 

DCOs to choose the SDR to which they 

report, competition for SDR services 

would be impacted as a result of some 

DCOs reporting to their affiliated SDR, 

that is, an SDR that shares the same 

parent company as the DCO. Any such 

impact on competition would be a 

consequence of business decisions 

designed to realize costs savings 

associated with the affiliations between 

DCOs and SDRs. It is reasonable to 

expect that DCOs would continue to 

report to affiliated SDRs under the 

proposed rules, but nothing in the 

proposed rules would require them to 

do so. The Commission notes that 

section 21 of the CEA permits a DCO to 

register as an SDR. 

Additionally, the Commission notes 

that a significant portion of swap 

activity is reported to non-affiliated 

SDRs. Sample data from a recent 

representative week suggests that more 

than 40 percent of reported swaps are 

being reported to non-affiliated SDRs. A 

sizeable portion of the market could 

thus avoid the competitive impacts 

described above. The Commission 

requests comment on the extent to 

which a DCO’s choice of an affiliated 

SDR may impact competition, including 

how market share among affiliated and 

non-affiliated SDRs may increase or 

lessen such an impact on competition. 

(3) Price Discovery. In the Final Part 

45 Rulemaking, the Commission stated 

that the swap data reporting 

requirements of part 45 did not have a 

material effect on the price discovery 

process.166 The Commission 

preliminarily believes that the proposed 

amendments also would not have a 

material effect on price discovery. The 

Commission requests comment on 

whether the proposed amendments 

would have any effect on price 

discovery. 

(4) Risk Management. In the Final Part 

45 Rulemaking, the Commission stated 

that the data reporting requirements of 

part 45 did not have a material effect on 

sound risk management practices.167

The Commission preliminarily believes 

that the proposed amendments also 

would not have a material effect on 

sound risk management practices. The 

Commission requests comment on 

whether the proposed amendments 

would have any effect on sound risk 

management practices. 

(5) Other Public Interest 

Considerations. In the Final Part 45 

Rulemaking, the Commission stated that 

the data reporting requirements would 

allow regulators to readily acquire and 

analyze market data, thus streamlining 

the surveillance process.168 The 

Commission preliminarily believes that 

the proposed amendments would 

enhance this consideration by providing 

certainty about how and by whom each 

of the swaps involved in a cleared swap 

transaction should be reported. 

As noted earlier in this release, the 

multi-swap reporting approach 

proposed in this release is largely 

consistent with the approaches 

proposed by the SEC and adopted by 

several foreign regulators. Given that the 

swaps market is global in nature, the 

Commission anticipates that adopting 

an approach that is consistent with the 

approaches adopted by other regulators 

may further other public interest 

considerations by reducing compliance 

costs for entities operating in multiple 

jurisdictions. 

D. Antitrust Considerations 

Section 15(b) of the CEA requires the 

Commission to take into consideration 

the public interest to be protected by the 

antitrust laws and endeavor to take the 

least anticompetitive means of 

achieving the objectives of the CEA, in 

issuing any order or adopting any 

Commission rule or regulation. 

The Commission does not anticipate 

that the proposed amendments to part 

45 will result in anti-competitive 

behavior. However, because the 

proposed amendments affect the 

existing reporting regime and swap 

transaction workflows, the Commission 

encourages comments from the public 

on any aspect of the proposal that may 

have the potential to be inconsistent 

with the anti-trust laws or be anticompetitive in nature. For example, the 

Commission is generally concerned 

with market concentration, the vertical 

integration of registered entities (DCMs, 

SEFs, DCOs, and SDRs), and the use of 

market power rather than competitive 

forces to determine the success or 

failure of particular SDRs. Accordingly, 

the Commission requests comment 

regarding whether the proposal in total, 

or its individual parts, could be deemed 

anti-competitive. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52572 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

List of Subjects in 17 CFR Part 45 

Data recordkeeping requirements and 

data reporting requirements, Swaps. 

For the reasons stated in the 

preamble, the Commodity Futures 

Trading Commission proposes to amend 

17 CFR part 45 as set forth below: 

PART 45—SWAP DATA 

RECORDKEEPING AND REPORTING 

REQUIREMENTS 

■ 1. The authority citation for part 45 is 

revised to read as follows: 

Authority: 7 U.S.C. 6r, 7, 7a–1, 7b–3, 12a, 

and 24a, as amended by Title VII of the Wall 

Street Reform and Consumer Protection Act 

of 2010, Pub. L. 111–203, 124 Stat. 1376 

(2010), unless otherwise noted. 

■ 2. Amend § 45.1 as follows: 

■ a. Add a definition for ‘‘clearing 

swap’’ in alphabetical order; 

■ b. Revise the definition of ‘‘derivatives 

clearing organization’’; and 

■ c. Add a definition for ‘‘original 

swap’’ in alphabetical order. 

The additions and revisions read as 

follows: 

§ 45.1 Definitions. 

* * * * * 

Clearing swap means a swap created 

pursuant to the rules of a derivatives 

clearing organization that has a 

derivatives clearing organization as a 

counterparty, including any swap that 

replaces an original swap that was 

extinguished upon acceptance of such 

original swap by the derivatives clearing 

organization for clearing. 

* * * * * 

Derivatives clearing organization 

means a derivatives clearing 

organization, as defined by § 1.3(d) of 

this chapter, that is registered with the 

Commission. 

* * * * * 

Original swap means a swap that has 

been accepted for clearing by a 

derivatives clearing organization. 

* * * * * 

■ 3. Revise § 45.3 to read as follows: 

§ 45.3 Swap data reporting: creation data. 

Registered entities and swap 

counterparties must report required 

swap creation data electronically to a 

swap data repository as set forth in this 

section and in the manner provided in 

§ 45.13(b). The rules governing 

acceptance and recording of such data 

by a swap data repository are set forth 

in § 49.10 of this chapter. The reporting 

obligations of swap counterparties with 

respect to swaps executed prior to the 

applicable compliance date and in 

existence on or after July 21, 2010, the 

date of enactment of the Dodd-Frank 

Act, are set forth in part 46 of this 

chapter. This section and § 45.4 

establish the general swap data 

reporting obligations of swap dealers, 

major swap participants, non-SD/MSP 

counterparties, swap execution 

facilities, designated contract markets, 

and derivatives clearing organizations to 

report swap data to a swap data 

repository. In addition to the reporting 

obligations set forth in this section and 

§ 45.4, registered entities and swap 

counterparties are subject to other 

reporting obligations set forth in this 

chapter, including, without limitation, 

the following: Swap dealers, major swap 

participants, and non-SD/MSP 

counterparties are also subject to the 

reporting obligations with respect to 

corporate affiliations reporting set forth 

in § 45.6; swap execution facilities, 

designated contract markets, swap 

dealers, major swap participants, and 

non-SD/MSP counterparties are subject 

to the reporting obligations with respect 

to real time reporting of swap data set 

forth in part 43 of this chapter; 

counterparties to a swap for which an 

exception to, or an exemption from, the 

clearing requirement has been elected 

under part 50 of this chapter are subject 

to the reporting obligations set forth in 

part 50 of this chapter; and, where 

applicable, swap dealers, major swap 

participants, and non-SD/MSP 

counterparties are subject to the 

reporting obligations with respect to 

large traders set forth in parts 17 and 18 

of this chapter. Paragraphs (a) through 

(d) of this section apply to all swaps 

except clearing swaps, while paragraph 

(e) applies only to clearing swaps. 

(a) Swaps executed on or pursuant to 

the rules of a swap execution facility or 

designated contract market. For each 

swap executed on or pursuant to the 

rules of a swap execution facility or 

designated contract market, the swap 

execution facility or designated contract 

market must report all primary 

economic terms data for the swap, as 

defined in § 45.1, as soon as 

technologically practicable after 

execution of the swap. If the swap is not 

intended to be submitted to a 

derivatives clearing organization for 

clearing at the time of execution, the 

swap execution facility or designated 

contract market must report all 

confirmation data for the swap, as 

defined in § 45.1, as soon as 

technologically practicable after 

execution of the swap. 

(b) Off-facility swaps subject to the 

clearing requirement. For all off-facility 

swaps subject to the clearing 

requirement under part 50 of this 

chapter, except for those off-facility 

swaps for which an exception or 

exemption from the clearing 

requirement has been elected under part 

50 of this chapter, and those off-facility 

swaps covered by CEA section 

2(a)(13)(C)(iv), required swap creation 

data must be reported as provided in 

paragraph (b) of this section. 

(1) The reporting counterparty, as 

determined pursuant to § 45.8, must 

report all primary economic terms data 

for the swap, within the applicable 

reporting deadline set forth in paragraph 

(b)(1)(i) or (ii) of this section. 

(i) If the reporting counterparty is a 

swap dealer or a major swap participant, 

the reporting counterparty must report 

all primary economic terms data for the 

swap as soon as technologically 

practicable after execution, but no later 

than 15 minutes after execution. 

(ii) If the reporting counterparty is a 

non-SD/MSP counterparty, the reporting 

counterparty must report all primary 

economic terms data for the swap as 

soon as technologically practicable after 

execution, but no later than one 

business hour after execution. 

(2) [Reserved] 

(c) Off-facility swaps not subject to the 

clearing requirement, with a swap 

dealer or major swap participant 

reporting counterparty. For all offfacility swaps not subject to the clearing 

requirement under part 50 of this 

chapter, all off-facility swaps for which 

an exception to, or an exemption from, 

the clearing requirement has been 

elected under part 50 of this chapter, 

and all off-facility swaps covered by 

CEA section 2(a)(13)(C)(iv), for which a 

swap dealer or major swap participant 

is the reporting counterparty, required 

swap creation data must be reported as 

provided in paragraph (c) of this 

section. 

(1) Credit, equity, foreign exchange, 

and interest rate swaps. For each such 

credit swap, equity swap, foreign 

exchange instrument, or interest rate 

swap: 

(i) The reporting counterparty, as 

determined pursuant to § 45.8, must 

report all primary economic terms data 

for the swap, within the applicable 

reporting deadline set forth in paragraph 

(c)(1)(i)(A) or (B) of this section. 

(A) If the non-reporting counterparty 

is a swap dealer, a major swap 

participant, or a non-SD/MSP 

counterparty that is a financial entity as 

defined in CEA section 2(h)(7)(C), or if 

the non-reporting counterparty is a nonSD/MSP counterparty that is not a 

financial entity as defined in CEA 

section 2(h)(7)(C) and verification of 

primary economic terms occurs 

electronically, then the reporting 

counterparty must report all primary 

economic terms data for the swap as 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52573 

soon as technologically practicable after 

execution, but no later than 30 minutes 

after execution. 

(B) If the non-reporting counterparty 

is a non-SD/MSP counterparty that is 

not a financial entity as defined in CEA 

section 2(h)(7)(C), and if verification of 

primary economic terms does not occur 

electronically, then the reporting 

counterparty must report all primary 

economic terms data for the swap as 

soon as technologically practicable after 

execution, but no later than 30 minutes 

after execution. 

(ii) If the swap is not intended to be 

submitted to a derivatives clearing 

organization for clearing at the time of 

execution, the reporting counterparty 

must report all confirmation data for the 

swap, as defined in § 45.1, as soon as 

technologically practicable after 

confirmation, but no later than: 30 

minutes after confirmation if 

confirmation occurs electronically; or 24 

business hours after confirmation if 

confirmation does not occur 

electronically. 

(2) Other commodity swaps. For each 

such other commodity swap: 

(i) The reporting counterparty, as 

determined pursuant to § 45.8, must 

report all primary economic terms data 

for the swap, within the applicable 

reporting deadline set forth in paragraph 

(c)(2)(i)(A) or (B) of this section. 

(A) If the non-reporting counterparty 

is a swap dealer, a major swap 

participant, or a non-SD/MSP 

counterparty that is a financial entity as 

defined in CEA section 2(h)(7)(C), or if 

the non-reporting counterparty is a nonSD/MSP counterparty that is not a 

financial entity as defined in CEA 

section 2(h)(7)(C) and verification of 

primary economic terms occurs 

electronically, then the reporting 

counterparty must report all primary 

economic terms data for the swap as 

soon as technologically practicable after 

execution, but no later than two hours 

after execution. 

(B) If the non-reporting counterparty 

is a non-SD/MSP counterparty that is 

not a financial entity as defined in CEA 

section 2(h)(7)(C), and if verification of 

primary economic terms does not occur 

electronically, then the reporting 

counterparty must report all primary 

economic terms data for the swap as 

soon as technologically practicable after 

execution, but no later than two hours 

after execution. 

(ii) If the swap is not intended to be 

submitted to a derivatives clearing 

organization for clearing at the time of 

execution, the reporting counterparty 

must report all confirmation data for the 

swap, as defined in § 45.1, as soon as 

technologically practicable after 

confirmation, but no later than: 30 

minutes after confirmation if 

confirmation occurs electronically; or 24 

business hours after confirmation if 

confirmation does not occur 

electronically. 

(d) Off-facility swaps not subject to 

the clearing requirement, with a nonSD/MSP reporting counterparty. For all 

off-facility swaps not subject to the 

clearing requirement under part 50 of 

this chapter, all off-facility swaps for 

which an exception to, or an exemption 

from, the clearing requirement has been 

elected under part 50 of this chapter, 

and all off-facility swaps covered by 

CEA section 2(a)(13)(C)(iv), in all asset 

classes, for which a non-SD/MSP 

counterparty is the reporting 

counterparty, required swap creation 

data must be reported as provided in 

paragraph (d) of this section. 

(1) The reporting counterparty, as 

determined pursuant to § 45.8, must 

report all primary economic terms data 

for the swap, as soon as technologically 

practicable after execution, but no later 

than 24 business hours after execution. 

(2) If the swap is not intended to be 

submitted to a derivatives clearing 

organization for clearing at the time of 

execution, the reporting counterparty 

must report all confirmation data for the 

swap, as defined in § 45.1, as soon as 

technologically practicable after 

confirmation, but no later than 24 

business hours after confirmation. 

(e) Clearing swaps. As soon as 

technologically practicable after 

acceptance of an original swap by a 

derivatives clearing organization for 

clearing, or as soon as technologically 

practicable after execution of a clearing 

swap that does not replace an original 

swap, the derivatives clearing 

organization, as reporting counterparty, 

must report all required swap creation 

data for the clearing swap. Required 

swap creation data for clearing swaps 

must include all confirmation data and 

all primary economic terms data, as 

those terms are defined in § 45.1 and as 

included in appendix 1 to this part. 

(f) Allocations. For swaps involving 

allocation, required swap creation data 

shall be reported to a single swap data 

repository as follows. 

(1) Initial swap between reporting 

counterparty and agent. The initial 

swap transaction between the reporting 

counterparty and the agent shall be 

reported as required by § 45.3(a) through 

(d). A unique swap identifier for the 

initial swap transaction must be created 

as provided in § 45.5. 

(2) Post-allocation swaps—(i) Duties 

of the agent. In accordance with this 

section, the agent shall inform the 

reporting counterparty of the identities 

of the reporting counterparty’s actual 

counterparties resulting from allocation, 

as soon as technologically practicable 

after execution, but not later than eight 

business hours after execution. 

(ii) Duties of the reporting 

counterparty. The reporting 

counterparty must report all required 

swap creation data for each swap 

resulting from allocation to the same 

swap data repository to which the initial 

swap transaction is reported as soon as 

technologically practicable after it is 

informed by the agent of the identities 

of its actual counterparties. The 

reporting counterparty must create a 

unique swap identifier for each such 

swap as required in § 45.5. 

(iii) Duties of the swap data 

repository. The swap data repository to 

which the initial swap transaction and 

the post-allocation swaps are reported 

must map together the unique swap 

identifiers of the initial swap 

transaction and of each of the postallocation swaps. 

(g) Multi-asset swaps. For each multiasset swap, required swap creation data 

and required swap continuation data 

shall be reported to a single swap data 

repository that accepts swaps in the 

asset class treated as the primary asset 

class involved in the swap by the swap 

execution facility, designated contract 

market, or reporting counterparty 

making the first report of required swap 

creation data pursuant to this section. 

The registered entity or reporting 

counterparty making the first report of 

required swap creation data pursuant to 

this section shall report all primary 

economic terms for each asset class 

involved in the swap. 

(h) Mixed swaps. (1) For each mixed 

swap, required swap creation data and 

required swap continuation data shall 

be reported to a swap data repository 

registered with the Commission and to 

a security-based swap data repository 

registered with the Securities and 

Exchange Commission. This 

requirement may be satisfied by 

reporting the mixed swap to a swap data 

repository or security-based swap data 

repository registered with both 

Commissions. 

(2) The registered entity or reporting 

counterparty making the first report of 

required swap creation data pursuant to 

this section shall ensure that the same 

unique swap identifier is recorded for 

the swap in both the swap data 

repository and the security-based swap 

data repository. 

(i) International swaps. For each 

international swap, the reporting 

counterparty shall report as soon as 

practicable to the swap data repository 

the identity of the non-U.S. trade 


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repository not registered with the 

Commission to which the swap is also 

reported and the swap identifier used by 

the non-U.S. trade repository to identify 

the swap. If necessary, the reporting 

counterparty shall obtain this 

information from the non-reporting 

counterparty. 

(j) Choice of SDR. The entity with the 

obligation to choose the swap data 

repository to which all required swap 

creation data for the swap is reported 

shall be the entity that is required to 

make the first report of all data pursuant 

to this section, as follows: 

(1) For swaps executed on or pursuant 

to the rules of a swap execution facility 

or designated contract market, the swap 

execution facility or designated contract 

market shall choose the swap data 

repository; 

(2) For all other swaps, the reporting 

counterparty, as determined in section 

45.8, shall choose the swap data 

repository. 

■ 4. Revise § 45.4 to read as follows: 

§ 45.4 Swap data reporting: continuation 

data. 

Registered entities and swap 

counterparties must report required 

swap continuation data electronically to 

a swap data repository as set forth in 

this section and in the manner provided 

in § 45.13(b). The rules governing 

acceptance and recording of such data 

by a swap data repository are set forth 

in § 49.10 of this chapter. The reporting 

obligations of registered entities and 

swap counterparties with respect to 

swaps executed prior to the applicable 

compliance date and in existence on or 

after July 21, 2010, the date of 

enactment of the Dodd-Frank Act, are 

set forth in part 46 of this chapter. This 

section and § 45.3 establish the general 

swap data reporting obligations of swap 

dealers, major swap participants, nonSD/MSP counterparties, swap execution 

facilities, designated contract markets, 

and derivatives clearing organizations to 

report swap data to a swap data 

repository. In addition to the reporting 

obligations set forth in this section and 

§ 45.3, registered entities and swap 

counterparties are subject to other 

reporting obligations set forth in this 

chapter, including, without limitation, 

the following: Swap dealers, major swap 

participants, and non-SD/MSP 

counterparties are also subject to the 

reporting obligations with respect to 

corporate affiliations reporting set forth 

in § 45.6; swap execution facilities, 

designated contract markets, swap 

dealers, major swap participants, and 

non-SD/MSP counterparties are subject 

to the reporting obligations with respect 

to real time reporting of swap data set 

forth in part 43 of this chapter; and, 

where applicable, swap dealers, major 

swap participants, and non-SD/MSP 

counterparties are subject to the 

reporting obligations with respect to 

large traders set forth in parts 17 and 18 

of this chapter. 

(a) Continuation data reporting 

method generally. For each swap, 

regardless of asset class, reporting 

counterparties and derivatives clearing 

organizations required to report swap 

continuation data must do so in a 

manner sufficient to ensure that all data 

in the swap data repository concerning 

the swap remains current and accurate, 

and includes all changes to the primary 

economic terms of the swap occurring 

during the existence of the swap. 

Reporting entities and counterparties 

fulfill this obligation by reporting either 

life cycle event data or state data for the 

swap within the applicable deadlines 

set forth in this section. Reporting 

counterparties and derivatives clearing 

organizations required to report swap 

continuation data for a swap may fulfill 

their obligation to report either life cycle 

event data or state data by reporting: 

(1) Life cycle event data to a swap 

data repository that accepts only life 

cycle event data reporting; 

(2) State data to a swap data 

repository that accepts only state data 

reporting; or 

(3) Either life cycle event data or state 

data to a swap data repository that 

accepts both life cycle event data and 

state data reporting. 

(b) Continuation data reporting for 

clearing swaps. For all clearing swaps, 

required continuation data must be 

reported as provided in this section. 

(1) Life cycle event data or state data 

reporting. The derivatives clearing 

organization, as reporting counterparty, 

must report to the swap data repository 

either: 

(i) All life cycle event data for the 

swap, reported on the same day that any 

life cycle event occurs with respect to 

the swap; or 

(ii) All state data for the swap, 

reported daily. 

(2) Valuation data reporting. 

Valuation data for the swap must be 

reported by the derivatives clearing 

organization, as reporting counterparty, 

daily. 

(c) Continuation data reporting for 

original swaps. For all original swaps, 

required continuation data, including 

terminations, must be reported to the 

swap data repository to which the swap 

that was accepted for clearing was 

reported pursuant to § 45.3(a) through 

(d) in the manner provided in § 45.13(b) 

and in this section, and must be 

accepted and recorded by such swap 

data repository as provided in § 49.10 of 

this chapter. 

(1) Life cycle event data or state data 

reporting. The derivatives clearing 

organization that accepted the swap for 

clearing must report to the swap data 

repository either: 

(i) All life cycle event data for the 

swap, reported on the same day that any 

life cycle event occurs with respect to 

the swap; or 

(ii) All state data for the swap, 

reported daily. 

(2) In addition to all other necessary 

continuation data fields, life cycle event 

data and state data must include all of 

the following: 

(i) The legal entity identifier of the 

swap data repository to which all 

required swap creation data for each 

clearing swap was reported by the 

derivatives clearing organization 

pursuant to § 45.3(e); 

(ii) The unique swap identifier of the 

original swap that was replaced by the 

clearing swaps; and 

(iii) The unique swap identifier of 

each clearing swap that replaces a 

particular original swap. 

(d) Continuation data reporting for 

uncleared swaps. For all swaps that are 

not cleared by a derivatives clearing 

organization, including swaps executed 

on or pursuant to the rules of a swap 

execution facility or designated contract 

market, the reporting counterparty must 

report all required swap continuation 

data as provided in this section. 

(1) Life cycle event data or state data 

reporting. The reporting counterparty 

for the swap must report to the swap 

data repository either all life cycle event 

data for the swap or all state data for the 

swap, within the applicable deadline set 

forth in paragraphs (d)(1)(i) or (ii) of this 

section. 

(i) If the reporting counterparty is a 

swap dealer or major swap participant: 

(A) Life cycle event data must be 

reported on the same day that any life 

cycle event occurs, with the sole 

exception that life cycle event data 

relating to a corporate event of the nonreporting counterparty must be reported 

no later than the second business day 

after the day on which such event 

occurs. 

(B) State data must be reported daily. 

(ii) If the reporting counterparty is a 

non-SD/MSP counterparty: 

(A) Life cycle event data must be 

reported no later than the end of the 

first business day following the date of 

any life cycle event; with the sole 

exception that life cycle event data 

relating to a corporate event of the nonreporting counterparty must be reported 

no later than the end of the second 

business day following such event. 


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(B) State data must be reported daily. 

(2) Valuation data reporting. 

Valuation data for the swap must be 

reported by the reporting counterparty 

for the swap as follows: 

(i) If the reporting counterparty is a 

swap dealer or major swap participant, 

the reporting counterparty must report 

all valuation data for the swap, daily. 

(ii) If the reporting counterparty is a 

non-SD/MSP counterparty, the reporting 

counterparty must report the current 

daily mark of the transaction as of the 

last day of each fiscal quarter. This 

report must be transmitted to the swap 

data repository within 30 calendar days 

of the end of each fiscal quarter. If a 

daily mark of the transaction is not 

available for the swap, the reporting 

counterparty satisfies this requirement 

by reporting the current valuation of the 

swap recorded on its books in 

accordance with applicable accounting 

standards. 

■ 5. Revise § 45.5 to read as follows: 

§ 45.5 Unique swap identifiers. 

Each swap subject to the jurisdiction 

of the Commission shall be identified in 

all recordkeeping and all swap data 

reporting pursuant to this part by the 

use of a unique swap identifier, which 

shall be created, transmitted, and used 

for each swap as provided in paragraphs 

(a) through (f) of this section. 

(a) Swaps executed on or pursuant to 

the rules of a swap execution facility or 

designated contract market. For each 

swap executed on or pursuant to the 

rules of a swap execution facility or 

designated contract market, the swap 

execution facility or designated contract 

market shall create and transmit a 

unique swap identifier as provided in 

paragraphs (a)(1) and (2) of this section. 

(1) Creation. The swap execution 

facility or designated contract market 

shall generate and assign a unique swap 

identifier at, or as soon as 

technologically practicable following, 

the time of execution of the swap, and 

prior to the reporting of required swap 

creation data. The unique swap 

identifier shall consist of a single data 

field that contains two components: 

(i) The unique alphanumeric code 

assigned to the swap execution facility 

or designated contract market by the 

Commission for the purpose of 

identifying the swap execution facility 

or designated contract market with 

respect to unique swap identifier 

creation; and 

(ii) An alphanumeric code generated 

and assigned to that swap by the 

automated systems of the swap 

execution facility or designated contract 

market, which shall be unique with 

respect to all such codes generated and 

assigned by that swap execution facility 

or designated contract market. 

(2) Transmission. The swap execution 

facility or designated contract market 

shall transmit the unique swap 

identifier electronically as follows: 

(i) To the swap data repository to 

which the swap execution facility or 

designated contract market reports 

required swap creation data for the 

swap, as part of that report; 

(ii) To each counterparty to the swap, 

as soon as technologically practicable 

after execution of the swap; 

(iii) To the derivatives clearing 

organization, if any, to which the swap 

is submitted for clearing, as part of the 

required swap creation data transmitted 

to the derivatives clearing organization 

for clearing purposes. 

(b) Off-facility swaps with a swap 

dealer or major swap participant 

reporting counterparty. For each offfacility swap where the reporting 

counterparty is a swap dealer or major 

swap participant, the reporting 

counterparty shall create and transmit a 

unique swap identifier as provided in 

paragraphs (b)(1) and (2) of this section. 

(1) Creation. The reporting 

counterparty shall generate and assign a 

unique swap identifier as soon as 

technologically practicable after 

execution of the swap and prior to both 

the reporting of required swap creation 

data and the transmission of data to a 

derivatives clearing organization if the 

swap is to be cleared. The unique swap 

identifier shall consist of a single data 

field that contains two components: 

(i) The unique alphanumeric code 

assigned to the swap dealer or major 

swap participant by the Commission at 

the time of its registration as such, for 

the purpose of identifying the swap 

dealer or major swap participant with 

respect to unique swap identifier 

creation; and 

(ii) An alphanumeric code generated 

and assigned to that swap by the 

automated systems of the swap dealer or 

major swap participant, which shall be 

unique with respect to all such codes 

generated and assigned by that swap 

dealer or major swap participant. 

(2) Transmission. The reporting 

counterparty shall transmit the unique 

swap identifier electronically as follows: 

(i) To the swap data repository to 

which the reporting counterparty 

reports required swap creation data for 

the swap, as part of that report; 

(ii) To the non-reporting counterparty 

to the swap, as soon as technologically 

practicable after execution of the swap; 

and 

(iii) To the derivatives clearing 

organization, if any, to which the swap 

is submitted for clearing, as part of the 

required swap creation data transmitted 

to the derivatives clearing organization 

for clearing purposes. 

(c) Off-facility swaps with a non-SD/ 

MSP reporting counterparty. For each 

off-facility swap for which the reporting 

counterparty is a non-SD/MSP 

counterparty, the swap data repository 

to which primary economic terms data 

is reported shall create and transmit a 

unique swap identifier as provided in 

paragraphs (c)(1) and (2) of this section. 

(1) Creation. The swap data repository 

shall generate and assign a unique swap 

identifier as soon as technologically 

practicable following receipt of the first 

report of required swap creation data 

concerning the swap. The unique swap 

identifier shall consist of a single data 

field that contains two components: 

(i) The unique alphanumeric code 

assigned to the swap data repository by 

the Commission at the time of its 

registration as such, for the purpose of 

identifying the swap data repository 

with respect to unique swap identifier 

creation; and 

(ii) An alphanumeric code generated 

and assigned to that swap by the 

automated systems of the swap data 

repository, which shall be unique with 

respect to all such codes generated and 

assigned by that swap data repository. 

(2) Transmission. The swap data 

repository shall transmit the unique 

swap identifier electronically as follows: 

(i) To the counterparties to the swap, 

as soon as technologically practicable 

following creation of the unique swap 

identifier; and 

(ii) To the derivatives clearing 

organization, if any, to which the swap 

is submitted for clearing, as soon as 

technologically practicable following 

creation of the unique swap identifier. 

(d) Clearing swaps. For each clearing 

swap, the derivatives clearing 

organization that is a counterparty to 

such swap shall create and transmit a 

unique swap identifier as provided in 

paragraphs (d)(1) and (2) of this section. 

(1) Creation. The derivatives clearing 

organization shall generate and assign a 

unique swap identifier upon, or as soon 

as technologically practicable after, 

acceptance of an original swap by the 

derivatives clearing organization for 

clearing or execution of a clearing swap 

that does not replace an original swap, 

and prior to the reporting of required 

swap creation data for the clearing 

swap. The unique swap identifier shall 

consist of a single data field that 

contains two components: 

(i) The unique alphanumeric code 

assigned to the derivatives clearing 

organization by the Commission for the 

purpose of identifying the derivatives 


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clearing organization with respect to 

unique swap identifier creation; and 

(ii) An alphanumeric code generated 

and assigned to that clearing swap by 

the automated systems of the derivatives 

clearing organization, which shall be 

unique with respect to all such codes 

generated and assigned by that 

derivatives clearing organization. 

(2) Transmission. The derivatives 

clearing organization shall transmit the 

unique swap identifier electronically as 

follows: 

(i) To the swap data repository to 

which the derivatives clearing 

organization reports required swap 

creation data for the clearing swap, as 

part of that report; and 

(ii) To its counterparty to the clearing 

swap, as soon as technologically 

practicable after acceptance of a swap 

by the derivatives clearing organization 

for clearing or execution of a clearing 

swap that does not replace an original 

swap. 

(e) Allocations. For swaps involving 

allocation, unique swap identifiers shall 

be created and transmitted as follows. 

(1) Initial swap between reporting 

counterparty and agent. The unique 

swap identifier for the initial swap 

transaction between the reporting 

counterparty and the agent shall be 

created as required by paragraphs (a) 

through (c) of this section, and shall be 

transmitted as follows: 

(i) If the unique swap identifier is 

created by a swap execution facility or 

designated contract market, the swap 

execution facility or designated contract 

market must include the unique swap 

identifier in its swap creation data 

report to the swap data repository, and 

must transmit the unique identifier to 

the reporting counterparty and to the 

agent. 

(ii) If the unique swap identifier is 

created by the reporting counterparty, 

the reporting counterparty must include 

the unique swap identifier in its swap 

creation data report to the swap data 

repository, and must transmit the 

unique identifier to the agent. 

(2) Post-allocation swaps. The 

reporting counterparty must create a 

unique swap identifier for each of the 

individual swaps resulting from 

allocation, as soon as technologically 

practicable after it is informed by the 

agent of the identities of its actual 

counterparties, and must transmit each 

such unique swap identifier to: 

(i) The non-reporting counterparty for 

the swap in question. 

(ii) The agent. 

(iii) The derivatives clearing 

organization, if any, to which the swap 

is submitted for clearing, as part of the 

required swap creation data transmitted 

to the derivatives clearing organization 

for clearing purposes. 

(f) Use. Each registered entity or swap 

counterparty subject to the jurisdiction 

of the Commission shall include the 

unique swap identifier for a swap in all 

of its records and all of its swap data 

reporting concerning that swap, from 

the time it creates or receives the unique 

swap identifier as provided in this 

section, throughout the existence of the 

swap and for as long as any records are 

required by the CEA or Commission 

regulations to be kept by that registered 

entity or counterparty concerning the 

swap, regardless of any life cycle events 

or any changes to state data concerning 

the swap, including, without limitation, 

any changes with respect to the 

counterparties to or the ownership of 

the swap. This requirement shall not 

prohibit the use by a registered entity or 

swap counterparty in its own records of 

any additional identifier or identifiers 

internally generated by the automated 

systems of the registered entity or swap 

counterparty, or the reporting to a swap 

data repository, the Commission, or 

another regulator of such internally 

generated identifiers in addition to the 

reporting of the unique swap identifier. 

■ 6. Revise § 45.8 to read as follows: 

§ 45.8 Determination of which 

counterparty must report. 

The determination of which 

counterparty is the reporting 

counterparty for all swaps, except 

clearing swaps, shall be made as 

provided in paragraphs (a) through (h) 

of this section. The determination of 

which counterparty is the reporting 

counterparty for all clearing swaps shall 

be made as provided in paragraph (i) of 

this section. 

(a) If only one counterparty is a swap 

dealer, the swap dealer shall be the 

reporting counterparty. 

(b) If neither counterparty is a swap 

dealer, and only one counterparty is a 

major swap participant, the major swap 

participant shall be the reporting 

counterparty. 

(c) If both counterparties are non-SD/ 

MSP counterparties, and only one 

counterparty is a financial entity as 

defined in CEA section 2(h)(7)(C), the 

counterparty that is a financial entity 

shall be the reporting counterparty. 

(d) If both counterparties are swap 

dealers, or both counterparties are major 

swap participants, or both 

counterparties are non-SD/MSP 

counterparties that are financial entities 

as defined in CEA section 2(h)(7)(C), or 

both counterparties are non-SD/MSP 

counterparties and neither counterparty 

is a financial entity as defined in CEA 

section 2(h)(7)(C): 

(1) For a swap executed on or 

pursuant to the rules of a swap 

execution facility or designated contract 

market, the counterparties shall agree 

which counterparty shall be the 

reporting counterparty. 

(2) For an off-facility swap, the 

counterparties shall agree as one term of 

their swap which counterparty shall be 

the reporting counterparty. 

(e) Notwithstanding the provisions of 

paragraphs (a) through (d) of this 

section, if both counterparties to a swap 

are non-SD/MSP counterparties and 

only one counterparty is a U.S. person, 

that counterparty shall be the reporting 

counterparty. 

(f) Notwithstanding the provisions of 

paragraphs (a) through (e) of this 

section, if neither counterparty to a 

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

executed on or pursuant to the rules of 

a swap execution facility or designated 

contract market or otherwise executed 

in the United States, or is cleared by a 

derivatives clearing organization: 

(1) For such a swap executed on or 

pursuant to the rules of a swap 

execution facility or designated contract 

market, the counterparties shall agree 

which counterparty shall be the 

reporting counterparty. 

(2) For an off-facility swap, the 

counterparties shall agree as one term of 

their swap which counterparty shall be 

the reporting counterparty. 

(g) If a reporting counterparty selected 

pursuant to paragraphs (a) through (f) of 

this section ceases to be a counterparty 

to a swap due to an assignment or 

novation, the reporting counterparty for 

reporting of required swap continuation 

data following the assignment or 

novation shall be selected from the two 

current counterparties as provided in 

paragraphs (g)(1) through (4) of this 

section. 

(1) If only one counterparty is a swap 

dealer, the swap dealer shall be the 

reporting counterparty and shall fulfill 

all counterparty reporting obligations. 

(2) If neither counterparty is a swap 

dealer, and only one counterparty is a 

major swap participant, the major swap 

participant shall be the reporting 

counterparty and shall fulfill all 

counterparty reporting obligations. 

(3) If both counterparties are non-SD/ 

MSP counterparties, and only one 

counterparty is a U.S. person, that 

counterparty shall be the reporting 

counterparty and shall fulfill all 

counterparty reporting obligations. 

(4) In all other cases, the counterparty 

that replaced the previous reporting 

counterparty by reason of the 

assignment or novation shall be the 

reporting counterparty, unless otherwise 

agreed by the counterparties. 


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(h) For all swaps executed on or 

pursuant to the rules of a swap 

execution facility or designated contract 

market, the rules of the swap execution 

facility or designated contract market 

must require each swap counterparty to 

provide sufficient information to the 

swap execution facility or designated 

contract market to enable the swap 

execution facility or designated contract 

market to report all swap creation data 

as provided in this part. 

(1) To achieve this, the rules of the 

swap execution facility or designated 

contract market must require each 

market participant placing an order with 

respect to any swap traded on the swap 

execution facility or designated contract 

market to include in the order, without 

limitation: 

(i) The legal entity identifier of the 

market participant placing the order. 

(ii) A yes/no indication of whether the 

market participant is a swap dealer with 

respect to the product with respect to 

which the order is placed. 

(iii) A yes/no indication of whether 

the market participant is a major swap 

participant with respect to the product 

with respect to which the order is 

placed. 

(iv) A yes/no indication of whether 

the market participant is a financial 

entity as defined in CEA section 

2(h)(7)(C). 

(v) A yes/no indication of whether the 

market participant is a U.S. person. 

(vi) If applicable, an indication that 

the market participant will elect an 

exception to, or an exemption from, the 

clearing requirement under part 50 of 

this chapter for any swap resulting from 

the order. 

(vii) If the swap will be allocated: 

(A) An indication that the swap will 

be allocated. 

(B) The legal entity identifier of the 

agent. 

(C) An indication of whether the swap 

is a post-allocation swap. 

(D) If the swap is a post-allocation 

swap, the unique swap identifier of the 

initial swap transaction between the 

reporting counterparty and the agent. 

(2) To achieve this, the swap 

execution facility or designated contract 

market must use the information 

obtained pursuant to paragraph (h)(1) of 

this section to identify the counterparty 

that is the reporting counterparty 

pursuant to the CEA and this section. 

(i) Clearing swaps. Notwithstanding 

the provisions of paragraphs (a) through 

(h) of this section, if the swap is a 

clearing swap, the derivatives clearing 

organization that is a counterparty to 

such swap shall be the reporting 

counterparty and shall fulfill all 

reporting counterparty obligations for 

such swap. 

■ 7. Revise § 45.10 to read as follows: 

§ 45.10 Reporting to a single swap data 

repository. 

All swap data for a given swap, which 

shall include all swap data required to 

be reported pursuant to parts 43 and 45 

of this chapter, must be reported to a 

single swap data repository, which shall 

be the swap data repository to which the 

first report of required swap creation 

data is made pursuant to this part. 

(a) Swaps executed on or pursuant to 

the rules of a swap execution facility or 

designated contract market. To ensure 

that all swap data, including all swap 

data required to be reported pursuant to 

parts 43 and 45 of this chapter, for a 

swap executed on or pursuant to the 

rules of a swap execution facility or 

designated contract market is reported 

to a single swap data repository: 

(1) The swap execution facility or 

designated contract market that reports 

required swap creation data as required 

by § 45.3 shall report all such data to a 

single swap data repository. As soon as 

technologically practicable after 

execution, the swap execution facility or 

designated contract market shall 

transmit to both counterparties to the 

swap, and to the derivatives clearing 

organization, if any, that will clear the 

swap, both: 

(i) The identity of the swap data 

repository to which required swap 

creation data is reported by the swap 

execution facility or designated contract 

market; and 

(ii) The unique swap identifier for the 

swap, created pursuant to § 45.5. 

(2) Thereafter, all required swap 

creation data and all required swap 

continuation data reported for the swap 

reported by any registered entity or 

counterparty shall be reported to that 

same swap data repository (or to its 

successor in the event that it ceases to 

operate, as provided in part 49 of this 

chapter). 

(b) Off-facility swaps with a swap 

dealer or major swap participant 

reporting counterparty. To ensure that 

all swap data, including all swap data 

required to be reported pursuant to parts 

43 and 45 of this chapter, for off-facility 

swaps with a swap dealer or major swap 

participant reporting counterparty is 

reported to a single swap data 

repository: 

(1) If the reporting counterparty 

reports primary economic terms data to 

a swap data repository as required by 

§ 45.3: 

(i) The reporting counterparty shall 

report primary economic terms data to 

a single swap data repository. 

(ii) As soon as technologically 

practicable after execution, but no later 

than as required pursuant to § 45.3, the 

reporting counterparty shall transmit to 

the other counterparty to the swap both 

the identity of the swap data repository 

to which primary economic terms data 

is reported by the reporting 

counterparty, and the unique swap 

identifier for the swap created pursuant 

to § 45.5. 

(iii) If the swap will be cleared, the 

reporting counterparty shall transmit to 

the derivatives clearing organization at 

the time the swap is submitted for 

clearing both the identity of the swap 

data repository to which primary 

economic terms data is reported by the 

reporting counterparty, and the unique 

swap identifier for the swap created 

pursuant to § 45.5. 

(2) Thereafter, all required swap 

creation data and all required swap 

continuation data reported for the swap, 

by any registered entity or counterparty, 

shall be reported to the swap data 

repository to which swap data has been 

reported pursuant to paragraph (b)(1) or 

(2) of this section (or to its successor in 

the event that it ceases to operate, as 

provided in part 49 of this chapter). 

(c) Off-facility swaps with a non-SD/ 

MSP reporting counterparty. To ensure 

that all swap data, including all swap 

data required to be reported pursuant to 

parts 43 and 45 of this chapter, for such 

swaps is reported to a single swap data 

repository: 

(1) If the reporting counterparty 

reports primary economic terms data to 

a swap data repository as required by 

§ 45.3: 

(i) The reporting counterparty shall 

report primary economic terms data to 

a single swap data repository. 

(ii) As soon as technologically 

practicable after execution, but no later 

than as required pursuant to § 45.3, the 

reporting counterparty shall transmit to 

the other counterparty to the swap the 

identity of the swap data repository to 

which primary economic terms data was 

reported by the reporting counterparty. 

(iii) If the swap will be cleared, the 

reporting counterparty shall transmit to 

the derivatives clearing organization at 

the time the swap is submitted for 

clearing the identity of the swap data 

repository to which primary economic 

terms data was reported by the reporting 

counterparty. 

(2) The swap data repository to which 

the swap is reported as provided in 

paragraph (c) of this section shall 

transmit the unique swap identifier 

created pursuant to § 45.5 to both 

counterparties and to the derivatives 

clearing organization, if any, as soon as 


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technologically practicable after 

creation of the unique swap identifier. 

(3) Thereafter, all required swap 

creation data and all required swap 

continuation data reported for the swap, 

by any registered entity or counterparty, 

shall be reported to the swap data 

repository to which swap data has been 

reported pursuant to paragraph (c)(1) of 

this section (or to its successor in the 

event that it ceases to operate, as 

provided in part 49 of this chapter). 

(d) Clearing swaps. To ensure that all 

swap data for a given clearing swap, and 

for clearing swaps that replace a 

particular original swap or that are 

created upon execution of the same 

transaction and that do not replace an 

original swap, is reported to a single 

swap data repository: 

(1) The derivatives clearing 

organization that is a counterparty to 

such clearing swap shall report all 

required swap creation data for that 

clearing swap to a single swap data 

repository. As soon as technologically 

practicable after acceptance of an 

original swap by a derivatives clearing 

organization for clearing or execution of 

a clearing swap that does not replace an 

original swap, the derivatives clearing 

organization shall transmit to the 

counterparty to each clearing swap the 

legal entity identifier of the swap data 

repository to which the derivatives 

clearing organization reported the 

required swap creation data for that 

clearing swap. 

(2) Thereafter, all required swap 

creation data and all required swap 

continuation data reported for that 

clearing swap shall be reported by the 

derivatives clearing organization to the 

swap data repository to which swap 

data has been reported pursuant to 

paragraph (d)(1) of this section (or to its 

successor in the event that it ceases to 

operate, as provided in part 49 of this 

chapter). 

(3) For clearing swaps that replace a 

particular original swap, and for equal 

and opposite clearing swaps that are 

created upon execution of the same 

transaction and that do not replace an 

original swap, the derivatives clearing 

organization shall report all required 

swap creation data and all required 

swap continuation data for such 

clearing swaps to a single swap data 

repository. 

■ 8. Revise appendix 1 to part 45 to read 

as follows: 

Appendix 1 to Part 45—Tables of 

Minimum Primary Economic Terms 

Data 

EXHIBIT A—MINIMUM PRIMARY ECONOMIC TERMS DATA—CREDIT SWAPS AND EQUITY SWAPS

[Enter N/A for fields that are not applicable] 

Data categories and fields for all swaps Comment 

Asset Class ............................................................................................... Field values: credit, equity, FX, rates, other commodity. 

The Unique Swap Identifier for the swap ................................................. As provided in § 45.5. 

The Legal Entity Identifier of the reporting counterparty ......................... As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the reporting counterparty is a swap dealer 

with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a major swap 

participant with respect to the swap.

Yes/No. 

If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA section 

2(h)(7)(C).

Yes/No. 

An indication of whether the reporting counterparty is a derivatives 

clearing organization with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a U.S. person ..... Yes/No. 

An indication that the swap will be allocated ........................................... Yes/No. 

If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent.As provided in § 45.6, or substitute identifier for a natural person. 

An indication that the swap is a post-allocation swap ............................. Yes/No. 

If the swap is a post-allocation swap, the unique swap identifier of the 

initial swap transaction between the reporting counterparty and the 

agent.

As provided in § 45.5. 

The Legal Entity Identifier of the non-reporting party .............................. As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap.Yes/No. 

An indication of whether the non-reporting counterparty is a major 

swap participant with respect to the swap.

Yes/No. 

If the non-reporting counterparty is not a swap dealer or a major swap 

participant with respect to the swap, an indication of whether the 

non-reporting counterparty is a financial entity as defined in CEA 

section 2(h)(7)(C).

Yes/No. 

An indication of whether the non-reporting counterparty is a U.S. person.Yes/No. 

The Unique Product Identifier assigned to the swap ............................... As provided in § 45.7. 

If no Unique Product Identifier is available for the swap because the 

swap is not sufficiently standardized, the taxonomic description of the 

swap pursuant to the CFTC-approved product classification system.

If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the 

swap data repository.

An indication that the swap is a multi-asset swap ................................... Field values: Yes, Not applicable. 

For a multi-asset class swap, an indication of the primary asset class .. Generally, the asset class traded by the desk trading the swap for the 

reporting counterparty. Field values: credit, equity, FX, interest rate, 

other commodity. 

For a multi-asset class swap, an indication of the secondary asset 

class(es).

Field values: credit, equity, FX, interest rate, other commodity. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52579 

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

[Enter N/A for fields that are not applicable] 

Data categories and fields for all swaps Comment 

An indication that the swap is a mixed swap ........................................... Field values: Yes, Not applicable. 

For a mixed swap reported to two non-dually- registered swap data repositories, the identity of the other swap data repository (if any) to 

which the swap is or will be reported.

Field value: LEI of the other SDR to which the swap is or will be reported. 

An indication of the counterparty purchasing protection .......................... Field values: LEI, or substitute identifier for a natural person. 

An indication of the counterparty selling protection ................................. Field values: LEI, or substitute identifier for a natural person. 

Information identifying the reference entity .............................................. The entity that is the subject of the protection being purchased and 

sold in the swap. Field values: LEI, or substitute identifier for a natural person. 

Contract type ............................................................................................ E.g., swap, swaption, forward, option, basis swap, index swap, basket 

swap. 

Block trade indicator ................................................................................. Indication (Yes/No) of whether the swap qualifies as a block trade or 

large notional swap. 

Execution timestamp ................................................................................ The date and time of the trade, expressed using Coordinated Universal 

Time (‘‘UTC’’). 

Execution venue ....................................................................................... The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of 

the swap execution facility or designated contract market, or ‘‘off-facility’’ if not so executed. 

Start date .................................................................................................. The date on which the swap starts or goes into effect. 

Maturity, termination or end date ............................................................. The date on which the swap expires. 

The price ................................................................................................... E.g., strike price, initial price, spread. 

The notional amount, and the currency in which the notional amount is 

expressed.

The amount and currency (or currencies) of any up-front payment ........

Payment frequency of the reporting counterparty .................................... A description of the payment stream of the reporting counterparty, e.g., 

coupon. 

Payment frequency of the non-reporting counterparty ............................ A description of the payment stream of the non-reporting counterparty, 

e.g., coupon. 

Timestamp for submission to swap data repository ................................ Time and date of submission to the swap data repository, expressed 

using UTC, as recorded by an automated system where available, or 

as recorded manually where an automated system is not available. 

Clearing indicator ...................................................................................... Yes/No indication of whether the swap will be submitted for clearing to 

a derivatives clearing organization. 

Clearing venue ......................................................................................... LEI of the derivatives clearing organization. 

If the swap will not be cleared, an indication of whether an exception 

to, or an exemption from, the clearing requirement has been elected 

with respect to the swap under part 50 of this chapter.

Yes/No. 

The identity of the counterparty electing an exception or exemption to 

the clearing requirement under part 50 of this chapter.

Field values: LEI, or substitute identifier for natural person. 

Clearing exception or exemption type ...................................................... The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. 

Indication of collateralization .................................................................... Is the swap collateralized, and if so to what extent? Field values: 

Uncollateralized, partially collateralized, one-way collateralized, fully 

collateralized. 

Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap.Use as many fields as required to report each such term. 

EXHIBIT A—MINIMUM PRIMARY ECONOMIC TERMS DATA—CREDIT SWAPS AND EQUITY SWAPS

[Enter N/A for fields that are not applicable] 

Additional data categories and fields for clearing swaps Comment 

Clearing swap USIs .................................................................................. The USIs of each clearing swap that replaces the original swap that 

was submitted for clearing to the DCO, other than the USI for which 

the PET data is currently being reported (as ‘‘USI’’ field above). 

Original swap USI ..................................................................................... The USI of the original swap submitted for clearing to the DCO that is 

replaced by clearing swaps. 

Original swap SDR ................................................................................... LEI of SDR to which the original swap was reported. 

Clearing member LEI ............................................................................... LEI of Clearing member. 

Clearing member client account ............................................................... Clearing member client account number. 

Origin (house or customer) ...................................................................... An indication whether the clearing member acted as principal for a 

house trade or agent for a customer trade. 

Clearing receipt timestamp ....................................................................... The date and time at which the DCO received the original swap for 

clearing, expressed using UTC. 

Clearing acceptance timestamp ............................................................... The date and time at which the DCO accepted the original swap for 

clearing, expressed using UTC. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52580 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

EXHIBIT B—MINIMUM PRIMARY ECONOMIC TERMS DATA—FOREIGN EXCHANGE TRANSACTIONS (OTHER THAN CROSSCURRENCY SWAPS) 

[Enter N/A for fields that are not applicable] 

Data fields for all swaps Comments 

Asset Class ............................................................................................... Field values: credit, equity, FX, rates, other commodity. 

The Unique Swap Identifier for the swap ................................................. As provided in § 45.5. 

The Legal Entity Identifier of the reporting counterparty ......................... As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the reporting counterparty is a swap dealer 

with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a major swap 

participant with respect to the swap.

Yes/No. 

If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA section 

2(h)(7)(C).

Yes/No. 

An indication of whether the reporting counterparty is a derivatives 

clearing organization with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a U.S. person ..... Yes/No. 

An indication that the swap will be allocated ........................................... Yes/No. 

If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent.As provided in § 45.6, or substitute identifier for a natural person. 

An indication that the swap is a post-allocation swap ............................. Yes/No. 

If the swap is a post-allocation swap, the unique swap identifier of the 

initial swap transaction between the reporting counterparty and the 

agent.

As provided in § 45.5. 

The Legal Entity Identifier of the non-reporting party .............................. As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap.Yes/No. 

An indication of whether the non-reporting counterparty is a major 

swap participant with respect to the swap.

Yes/No. 

If the non-reporting counterparty is not a swap dealer or a major swap 

participant with respect to the swap, an indication of whether the 

non-reporting counterparty is a financial entity as defined in CEA 

section 2(h)(7)(C).

Yes/No. 

An indication of whether the non-reporting counterparty is a U.S. person.Yes/No. 

The Unique Product Identifier assigned to the swap ............................... As provided in § 45.7. 

If no Unique Product Identifier is available for the swap because the 

swap is not sufficiently standardized, the taxonomic description of the 

swap pursuant to the CFTC-approved product classification system.

If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the 

swap data repository.

An indication that the swap is a multi-asset swap ................................... Field values: Yes, Not applicable. 

For a multi-asset class swap, an indication of the primary asset class .. Generally, the asset class traded by the desk trading the swap for the 

reporting counterparty. Field values: credit, equity, FX, interest rate, 

other commodity. 

For a multi-asset class swap, an indication of the secondary asset 

class(es).

Field values: credit, equity, FX, interest rate, other commodity. 

An indication that the swap is a mixed swap ........................................... Field values: Yes, Not applicable. 

For a mixed swap reported to two non-dually- registered swap data repositories, the identity of the other swap data repository (if any) to 

which the swap is or will be reported.

Field value: LEI of the other SDR to which the swap is or will be reported. 

Contract type ............................................................................................ E.g., forward, non-deliverable forward (NDF), non- deliverable option 

(NDO), vanilla option, simple exotic option, complex exotic option. 

Block trade indicator ................................................................................. Indication (Yes/No) of whether the swap qualifies as a block trade or 

large notional swap. 

Execution timestamp ................................................................................ The date and time of the trade, expressed using Coordinated Universal 

Time (‘‘UTC’’). 

Execution venue ....................................................................................... The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of 

the swap execution facility or designated contract market, or ‘‘off-facility’’ if not so executed. 

Currency 1 ................................................................................................ ISO code. 

Currency 2 ................................................................................................ ISO code. 

Notional amount 1 .................................................................................... For currency 1. 

Notional amount 2 .................................................................................... For currency 2. 

Exchange rate .......................................................................................... Contractual rate of exchange of the currencies. 

Delivery type ............................................................................................. Physical (deliverable) or cash (non-deliverable). 

Settlement or expiration date ................................................................... Settlement date, or for an option the contract expiration date. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52581 

EXHIBIT B—MINIMUM PRIMARY ECONOMIC TERMS DATA—FOREIGN EXCHANGE TRANSACTIONS (OTHER THAN CROSSCURRENCY SWAPS)—Continued 

[Enter N/A for fields that are not applicable] 

Data fields for all swaps Comments 

Timestamp for submission to swap data repository ................................ Time and date of submission to the swap data repository, expressed 

using Coordinated Universal Time (‘‘UTC’’), as recorded by an automated system where available, or as recorded manually where an 

automated system is not available. 

Clearing indicator ...................................................................................... Yes/No indication of whether the swap will be submitted for clearing to 

a derivatives clearing organization. 

Clearing venue ......................................................................................... LEI of the derivatives clearing organization. 

If the swap will not be cleared, an exception to, or an exemption from, 

the clearing requirement has been elected with respect to the swap 

under part 50 of this chapter.

Yes/No. 

The identity of the counterparty electing an exception or exemption to 

the clearing requirement under part 50 of this chapter.

Field values: LEI, or substitute identifier, for a natural person. 

Clearing exception or exemption type ...................................................... The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. 

Indication of collateralization .................................................................... Is the trade collateralized, and if so to what extent? Field values: 

Uncollateralized, partially collateralized, one-way collateralized, fully 

collateralized. 

Any other term(s) of the trade matched or affirmed by the counterparties in verifying the trade.E.g., for options, premium, premium currency, premium payment date; 

for non-deliverable trades, settlement currency, valuation (fixing) 

date; indication of the economic obligations of the counterparties. 

Use as many fields as required to report each such term. 

EXHIBIT B—MINIMUM PRIMARY ECONOMIC TERMS DATA—FOREIGN EXCHANGE TRANSACTIONS (OTHER THAN CROSSCURRENCY SWAPS) 

[Enter N/A for fields that are not applicable] 

Additional data categories and fields for clearing swaps Comment 

Clearing swap USIs .................................................................................. The USIs of each clearing swap that replaces the original swap that 

was submitted for clearing to the DCO, other than the USI for which 

the PET data is currently being reported (as ‘‘USI’’ field above). 

Original swap USI ..................................................................................... The USI of the original swap submitted for clearing to the DCO that is 

replaced by clearing swaps. 

Original swap SDR ................................................................................... LEI of SDR to which the original swap was reported. 

Clearing member LEI ............................................................................... LEI of Clearing member. 

Clearing member client account ............................................................... Clearing member client account number. 

Origin (house or customer) ...................................................................... An indication whether the clearing member acted as principal for a 

house trade or agent for a customer trade. 

Clearing receipt timestamp ....................................................................... The date and time at which the DCO received the original swap for 

clearing, expressed using UTC. 

Clearing acceptance timestamp ............................................................... The date and time at which the DCO accepted the original swap for 

clearing, expressed using UTC. 

EXHIBIT C—MINIMUM PRIMARY ECONOMIC TERMS DATA—INTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY SWAPS) 

[Enter N/A for fields that are not applicable] 

Data fields for all swaps Comment 

Asset Class ............................................................................................... Field values: credit, equity, FX, rates, other commodity. 

The Unique Swap Identifier for the swap ................................................. As provided in § 45.5. 

The Legal Entity Identifier of the reporting counterparty ......................... As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the reporting counterparty is a swap dealer 

with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a major swap 

participant with respect to the swap.

Yes/No. 

If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA section 

2(h)(7)(C).

Yes/No. 

An indication of whether the reporting counterparty is a derivatives 

clearing organization with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a U.S. person ..... Yes/No. 

An indication that the swap will be allocated ........................................... Yes/No. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52582 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

EXHIBIT C—MINIMUM PRIMARY ECONOMIC TERMS DATA—INTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY

SWAPS)—Continued 

[Enter N/A for fields that are not applicable] 

Data fields for all swaps Comment 

If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent.As provided in § 45.6, or substitute identifier for a natural person. 

An indication that the swap is a post-allocation swap ............................. Yes/No. 

If the swap is a post-allocation swap, the unique swap identifier of the 

initial swap transaction between the reporting counterparty and the 

agent.

As provided in § 45.5. 

The Legal Entity Identifier of the non-reporting counterparty .................. As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap.Yes/No. 

An indication of whether the non-reporting counterparty is a major 

swap participant with respect to the swap.

Yes/No. 

If the non-reporting counterparty is not a swap dealer or a major swap 

participant with respect to the swap, an indication of whether the 

non-reporting counterparty is a financial entity as defined in CEA 

section 2(h)(7)(C).

Yes/No. 

An indication of whether the non-reporting counterparty is a U.S. person.Yes/No. 

The Unique Product Identifier assigned to the swap ............................... As provided in § 45.7. 

If no Unique Product Identifier is available for the swap because the 

swap is not sufficiently standardized, the taxonomic description of the 

swap pursuant to the CFTC-approved product classification system.

If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the 

swap data repository.

An indication that the swap is a multi-asset swap ................................... Field values: Yes, Not applicable. 

For a multi-asset class swap, an indication of the primary asset class .. Generally, the asset class traded by the desk trading the swap for the 

reporting counterparty. Field values: credit, equity, FX, interest rate, 

other commodity. 

For a multi-asset class swap, an indication of the secondary asset 

class(es).

Field values: credit, equity, FX, interest rate, other commodity. 

An indication that the swap is a mixed swap ........................................... Field values: Yes, Not applicable. 

For a mixed swap reported to two non-dually- registered swap data repositories, the identity of the other swap data repository (if any) to 

which the swap is or will be reported.

Field value: LEI of the other SDR to which the swap is or will be reported. 

Contract type ............................................................................................ E.g., swap, swaption, option, basis swap, index swap. 

Block trade indicator ................................................................................. Indication (Yes/No) of whether the swap qualifies as a block trade or 

large notional swap. 

Execution timestamp ................................................................................ The date and time of the trade, expressed using Coordinated Universal 

Time (‘‘UTC’’). 

Execution venue ....................................................................................... The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of 

the swap execution facility or designated contract market, or ‘‘off-facility’’ if not so executed. 

Start date .................................................................................................. The date on which the swap starts or goes into effect. 

Maturity, termination or end date ............................................................. The date on which the swap expires or ends. 

Day count convention.

Notional amount (leg 1) ............................................................................ The current active notional amount. 

Notional currency (leg 1) .......................................................................... ISO code. 

Notional amount (leg 2) ............................................................................ The current active notional amount. 

Notional currency (leg 2) .......................................................................... ISO code. 

Payer (fixed rate) ...................................................................................... Is the reporting party a fixed rate payer? Yes/No/Not applicable. 

Payer (floating rate leg 1) ......................................................................... If two floating legs, the payer for leg 1. 

Payer (floating rate leg 2) ......................................................................... If two floating legs, the payer for leg 2. 

Direction .................................................................................................... For swaps: whether the principal is paying or receiving the fixed rate. 

For float-to-float and fixed-to-fixed swaps: indicate N/A. 

For non-swap instruments and swaptions: indicate the instrument that 

was bought or sold. 

Option type ............................................................................................... E.g., put, call, straddle. 

Fixed rate.

Fixed rate day count fraction .................................................................... E.g., actual 360. 

Floating rate payment frequency.

Floating rate reset frequency.

Floating rate index name/rate period ....................................................... E.g., USD-Libor-BBA. 

Timestamp for submission to swap data repository ................................ Time and date of submission to the swap data repository, expressed 

using UTC, as recorded by an automated system where available, or 

as recorded manually where an automated system is not available. 

Clearing indicator ...................................................................................... Yes/No indication of whether the swap will be submitted for clearing to 

a derivatives clearing organization. 

Clearing venue ......................................................................................... LEI of the derivatives clearing organization. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52583 

EXHIBIT C—MINIMUM PRIMARY ECONOMIC TERMS DATA—INTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY

SWAPS)—Continued 

[Enter N/A for fields that are not applicable] 

Data fields for all swaps Comment 

If the swap will not be cleared, an indication of whether an exception 

to, or an exemption from, the clearing requirement has been elected 

with respect to the swap under part 50 of this chapter.

Yes/No. 

The identity of the counterparty electing an exception or exemption to 

the clearing requirement under part 50 of this chapter.

Field values: LEI, or substitute identifier, for a natural person. 

Clearing exception or exemption type ...................................................... The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. 

Indication of collateralization .................................................................... Is the swap collateralized, and if so to what extent? Field values: 

Uncollateralized, partially collateralized, one-way collateralized, fully 

collateralized. 

Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap.E.g., early termination option clause. Use as many fields as required to 

report each such term. 

EXHIBIT C—MINIMUM PRIMARY ECONOMIC TERMS DATA—INTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY SWAPS) 

[Enter N/A for fields that are not applicable] 

Additional data categories and fields for clearing swaps Comment 

Clearing swap USIs .................................................................................. The USIs of each clearing swap that replaces the original swap that 

was submitted for clearing to the DCO, other than the USI for which 

the PET data is currently being reported (as ‘‘USI’’ field above). 

Original swap USI ..................................................................................... The USI of the original swap submitted for clearing to the DCO that is 

replaced by clearing swaps. 

Original swap SDR ................................................................................... LEI of SDR to which the original swap was reported. 

Clearing member LEI ............................................................................... LEI of Clearing member. 

Clearing member client acct ..................................................................... Clearing member client account number. 

Origin (house or customer) ...................................................................... An indication whether the clearing member acted as principal for a 

house trade or agent for a customer trade. 

Clearing receipt timestamp ....................................................................... The date and time at which the DCO received the original swap for 

clearing, expressed using UTC. 

Clearing acceptance timestamp ............................................................... The date and time at which the DCO accepted the original swap for 

clearing, expressed using UTC. 

EXHIBIT D—MINIMUM PRIMARY ECONOMIC TERMS DATA—OTHER COMMODITY SWAPS

[Enter N/A for fields that are not applicable] 

Data field for all swaps Comment 

Asset Class ............................................................................................... Field values: credit, equity, FX, rates, other commodity. 

The Unique Swap Identifier for the swap ................................................. As provided in § 45.5. 

The Legal Entity Identifier of the reporting counterparty ......................... As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the reporting counterparty is a swap dealer 

with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a major swap 

participant with respect to the swap.

Yes/No. 

If the reporting counterparty is not a swap dealer or a major swap participant with respect to the swap, an indication of whether the reporting counterparty is a financial entity as defined in CEA section 

2(h)(7)(C).

Yes/No. 

An indication of whether the reporting counterparty is a derivatives 

clearing organization with respect to the swap.

Yes/No. 

An indication of whether the reporting counterparty is a U.S. person ..... Yes/No. 

An indication that the swap will be allocated ........................................... Yes/No. 

If the swap will be allocated, or is a post-allocation swap, the Legal Entity Identifier of the agent.As provided in § 45.6, or substitute identifier for a natural person. 

An indication that the swap is a post-allocation swap ............................. Yes/No. 

If the swap is a post-allocation swap, the unique swap identifier of the 

initial swap transaction between the reporting counterparty and the 

agent.

As provided in § 45.5. 

The Legal Entity Identifier of the non-reporting party .............................. As provided in § 45.6, or substitute identifier for a natural person. 

An indication of whether the non-reporting counterparty is a swap dealer with respect to the swap.Yes/No. 

An indication of whether the non-reporting counterparty is a major 

swap participant with respect to the swap.

Yes/No. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52584 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

EXHIBIT D—MINIMUM PRIMARY ECONOMIC TERMS DATA—OTHER COMMODITY SWAPS—Continued 

[Enter N/A for fields that are not applicable] 

Data field for all swaps Comment 

If the non-reporting counterparty is not a swap dealer or a major swap 

participant with respect to the swap, an indication of whether the 

non-reporting counterparty is a financial entity as defined in CEA 

section 2(h)(7)(C).

Yes/No. 

An indication of whether the non-reporting counterparty is a U.S. person.Yes/No. 

The Unique Product Identifier assigned to the swap ............................... As provided in § 45.7. 

If no Unique Product Identifier is available for the swap because the 

swap is not sufficiently standardized, the taxonomic description of the 

swap pursuant to the CFTC-approved product classification system.

If no CFTC-approved UPI and product classification system is yet available, the internal product identifier or product description used by the 

swap data repository.

An indication that the swap is a multi-asset swap ................................... Field values: Yes, Not applicable. 

For a multi-asset class swap, an indication of the primary asset class .. Generally, the asset class traded by the desk trading the swap for the 

reporting counterparty. Field values: credit, equity, FX, interest rate, 

other commodity. 

For a multi-asset class swap, an indication of the secondary asset 

class(es).

Field values: credit, equity, FX, interest rate, other commodity. 

An indication that the swap is a mixed swap ........................................... Field values: Yes, Not applicable. 

For a mixed swap reported to two non-dually- registered swap data repositories, the identity of the other swap data repository (if any) to 

which the swap is or will be reported.

Field value: LEI of the other SDR to which the swap is or will be reported. 

Contract type ............................................................................................ E.g., swap, swaption, option, basis swap, index swap. 

Block trade indicator ................................................................................. Indication (Yes/No) of whether the swap qualifies as a ‘‘block trade’’ or 

‘‘large notional off-facility swap’’ as defined in part 43 of the CFTC’s 

regulations. 

Execution timestamp ................................................................................ The date and time of the trade, expressed using Coordinated Universal 

Time (‘‘UTC’’), as recorded by an automated system where available, or as recorded manually where an automated system is not 

available. 

Execution venue ....................................................................................... The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of 

the swap execution facility or designated contract market, or ‘‘off-facility’’ if not so executed. 

Timestamp for submission to swap data repository ................................ Time and date of submission to the swap data repository, expressed 

using UTC, as recorded by an automated system where available, or 

as recorded manually where an automated system is not available. 

Start date .................................................................................................. The date on which the swap commences or goes into effect (e.g., in 

physical oil, the pricing start date). 

Maturity, termination, or end date ............................................................ The date on which the swap expires or ends (e.g., in physical oil, the 

pricing end date). 

Buyer ........................................................................................................ The counterparty purchasing the product: (E.g., the payer of the fixed 

price (for a swap), or the payer of the floating price on the underlying 

swap (for a put swaption), or the payer of the fixed price on the underlying swap (for a call swaption). Field values: LEI, if available, or 

substitute identifier, for a natural person. 

Seller ......................................................................................................... The counterparty offering the product: (E.g., the payer of the floating 

price (for a swap), the payer of the fixed price on the underlying 

swap (for a put swaption), or the payer of the floating price on the 

underlying swap (for a call swaption). Field values: LEI, or substitute 

identifier, for a natural person. 

Quantity unit ............................................................................................. The unit of measure applicable for the quantity on the swap. E.g., barrels, bushels, gallons, pounds, tons. 

Quantity .................................................................................................... The amount of the commodity (the number of quantity units) quoted on 

the swap. 

Quantity frequency ................................................................................... The rate at which the quantity is quoted on the swap. E.g., hourly, 

daily, weekly, monthly. 

Total quantity ............................................................................................ The quantity of the commodity for the entire term of the swap. 

Settlement method ................................................................................... Physical delivery or cash. 

Price .......................................................................................................... The price of the swap. For options, the strike price. 

Price unit ................................................................................................... The unit of measure applicable for the price of the swap. 

Price currency ........................................................................................... ISO code. 

Buyer pay index ........................................................................................ The published price as paid by the buyer (if applicable). For swaptions, 

applies to the underlying swap. 

Buyer pay averaging method ................................................................... The averaging method used to calculate the index of the buyer pay 

index. For swaptions, applies to the underlying swap. 

Seller pay index ........................................................................................ The published price as paid by the seller (if applicable). For swaptions, 

applies to the underlying swap. 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 52585 

EXHIBIT D—MINIMUM PRIMARY ECONOMIC TERMS DATA—OTHER COMMODITY SWAPS—Continued 

[Enter N/A for fields that are not applicable] 

Data field for all swaps Comment 

Seller pay averaging method ................................................................... The averaging method used to calculate the index of the seller pay 

index. For swaptions, applies to the underlying swap. 

Grade ........................................................................................................ If applicable, the grade of the commodity to be delivered, e.g., the 

grade of oil or refined product. 

Option type ............................................................................................... Descriptor for the type of option transaction. E.g., put, call, straddle. 

Option style ............................................................................................... E.g., American, European, European Daily, European Monthly, Asian. 

Option premium ........................................................................................ The total amount paid by the option buyer. 

Hours from through .................................................................................. For electric power, the hours of the day for which the swap is effective. 

Hours from through time zone ................................................................. For electric power, the time zone prevailing for the hours during which 

electricity is transmitted. 

Days of week ............................................................................................ For electric power, the profile applicable for the delivery of power. 

Load type .................................................................................................. For electric power, the load profile for the delivery of power. 

Clearing indicator ...................................................................................... Yes/No indication of whether the swap will be submitted for clearing to 

a derivatives clearing organization. 

Clearing venue ......................................................................................... LEI of the derivatives clearing organization. 

If the swap will not be cleared, an indication of whether an exception 

to, or an exemption from, the clearing requirement has been elected 

with respect to the swap under part 50 of this chapter.

Yes/No. 

The identity of the counterparty electing an exception or exemption to 

the clearing requirement under part 50 of this chapter.

Field values: LEI, or substitute identifier, for a natural person. 

Clearing exception or exemption type ...................................................... The type of clearing exception or exemption being claimed. Field values: End user, Inter-affiliate or Cooperative. 

Indication of collateralization .................................................................... Is the swap collateralized, and if so to what extent? Field values: 

Uncollateralized, partially collateralized, one-way collateralized, fully 

collateralized. 

Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap.Use as many fields as required to report each such term. 

EXHIBIT D—MINIMUM PRIMARY ECONOMIC TERMS DATA—OTHER COMMODITY SWAPS

[Enter N/A for fields that are not applicable] 

Additional data categories and fields for clearing swaps Comment 

Clearing swap USIs .................................................................................. The USIs of each clearing swap that replaces the original swap that 

was submitted for clearing to the DCO, other than the USI for which 

the PET data is currently being reported (as ‘‘USI’’ field above). 

Original swap USI ..................................................................................... The USI of the original swap submitted for clearing to the DCO that is 

replaced by clearing swaps. 

Original swap SDR ................................................................................... LEI of SDR to which the original swap was reported. 

Clearing member LEI ............................................................................... LEI of Clearing member. 

Clearing member client acct ..................................................................... Clearing member client account number. 

Origin (house or customer) ...................................................................... An indication whether the clearing member acted as principal for a 

house trade or agent for a customer trade. 

Clearing receipt timestamp ....................................................................... The date and time at which the DCO received the original swap for 

clearing, expressed using UTC. 

Clearing acceptance timestamp ............................................................... The date and time at which the DCO accepted the original swap for 

clearing, expressed using UTC. 

Issued in Washington, DC, on August 20, 

2015, by the Commission. 

Christopher J. Kirkpatrick, 

Secretary of the Commission. 

Note: The following appendices will not 

appear in the Code of Federal Regulations. 

Appendices to Amendments to Swap 

Data Recordkeeping and Reporting 

Requirements for Cleared Swaps— 

Commission Voting Summary, 

Chairman’s Statement, and 

Commissioners’ Statements 

Appendix 1—Commission Voting Summary 

On this matter, Chairman Massad and 

Commissioners Bowen and Giancarlo voted 

in the affirmative. No Commissioner voted in 

the negative. Commissioner Wetjen did not 

participate in this matter. 

Appendix 2—Statement of Chairman 

Timothy G. Massad 

One of the most important requirements of 

the Dodd-Frank Wall Street Reform and 

Consumer Protection Act is the reporting of 

data on the swaps market. In 2008 during the 

global financial crisis, regulators had little 

information about this market or the 

exposures of major institutions, but difficult 

policy choices still had to be made. Today, 

that has changed. Today, all swap 

transactions, whether cleared or uncleared, 

must be reported to swap data repositories 

(SDRs). The availability of accurate data is 

allowing the CFTC to move forward with the 

important work of monitoring the market and 

understanding its potential risks. 

While we have made great progress in this 

area, there is still more we need to do to 

make sure that we obtain useful and timely 

data as efficiently as possible. Today’s 

proposal is one big step toward that end. If 

adopted, it will improve data quality and 

reduce compliance costs, by clarifying and 

simplifying some requirements and 

eliminating unnecessary reporting 

obligations. 

This proposal would ensure there is a 

simple, consistent process surrounding the 

reporting workflows for cleared swaps. For 

example, the proposal would clarify the 

reporting obligations of the clearinghouse 

where the swap is cleared. It would help 

ensure that there are not multiple records of 


tkelley on DSK3SPTVN1PROD with PROPOSALS2
52586 Federal Register / Vol. 80, No. 168 / Monday, August 31, 2015 / Proposed Rules 

1Review of Swap Data Recordkeeping and 

Reporting Requirements, 79 FR 16689 (Mar. 26, 

2014). 

a swap that can lead to erroneous double 

counting, and that accurate valuations of 

swaps are provided on an ongoing basis. It 

would eliminate unnecessary reporting 

requirements for swap dealers and major 

swap participants. And it will improve the 

Commission’s ability to trace swaps from 

execution through clearing. 

This proposal reflects a careful 

consideration of the feedback received from 

the CFTC’s request for comment on this 

regulation in 2014. It combines the best 

elements of those suggested by various 

stakeholders concerning the reporting of 

cleared swaps. 

I believe the proposal will help simplify 

compliance obligations for market 

participants while improving the accuracy, 

quality and usefulness of the data that is 

reported. This is an important part of the 

ongoing process of simplifying, fine-tuning 

and harmonizing our rules, and we will 

continue to look for ways to improve our 

recordkeeping, reporting, and data quality 

rules and practices. 

I look forward to reviewing comments to 

this proposal, and I encourage all market 

participants to provide feedback on this 

proposal. 

Appendix 3—Statement of Commissioner 

Sharon Y. Bowen 

I strongly support this proposed 

rulemaking because reporting is one of the 

key pillars of the financial reform mandated 

by the Dodd-Frank Wall Street Reform and 

Consumer Protection Act. The Dodd-Frank 

Act was intended to stabilize our financial 

system after the 2008 crisis by reducing 

systemic risk, increasing transparency, and 

promoting market integrity within the 

financial system. Having accurate, 

comprehensive data is essential to meeting 

all of these goals. Without useful data about 

our markets, the Commission is unable to 

fully assess systemic risk and monitor market 

integrity. Accurate data does not only 

support financial reform, accurate data is 

itself a critical part of financial reform. 

This proposed rulemaking represents a 

major step toward making our data more 

accurate. With this rulemaking, we intend to 

provide clarity to swap counterparties, 

exchanges, clearing organizations, and swap 

data repositories about the part 45 reporting 

obligations with respect to cleared swaps. 

This rulemaking is also intended to improve 

the efficiency of data collection and 

maintenance associated with the reporting of 

cleared swaps. 

I have a keen interest in systemic risk and 

market structure issues. I believe regulators 

have an obligation to do everything in our 

power to gird our financial system to prevent 

a future financial crisis. Nearly seven years 

after the 2008 financial crisis, our economy 

has improved but the effects of the crisis 

linger. Many are still battling long-term 

unemployment, underemployment, and 

hobbled careers. 

The Commission cannot get a perfect 

picture of what is happening in our markets 

without accurate data. So while data 

collection may not seem like the most 

exciting topic, in fact it is crucial. If the devil 

is in the details in life, in financial 

regulation, the devil is in the data. 

But while I welcome this step, I realize that 

much more needs to be done. Our current 

part 45 rules outline the broad categories of 

data that the Commission needs, but market 

participants need much greater clarity on, 

among other things, what data needs to be 

submitted, how it needs to be submitted, and 

how data discrepancies need to be 

remediated. And our swap data repositories 

similarly need clarity on how to collect the 

data that the Commission needs to meet its 

mandate. While I am heartened by the 

international efforts to meet these aims, time 

is not on our side. The markets are active and 

real-time, and we need to get the best picture 

of what is happening in those markets as 

soon as possible. 

Our amazing staff has been able to use the 

data that we are currently receiving to engage 

in excellent market surveillance. Yet, our 

staff would be able to do even more if this 

data was improved; that is why I 

wholeheartedly support this proposal. I also 

hope that the Commission makes further 

efforts to improve our data and reporting 

regimes in the near future. 

Appendix 4—Statement of Commissioner J. 

Christopher Giancarlo 

I support the issuance of the proposed 

rules to amend the cleared swaps data 

reporting provisions. I have been a consistent 

supporter of the swap data reporting reforms 

in the Dodd-Frank Act to provide regulators 

with increased transparency into the swaps 

market. Getting the reporting rules right is 

critical to provide regulators with the 

information they need to better understand 

and oversee these highly dynamic markets. 

Today’s proposal demonstrates that the 

Commission can revisit Dodd-Frank rulesets 

and make needed adjustments based on its 

implementation experience over the past few 

years. I urge the Commission to take this 

same approach with other rulesets, including 

several of its swaps trading rules, to optimize 

the CFTC’s swaps regulatory framework in 

light of the challenges of liquidity formation 

and market fragmentation that have grown 

since initial implementation. 

Although today’s proposal only addresses 

a small subset of the issues raised in the 2014 

request for comment on the Review of Swap 

Data Recordkeeping and Reporting 

Requirements,1 it is an important first step. 

I hope that the Commission tackles the other 

swap data reporting issues raised in the 2014 

request for comment in the near future. 

I commend CFTC staff, especially the 

Division of Market Oversight staff, for their 

efforts on this proposal. I look forward to 

reviewing well-considered, responsive and 

informative comments from the public. 

[FR Doc. 2015–21030 Filed 8–28–15; 8:45 am] 

BILLING CODE 6351–01–P 


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