CFTC

TAC Meeting

February 10, 2014

Update on Swaps Data Reporting

Data Priorities and Next Steps
Commodity Futures Trading Commission

Swaps Data: Priorities

• Harmonization of SDR Data (Data Housed at SDRs)

– Standardization - key component to improving the ability to aggregate 

and analyze data 

– Consistency - the greater the consistency of data coming from the 

sources, the more consistent the data is at and across the SDRs 

– Capability – incorporate the best capabilities of each SDR to achieve the 

highest common denominator of standardization 

– Other Considerations

» Impact on entities (data submitters) reporting to SDRs

» Potential data uses by CFTC

» Impact of global data standards

• Other Swaps Data Submitted to the Commission

– Futures equivalent commodity swaps position data (Part 20)

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Commodity Futures Trading Commission

Swaps Data: Plan

• Harmonization of SDR Data

– Developed a team with Commission staff and all SDRs, focusing on

» harmonizing data already existing in the SDRs, not on requiring new data from 

submitters

» an agreement of consistent data content, not on delivery method 

» phasing by asset class (CDS asset class first, then IRS and other asset classes)

– SDRs provide action plans by phase and by asset class to document how 

they will implement data harmonization

– Key Outcomes 

» Implementation focuses on modifying the SDR data output to the CFTC and 

reducing the impact on inbound submissions to the SDRs

» Results will be reflected both in reports transmitted and the regulatory portal 

access provided by the SDRs to the Commission

• Validation of Swaps Data Submitted to the Commission

– Continued development of completeness and accuracy checks

– Key Outcomes

» Improve data quality

» Provide continuous feedback mechanism to submitters through updated technical 

guidance 3
Commodity Futures Trading Commission

Swaps Data: Harmonization Progress

• The harmonization effort between the CFTC and the SDRs has been 

very valuable in making the data more consistent, and therefore more 

usable for regulatory purposes, but there is much more work to be 

done on an effort that is both complex and time intensive

• SDR Action Plans

– Encompass multiple phases of delivery, per asset class and field by field 

– Phase 1 for CDS - SDRs have provided action plans to implement 

changes for 30 data elements

– Working on Phases 2, 3 and 4 with approximately 30 additional core data 

elements per phase for the CDS asset class

– Future phases will shift to other asset classes

• Examples of SDR Improvements

– LEI/CICI Implementation

– Data Quality Improvements

– Regulatory Portal Search Improvements

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Commodity Futures Trading Commission

Swaps Data: Validation Progress

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• Part 20 (Ongoing)

– First data stream at the CFTC that offered automatic validation on 

ingest 

– Validations examine structure of data, contents and completeness of 

fields, and adherence to reporting requirements

– Data has improved, but more validations will be required to increase 

level of data integrity 

– Action Plan

» Additional validations

» Updated guidance
Commodity Futures Trading Commission

Swaps Data: Challenges

• Harmonization of SDR Data

– Data consistency

– Proper classification of reporting parties

– Available product taxonomies do not provide enough depth

– Budgeting and resources

• Validation of Swaps Data Submitted to the Commission

– Futures equivalent commodity data (Part 20)

• Some reporters usage is incorrect, so CFTC is updating guidance and adding 

more validations

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Commodity Futures Trading Commission

Swaps Data Aggregation

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• Global Trade Repository Data

– Aggregation Feasibility Study Group (AFSG) by FSB, CPSS and IOSCO

– CFTC (IOSCO) and the European Central Bank (CPSS) are co-chairs

– AFSG is reviewing three options to aggregate OTCD TR data on a global 

basis

– There are unique use, legal, data and technological issues and 

considerations associated with each option

– The report was published for public consultation last week

» http://www.financialstabilityboard.org/press/pr_140204.htm

» Comments are due by the end of February 

» Final report is expected to be published in May 
Commodity Futures Trading Commission

OCE: Weekly Swaps Report

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Commodity Futures Trading Commission

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• Ensure compliance with the Commission’s clearing requirement 

(CEA Section 2(h)(1) and 17 CFR 50.2)

• Ensure compliance with the exceptions and exemptions to the 

clearing requirement (CEA Section 2(h)(7) and 17 CFR pt. 50)

• Review the swap market on an aggregate product-by-product basis 

regarding potential additional clearing requirements (CEA Section 

2(h)(2) and 17 CFR 39.5)

DCR’s Current Regulatory Priorities
Commodity Futures Trading Commission

• Ensure compliance with other clearing-related rules (e.g., 

straight-through processing)

• Review compliance with uncleared margin requirements 

(when finalized and effective)

• Risk-based analysis of clearing members’ and customers’ 

positions across the uncleared and cleared swap markets

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DCR’s Future Regulatory Goals
Commodity Futures Trading Commission

• All swaps subject to the clearing requirement must be submitted to 

a registered DCO for clearing unless an exception, exemption, or 

other relief from required clearing is properly elected

• Reporting of cleared swaps is complicated by the so-called alpha 

swap being reported to one SDR and the beta and gamma swaps 

reported to another SDR. (see next slide)

• Alpha swaps remain open in SDR data, appear to be bilateral, but 

subject to the clearing requirement. Data in the SDR must be 

current and accurate (17 CFR 45.4, 49.11)

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Priority 1 - Clearing Requirement 
Commodity Futures Trading Commission

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DCR’s Working Assumptions

DCO

Party 1

DCO Party 1

Bilateral or 

SEF/DCM 

Swap

Party 2

Party 2 DCO

Clearing

SDR 1 SDR2

Reporting Reporting

In some cases β and γ may be reported to the same SDR as α.
Commodity Futures Trading Commission

Clearing Requirement Issues

• The Prior USI (the USI of the alpha swap) may not be associated 

with the beta and gamma swap

• The alpha swap may not be terminated

• Result: Swaps that appear to be subject to the clearing 

requirement are appearing in the SDR as bilateral uncleared

“open swaps” when in fact they have been accepted for clearing 

by a DCO

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Commodity Futures Trading Commission

Priority 1 – Clearing Requirement 

• Reviewing data across and within SDRs to attempt to match alpha 

swaps with beta and gamma swaps

• When alpha swaps remain open and appear to be subject to the 

clearing requirement, DCR has reached out to the SDRs, DCOs, 

and reporting counterparties (SDs) in order to analyze what has 

happened with those swaps

• Entities have responded with a number of reasons why swaps 

remain open (actually cleared, canceled, errors, etc)

• Entities have highlighted issues with regard to how Part 45 

addresses cleared swaps and lack of clarity around 

responsibilities, especially with regard to the termination of the 

alpha swaps 14
Commodity Futures Trading Commission

Priority 1 – Clearing Requirement 

• DCR believes this effort is improving data quality, but is not a 

practical solution

• Resource and time constraints – reviewing limited data samples 

and “matching” the alphas to betas and gammas 

• DCR has attempted to automate process using a SAS program 

developed by ODT 

• DCR is actively working with ODT to draft requirements for SDRs 

to run a weekly report themselves, so the SDRs would provide 

the Commission with all bilateral alpha swaps that remain open 

in their SDR that appear to be subject to the clearing requirement

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Commodity Futures Trading Commission

Priority 2 – Exceptions and Exemptions

• All swaps subject to the clearing requirement must be submitted 

to a registered DCO for clearing unless an exception, exemption, 

or other relief from required clearing is properly elected and 

reported

– End-User Exception (CEA Section 2(h)(7) & 17 CFR 50.50)

– Inter-Affiliate Exemption (17 CFR 50.52)

– Cooperative Exemption (17 CFR 50.51)

– Treasury Affiliate No-Action Relief (Staff NAL 13-22)

• SDRs are required to monitor, screen, and analyze end-user 

exception claims by individual and affiliated entities. (17 CFR 

49.14)

• DCR is working with the SDRs in developing reports

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Commodity Futures Trading Commission

Priority 3 – Aggregate Swap Data

• Pursuant to CEA Section 2(h)(2), the Commission reviews DCO 

clearing determination submissions (17 CFR 39.5(b)) and the swap 

market as a whole when proposing new clearing requirements.

• In reviewing DCO 39.5(b) submissions, DCR has looked to Part 43, 

Part 45, and other data in order to review size and scope of a given 

product’s market.

• By working with the Office of the Chief Economist, SDRs, and 

DCOs, DCR has been able to get a general sense of a product’s 

notional and number of transactions from SDR data. 

• Working to compare results with other publically available 

information (e.g., BIS data), which was used in the previous clearing 

requirement determination.

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Commodity Futures Trading Commission

Path Forward

• DCR will continue to participate in all data-related crossdivisional efforts, including Commission-wide prioritization of 

data-related matters.

• DCR will continue to build working relationships with SDRs, 

SEFs/DCMs, DCOs, and reporting counterparties to resolve 

issues associated with current priorities. 

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Commodity Futures Trading Commission

DMO Swap Data Status

• Harmonization

• Validation and Reporting Errors

• Data Reporting Interruptions

• Transaction and Position Database

• Exotics
Commodity Futures Trading Commission

DMO Surveillance & System Safeguards

• Accessibility

• Automated Reports

• Compliance with Commission Rules

• Internal Analysis and Coordination

• Data Quality

• Requirements per Commission Regulation 49.24
Commodity Futures Trading Commission

DMO Additional Data Interests

• Ownership and Control Reports

• Messaging Data

• Visibility into Other Discrete Data Sets
Commodity Futures Trading Commission

DSIO Technology Needs

• Compliance

• CPO/CTAs

• Examinations
Commodity Futures Trading Commission

DSIO Compliance

• Current use: SD registration process requires the review of a large volume of 

SD policies and procedures

• Systems employed to review SD submissions

– Concordance – electronic discovery management software

– CaseMap – facts and issues management software

• Soon need to ensure that SDs demonstrate compliance with the requirements 

of the CEA and CFTC regulations, including for these purposes:

– Ensure that a market participant does not act as a SD/MSP unless that entity is 

registered

– Ensure that a SD/MSP maintains full, complete, and systematic records, together 

with pertinent data and memoranda of its swaps activities in compliance with the 

CEA, CFTC Regulations, and the entities written policies and procedures

– Ensure that SD/MSP swap transactions and pricing data is available to the public in 

real-time

– Eventually, to confirm that a SD/MSP is complying with capital and margin 

requirements

• Develop methods for integrating SDR data into the SD compliance review 

program and working with our colleagues in ODT, DMO, and DCR to ensure 

that swap data provided by the SD to SDRs will meet the needs of DSIO
Commodity Futures Trading Commission

DSIO CPO/CTAs

• Review of CPOs/CTAs

– Ensure appropriate disclosure provided to the CFTC and to 

prospective clients

» Access disclosure documents via NFA’s FACTS2000 database

• Forms CPO-PQR and CTA-PR, systemic risk data for 

CPOs/CTAs, filed with NFA, who provides it to the CFTC in raw 

form

– Working with ODT to develop a database to review CPO/CTA data
Commodity Futures Trading Commission

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• RSR - database for maintaining firm information

– Financial reports

– Risk reports

– Notices

– Staff notes

– Firm contact information

– WinJammer feeds RSR and provides a majority of the reports/notice data

• TeamMate - auditing software to facilitate reviews of firms

– Standardized audit programs

– Required documentation

– Efficient supervisory review process

DSIO Examinations: Systems Employed
Commodity Futures Trading Commission

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DSIO Examinations: Technology Strategy

• RSR is the “one stop shopping” source for all information on a firm

– Facilitates the ability to quickly understand a firm’s financial and regulatory history

– Enables CFTC-wide to access latest information on a firm

• Given a lack of Staff, need to enhance efficiency of Staff by maximizing 

technology usage

– Software – RSR should perform initial analysis of firm filings

» Identify regulatory violations

» Identify potential financial red-flags

» Identify negative trends

» Provide a financial and regulatory dashboard to monitor firms

» Facilitate development of CFTC firm Watch List

– Hardware – Laptops and remote systems access must support Staff efforts

» Laptops are used extensively on site during examinations and crisis situations

» Access to CFTC, NFA and other regulatory systems is essential to allow staff up to the 

minute assessment of a situation

• Eliminate paper filings

– Facilitates email notifications to Staff of a filing or lack of an expected filing

– Electronic database to enable faster research and investigations

– More effective for business continuity during major operational disruption
Commodity Futures Trading Commission

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• Upgrading of TeamMate software to current version from a 

previously unsupported version

• Developed financial analytics of financial data received from 

FCMs

– 12/24 month trend analysis of critical financial data

– Notification to staff if significant or unusual variation in data is 

identified

• Customer Protection Regulations implemented technology 

efficiencies

– All reports must now be filed electronically

– All notices must now be filed electronically

– All data imported directly into RSR database for analysis

DSIO Examinations: Data Successes
Commodity Futures Trading Commission

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DSIO Examinations: Issues/Challenges

• Current Commission laptops are at end of life and a technology refresh is 

planned for this fiscal year

• Remote systems access has been limited in the past 

– CFTC has awarded a multicarrier wireless contract that addresses past 

connectivity difficulties which caused inefficiency and loss of productivity in times 

of crisis 

• Need enhanced analytical capabilities

– Currently focused on individual firms and not potential industry trends

– Cannot identify where one firm stands within its peer group

• Changes to RSR are time consuming

– Adding a new line item to a financial report takes months

– Reliant on WinJammer to populate RSR

• TeamMate software needs re-evaluation 

– May not be utilizing the most up-to-date modules, e.g., risk assessment

• Swap Dealer data must be integrated into RSR

– Financial data, Notices, reports all need to be incorporated into RSR
Commodity Futures Trading Commission

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• RSR – continue to work with ODT to assess effectiveness of the 

database tool

– Is there a more efficient DB management tool?

– Can changes be made more efficiently by users?

• Develop an industry wide dashboard

– Evaluate industry trends in financial and regulatory data

– Spot potential red flags through trend analysis on an industry basis

– Evaluate financial ratios and data points globally

• Continue to evaluate TeamMate software to ensure its efficient 

implementation

• Integrate Swap Dealer data into RSR 

• Update hardware and remote access capabilities

DSIO Examinations: Path Forward