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BILLING CODE 6351-01

COMMODITY FUTURES TRADING COMMISSION

17 CFR Parts 45, 46, and 49

RIN 3038-AE31

Amendments to the Swap Data Recordkeeping and Reporting Requirements

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of proposed rulemaking.

SUMMARY: The Commodity Futures Trading Commission (“Commission” or

“CFTC”) is proposing revisions to the Commission regulations that set forth the swap

data recordkeeping and reporting requirements for swap data repositories (“SDRs”),

derivatives clearing organizations (“DCOs”), swap execution facilities (“SEFs”),

designated contract markets (“DCMs”), swap dealers (“SDs”), major swap participants

(“MSPs”), and swap counterparties that are neither SDs nor MSPs. The Commission is

proposing revisions that, among other things, streamline the requirements for reporting

new swaps, define and adopt swap data elements that harmonize with international

technical guidance, and reduce reporting burdens for reporting counterparties that are not

SDs or MSPs.

DATES: Comments must be received on or before [INSERT DATE 90 DAYS AFTER

DATE OF APPROVAL OF THE PROPOSAL BY THE COMMISSION].

ADDRESSES: You may submit comments, identified by RIN number 3038-AE31, by

any of the following methods:

CFTC website: http://comments.cftc.gov. Follow the instructions for submitting

comments through the Comments Online process on the website.
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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: www.regulations.gov. Follow the instructions for

submitting comments.

Please submit your comments using only one method.

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 (“FOIA”), a petition for confidential treatment of the exempt

information may be submitted according to the procedures established in section 145.9 of

the Commission’s Regulations.1

The Commission reserves the right, but shall have no obligation, to review, prescreen, 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 FOIA.

 1 17 CFR 145.9. Commission regulations referred to herein are found at 17 CFR chapter I.
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FOR FURTHER INFORMATION CONTACT:

Meghan Tente, Acting Associate Director, (202) 418-5785, mtente@cftc.gov, Richard

Mo, Special Counsel, (202) 418-7637, rmo@cftc.gov, Thomas Guerin, Special Counsel,

(202) 734-4194, tguerin@cftc.gov, Division of Market Oversight, Commodity Futures

Trading Commission, Three Lafayette Centre, 1155 21st Street, NW, Washington, DC

20581; Kristin Liegel, Surveillance Analyst, (312) 596-0671, kliegel@cftc.gov, Division

of Market Oversight, Commodity Futures Trading Commission, 525 West Monroe Street,

Suite 1100, Chicago, Illinois 60661; Nancy Doyle, Senior Special Counsel, (202) 418-

5136, ndoyle@cftc.gov, Office of International Affairs; Gloria Clement, Senior Special

Counsel, (202) 418-5122, gclement@cftc.gov, John Coughlan, Research Economist,

(202) 418-5944, jcoughlan@cftc.gov; Office of Chief Economist, in each case at the

Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street, NW,

Washington, DC 20581.

SUPPLEMENTARY INFORMATION:

TABLE OF CONTENTS

I. Background and Introduction

A. Reporting Rules Review

B. Statutory and Regulatory Framework for Swap Data Recordkeeping and

Reporting

C. International Swap Data Reporting Developments

II. Proposed Amendments to Part 45

A. § 45.1 – Definitions

B. § 45.2 – Swap Recordkeeping

C. § 45.3 – Swap Data Reporting: Creation Data

D. § 45.4 – Swap Data Reporting: Continuation Data

E. § 45.5 – Unique Transaction Identifiers

F. § 45.6 – Legal Entity Identifiers

G. § 45.8 – Determination of Which Counterparty Shall Report

H. § 45.10 – Reporting to a Single SDR
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I. § 45.11 – Data Reporting for Swaps in a Swap Asset Class Not Accepted

by Any SDR

J. § 45.12 – Voluntary Supplemental Reporting

K. § 45.13 – Required Data Standards

L. § 45.15 – Delegation of Authority

III. Proposed Amendments to Part 46

A. § 46.1 – Definitions

B. § 46.3 – Data Reporting for Pre-Enactment Swaps and Transition

Swaps

C. § 46.10 – Required Data Standards

D. § 46.11 – Reporting of Errors and Omissions in Previously Reported Data

IV. Proposed Amendments to Part 49

A. § 49.2 – Definitions

B. § 49.4 – Withdrawal from Registration

C. § 49.10 – Acceptance and Validation of Data

V. Swap Data Elements Reported to Swap Data Repositories

A. General

B. Swap Data Elements to be Reported to Swap Data Repositories

VI. Compliance Date

VII. Related Matters

A. Regulatory Flexibility Act

B. Paperwork Reduction Act

C. Cost-Benefit Considerations

D. Antitrust Considerations

VIII. Text of Proposed Rules

I. Background and Introduction

A. Reporting Rules Review

The Commission’s swap data reporting regulations were first adopted in 2012 and

are located in part 45 of the Commission’s regulations.2 The regulations require swap

counterparties, SEFs, and DCMs to report swap data to SDRs. In 2016, the Commission

amended part 45 to clarify the reporting obligations for DCOs and swap counterparties

with respect to cleared swaps.3 In addition, throughout this time, the Commission has

 2 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136 (Jan. 13, 2012). 3 Amendments to Swap Data Recordkeeping and Reporting Requirements for Cleared Swaps, 81 FR 41736

(June 27, 2016).
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undertaken several efforts to identify, and made recommendations to resolve, swap

reporting challenges faced by market participants.4

The Division of Market Oversight (“Division” or “DMO”) is currently completing

an update of the swap reporting rules. On July 10, 2017, the Division announced its

Roadmap to Achieve High Quality Swaps Data (“Roadmap”), consisting of a

comprehensive review to: (i) ensure that the CFTC receives accurate, complete, and high

quality data on swaps transactions for its regulatory oversight role; and (ii) streamline

reporting, reduce messages that must be reported, and right-size the number of data

elements that are reported to meet the agency’s priority use-cases for swap data.5

The Commission received extensive feedback that addressed many swap

reporting topics in response to DMO’s Roadmap.6 Informed by that feedback, the

Commission is taking a stepwise approach to amend its rules through separate notices of

proposed rulemaking (“NPRMs”) as part of the Roadmap review. First, in May 2019, the

Commission published an NPRM to streamline and clarify the Commission’s SDR

regulations in parts 23, 43, 45, and 49 (the “2019 Part 49 NPRM”).7 Among other things,

the 2019 Part 49 NPRM proposed modifications to the existing requirements for SDRs to

 4 See, e.g., Review of Swap Data Recordkeeping and Reporting Requirements, Request for Comment, 79

FR 16689 (Mar. 26, 2014); Press Release, CFTC Staff Issues Request for Comment on Draft Technical

Specifications for Certain Swap Data Elements (Dec. 22, 2015), available at

https://www.cftc.gov/PressRoom/PressReleases/pr7298-15; Press Release, CFTC Requests Public Input on

Simplifying Rules (May 3, 2017), available at https://www.cftc.gov/PressRoom/PressReleases/pr7555-17. 5 See CFTC Letter 17-33, Division of Market Oversight Announces Review of Swap Reporting Rules in

Parts 43, 45, and 49 of Commission Regulations (July 10, 2017), available at

http://www.cftc.gov/idc/groups/public/@lrlettergeneral/documents/letter/17-33.pdf; Roadmap to Achieve

High Quality Swap Data, available at

http://www.cftc.gov/idc/groups/public/@newsroom/documents/file/dmo_swapdataplan071017.pdf.

6 Comment letters are available at

https://comments.cftc.gov/PublicComments/CommentList.aspx?id=1824. The Commission will discuss

comment letters in the relevant sections throughout this release. 7 See Certain Swap Data Repository and Data Reporting Requirements, 84 FR 21044 (May 13, 2019).
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confirm the accuracy of swap data with swap counterparties, and proposed requiring

reporting counterparties to verify the accuracy of swap data with SDRs.

Now, in this release, the Commission is proposing revisions to the part 45

reporting regulations related to the following topics: simplifying the requirements for

reporting swaps; requiring SDRs to validate swap reports; permitting the transfer of swap

data between SDRs; alleviating reporting burdens for non-SD/MSP reporting

counterparties; and harmonizing the swap data elements counterparties report to SDRs

with international technical guidance. The Commission will discuss each of these

proposed changes in this release.

In addition, the Commission is proposing amendments to certain part 46

regulations for reporting pre-enactment swaps and transition swaps, primarily to conform

to changes the Commission is proposing to part 45.8 The Commission is also proposing

amendments to certain regulations in part 49 that were not addressed in the 2019 Part 49

NPRM.

9 Most of the amendments the Commission is proposing to part 49 concern new

requirements for SDRs, including proposed requirements to validate SDR data.

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The Commission appreciates the time commenters have taken to explain aspects

of the reporting requirements that they believe the Commission could make more

efficient. As discussed throughout this release, the Commission believes that the

revisions proposed herein address many of these recommendations, as well as several

 8 See generally 17 CFR part 46. 9 See generally 17 CFR part 49. 10 The new requirements proposed for SDRs to validate swap data in § 49.10 are discussed in section

IV.C.3 below. The Commission has proposed to define the term “SDR data” in the 2019 Part 49 NPRM. As

proposed, “SDR data” would mean the specific data elements and information required to be reported to an

SDR or disseminated by an SDR, pursuant to two or more of parts 43, 45, 46, and/or 49, as applicable. See

2019 Part 49 NPRM at 21047, 21101.
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major domestic and international swap reporting developments that have occurred since

the Commission originally adopted part 45.

B. Statutory and Regulatory Framework for Swap Data Recordkeeping and Reporting

Pursuant to section 2(a)(13)(G) of the Commodity Exchange Act (“CEA”), all

swaps, whether cleared or uncleared, must be reported to SDRs.11 SDRs collect and

maintain data related to swap transactions, keeping such data electronically available for

regulators or the public.12 CEA section 21(b) directs the Commission to prescribe

standards for swap data recordkeeping and reporting, which are to apply to both

registered entities and counterparties involved with swaps, and be comparable to

standards for clearing organizations in connection with clearing of swaps.13 CEA sections

4r(a)(2)(A) and 2(h)(5) provide for the reporting of pre-enactment and transition swaps.

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In 2011, the Commission adopted the part 49 regulations setting forth the specific

duties that SDRs are required to comply with to register as an SDR.15 In 2012, the

Commission adopted the part 45 regulations to implement standards for swap data

reporting and recordkeeping16 and the part 46 regulations to implement standards for pre-

 11 7 U.S.C. 2(a)(13)(g). 12 “The term ‘swap data repository’ means any person that collects and maintains information or records

with respect to transactions or positions in, or the terms and conditions of, swaps entered into by third

parties for the purpose of providing a centralized recordkeeping facility for swaps.” 7 U.S.C. 1a(48).

Regulations governing core principles and registration requirements for, and duties of, SDRs are in part 49

of the Commission’s regulations. See generally 17 CFR part 49. 13 See 7 U.S.C. 24a(b). 14 See 7 U.S.C. 6r(a)(2)(A) and 7 U.S.C. 2(h)(5); see also 17 CFR 46.1 (defining “pre-enactment swap” as

“any swap entered into prior to enactment of the Dodd-Frank Act of 2010 (July 21, 2010), the terms of

which have not expired as of the date of enactment of that Act,” and “transition swap” as “any swap

entered into on or after the enactment of the Dodd-Frank Act of 2010 (July 21, 2010) and prior to the

applicable compliance date on which a registered entity or swap counterparty subject to the jurisdiction of

the Commission is required to commence full compliance with all provisions of [part 46]....” 15 See generally Swap Data Repositories: Registration Standards, Duties and Core Principles, 76 FR 54538

(Sept. 1, 2011). 16 See generally Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136 (Jan. 13, 2012).
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enactment and transition swap recordkeeping and reporting.17 In 2016, the Commission

amended part 45 to clarify the reporting obligations for cleared swaps.18

The Commission will discuss relevant sections of the current parts 45, 46, and 49

regulations throughout this release.

C. International Swap Data Reporting Developments

In response to the financial crisis in 2009, the G20 leaders agreed that all overthe-counter (“OTC”) derivatives should be reported to trade repositories (“TRs”)19 to

further the goals of improving transparency, mitigating systemic risk, and preventing

market abuse. Since November 2014, regulators across major derivatives jurisdictions,

including the CFTC, have come together through the Committee on Payments and

Market Infrastructures (“CPMI”) and the International Organization of Securities

Commissions (“IOSCO”) working group for the harmonization of key OTC derivatives

data elements (“Harmonisation Group”) to develop global guidance regarding the

definition, format, and usage of key OTC derivatives data elements reported to TRs,

including the Unique Transaction Identifier (“UTI”), the Unique Product Identifier

(“UPI”), and critical data elements other than UTI and UPI (“CDE”).

The Harmonisation Group published Guidance on the Harmonisation of the

Unique Transaction Identifier (“UTI Technical Guidance”)20 in February 2017 and

 17 See generally Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition

Swaps, 77 FR 35200 (June 12, 2012). 18 See generally Amendments to Swap Data Recordkeeping and Reporting Requirements for Cleared

Swaps, 81 FR 41736 (June 27, 2016).

19 See https://www.treasury.gov/resource-center/international/g7-

g20/Documents/pittsburgh_summit_leaders_statement_250909.pdf. In the U.S., trade repositories are

called SDRs. 20 CPMI-IOSCO, Technical Guidance, Harmonisation of the Unique Transaction Identifier (Feb. 2017),

available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf. The CFTC’s rules currently
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Technical Guidance on the Harmonisation of the Unique Product Identifier21 (“UPI

Technical Guidance”) in September 2017.

The Commission currently requires that each swap subject to its jurisdiction be

identified by a USI.22 The UTI Technical Guidance, intended by CPMI-IOSCO to help

authorities set rules for a uniform global UTI, provided guidance to authorities on the

definition, format, generation, and usage of UTIs. Similarly, CPMI-IOSCO intends that

the UPI Technical Guidance will result in a unique UPI code that will be assigned to each

distinct OTC derivative product. The Commission’s rules do not specify a standardized

set of swap product data elements. The new CPMI-IOSCO UPI code will map to a set of

data comprised of reference data elements with specific values that together describe the

swap product.

In April 2018, the Harmonisation Group published Technical Guidance on the

Harmonisation of Critical OTC Derivatives Data Elements (other than UTI and UPI)

(“CDE Technical Guidance”).23 The CDE Technical Guidance provides technical

guidance on the definition, format, and allowable values of over 100 critical data

elements, other than UTI and UPI, reported to TRs and important for data aggregation by

authorities. The harmonized data elements in the CDE Technical Guidance cover data

 

refer to UTIs as USIs. As discussed in section II.E below, the Commission is proposing to harmonize its

unique swap identifier (“USI”) rules with the UTI Technical Guidance, and change USI references to UTI. 21 CPMI-IOSCO, Technical Guidance, Harmonisation of the Unique Product Identifier (Sept. 2017),

available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf. 22 See 17 CFR 45.5. 23 The CDE Technical Guidance was finalized following consultative reports in September 2015, October

2016, and June 2017. See CPMI-IOSCO, Technical Guidance, Harmonisation of Critical OTC Derivatives

Data Elements (other than UTI and UPI) (Apr. 2018), available at

https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf.
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elements ranging from counterparty information, payments, and valuation and collateral

to prices and quantities, package trades, and custom baskets.

24

The Commission has played an active role in the development and publication of

the CDE Technical Guidance as part of the CPMI-IOSCO working group, alongside

representatives from Canada, France, Germany, Hong Kong, Japan, Singapore, and the

United Kingdom, among others. Commission staff provided feedback about the data

elements, taking into account the Commission’s experience with swap data reporting and

its use of such data in fulfilling its regulatory responsibilities. Commission staff also

participated in the solicitation of responses to three public consultations on the CDE

Technical Guidance, along with related industry workshops and conference calls.25

Since each authority is responsible for issuing requirements for market

participants on OTC derivatives data reporting, the CDE Technical Guidance does not

determine which critical data elements are required to be reported in a given jurisdiction.

Instead, if CDE Technical Guidance data elements are required to be reported in a given

jurisdiction, the CDE Technical Guidance provides the relevant authorities in that

jurisdiction guidance on the definition, format, and allowable values for these data

elements that would facilitate consistent aggregation at a global level.

II. Proposed Amendments to Part 45

A. § 45.1 – Definitions

Section 45.1 contains the definitions for terms used throughout the regulations in

part 45. Section 45.1 does not contain any subsections. The Commission is proposing to

 24 Id. 25 See CPMI-IOSCO, Technical Guidance, Harmonisation of Critical OTC Derivatives Data Elements

(other than UTI and UPI) at 9.
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separate § 45.1 into two subsections: § 45.1(a) for definitions, and § 45.1(b), which

would state that terms not defined in part 45 have the meanings assigned to the terms in

Commission regulation § 1.3.26

The Commission is also proposing to revise the definitions in proposed § 45.1(a).

As part of these revisions, the Commission is proposing to add new definitions, and

amend or remove certain definitions. As § 45.1 is arranged alphabetically, the

Commission has grouped the discussion of its proposed changes to § 45.1 into

corresponding categories (i.e., new definitions, amendments, and removal), except as

otherwise noted.

1. Proposed New Definitions

The Commission is proposing to add a definition of “allocation” to § 45.1(a). As

proposed, “allocation” would mean the process by which an agent, having facilitated a

single swap transaction on behalf of clients, allocates a portion of the executed swap to

the clients. Section 45.3(f) currently contains regulations for reporting allocations without

defining the term. Defining “allocation” should help market participants comply with the

regulations for reporting allocations in § 45.3.

The Commission is also proposing to add a definition of “as soon as

technologically practicable” (“ASATP”) to § 45.1(a). As proposed, “as soon as

technologically practicable” would mean as soon as possible, taking into consideration

the prevalence, implementation, and use of technology by comparable market

participants. The phrase “as soon as technologically practicable” is currently used

 26 17 CFR 1.3.
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throughout part 45, but is not defined. The Commission is proposing to adopt the same

definition of “as soon as technologically practicable” as is defined in § 43.2 of the

Commission’s regulations for the swap transaction and pricing data.27

The Commission is also proposing to add a definition of “collateral data” to §

45.1(a). As proposed, “collateral data” would mean the data elements necessary to report

information about the money, securities, or other property posted or received by a swap

counterparty to margin, guarantee, or secure a swap, as specified in appendix 1 to part 45.

This proposed new definition is explained in a discussion of proposed requirements for

reporting counterparties to report collateral data in section II.D.4 below.

The Commission is proposing to add definitions for “execution” and “execution

date” to § 45.1(a). As proposed, “execution” would mean an agreement by the parties, by

any method, to the terms of a swap that legally binds the parties to such swap terms under

applicable law.28 The term “execution date” would mean the date, determined by

reference to eastern time, on which swap execution has occurred. The execution date for

a clearing swap that replaces an original swap would be the date, determined by reference

to eastern time, on which the original swap has been accepted for clearing. The term

“execution” is currently used throughout part 45 but not defined, and the Commission is

proposing new regulations that reference “execution date.”29

The Commission is proposing to add the following three definitions to § 45.1(a):

“Global Legal Entity Identifier System,” “legal entity identifier” or “LEI,” and

 27 See 17 CFR 43.2 (definition of “as soon as technologically practicable”). 28 The Commission notes that the proposed definition of “execution” is functionally identical to the existing

definition of execution in part 23 of the Commission’s regulations. See 17 CFR 23.200(e) (definition of

“execution”).

29 See proposed §§ 45.3(a) and (b), discussed in sections II.C.2.a and II.C.2.b, respectively, below.
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“Legal Entity Identifier Regulatory Oversight Committee” (“LEI ROC”). As proposed,

“Global Legal Entity Identifier System” would mean the system established and overseen

by the LEI ROC for the unique identification of legal entities and individuals. As

proposed, “legal entity identifier” or “LEI” would mean a unique code assigned to swap

counterparties and entities in accordance with the standards set by the Global Legal

Entity Identifier System. As proposed, “Legal Entity Identifier Regulatory Oversight

Committee” would mean the group charged with the oversight of the Global Legal Entity

Identifier System that was established by the finance ministers and the central bank

governors of the Group of Twenty nations and the Financial Stability Board, under the

Charter of the Regulatory Oversight Committee for the Global Legal Entity Identifier

System dated November 5, 2012, or any successor thereof.

30 These proposed definitions

are all associated with, and further explained in the context of, the § 45.6 regulations for

LEI, discussed in section II.F below.

The Commission is proposing to add a definition of “non-SD/MSP/DCO

reporting counterparty” to § 45.1(a). As proposed, “non-SD/MSP/DCO reporting

counterparty” would mean a reporting counterparty that is not an SD, MSP, or DCO.

Currently, DCOs are not included in the term “non-SD/MSP reporting counterparty.”

This creates problems when, for instance, the Commission did not intend for DCOs to

follow the required swap creation data reporting regulations in § 45.3(d) for off-facility

swaps not subject to the clearing requirement with a non-SD/MSP reporting counterparty,

even though DCOs are technically reporting counterparties that are neither SDs or MSPs.

 30 https://www.leiroc.org/publications/gls/roc_20190130-1.pdf
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Instead, DCOs follow the required swap creation data reporting regulations in § 45.3(e)

for clearing swaps. The definition of “non-SD/MSP/DCO reporting counterparty” should

address this unintended regulatory overlap.

The Commission is proposing to add a definition of “novation” to § 45.1(a). As

proposed, “novation” would mean the process by which a party to a swap legally

transfers all or part of its rights, liabilities, duties, and obligations under the swap to a

new legal party other than the counterparty to the swap under applicable law. This

proposed term is currently referenced in the definition of “life cycle event,” as well as the

§ 45.8(g) regulations for determining which counterparty must report, but is not currently

defined.

The Commission is proposing to add a definition of “swap” to § 45.1(a). As

proposed, “swap” would mean any swap, as defined by § 1.3, as well as any foreign

exchange forward, as defined by CEA section 1a(24), or foreign exchange swap, as

defined by CEA section 1a(25).31 The term “swap” is used throughout part 45. The

proposed definition would codify the meaning of the term as it is currently used

throughout part 45.

The Commission is proposing to add definitions of “swap data” and “swap

transaction and pricing data” to § 45.1(a). As proposed, “swap data” would mean the

specific data elements and information in appendix 1 to part 45 required to be reported to

an SDR pursuant to part 45 or made available to the Commission pursuant to part 49, as

applicable; “swap transaction and pricing data” would mean all data for a swap in

 31 The Commission notes that while foreign exchange forwards and foreign exchange swaps are excluded

from the definition of “swap,” such transactions are nevertheless required to be reported to an SDR. See 7

U.S.C. 1a(47)(E)(iii)(definition of “swap”).
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appendix C to part 43 required to be reported or publicly disseminated pursuant to part

43. The term “swap data” is currently used throughout part 45. The Commission believes

that having the term “swap data” apply to part 45 data, and “swap transaction and pricing

data” apply to part 43 data would provide clarity across the reporting regulations.32

The Commission is proposing to add a definition of “swap data validation

procedures” to § 45.1(a). As proposed, “swap data validation procedures” would mean

procedures established by an SDR pursuant to proposed § 49.10 to accept, validate, and

process swap data reported to an SDR pursuant to part 45. This proposed new definition

is explained in a discussion of the proposed regulations for the validation of swap data

reported to SDRs in section IV.C.3 below.

The Commission is proposing to add a definition of “unique transaction

identifier” to § 45.1(a). As proposed, “unique transaction identifier” would mean a

unique alphanumeric identifier with a maximum of 52 characters constructed solely from

the upper-case alphabetic characters A to Z or the digits 0 to 9, inclusive in both cases,

generated for each swap pursuant to § 45.5. This proposed new definition is used in the

discussion of the regulations to transition from using USIs to UTIs. Those proposed

changes are explained in section II.E below.

2. Proposed Amendments to Existing Definitions

The Commission is proposing non-substantive minor technical changes to the

existing definitions of “asset class,” “derivatives clearing organization,” and “swap

 32 The Commission has also proposed to add functionally identical definitions for “swap data” and “swap

transaction and pricing data” to part 49 of the Commission’s regulations as part of the 2019 Part 49 NPRM.

See 2019 Part 49 NPRM at 21102 (definitions of “swap data” and “swap transaction and pricing data”).
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execution facility.” The remaining discussion in this section addresses substantive

amendments.

The Commission is proposing to amend the definition of “business day” in

proposed § 45.1(a). Currently, § 45.1 defines “business day” to mean “the twenty-four

hour day, on all days except Saturdays, Sundays, and legal holidays, in the location of the

reporting counterparty or registered entity reporting data for the swap.”33 The

Commission is proposing to replace “the twenty-four hour day” with “each twenty-four

hour day,” and “legal holidays, in the location of the reporting counterparty” with

“Federal holidays.” The Commission believes these changes would simplify the current

business day definition by removing the responsibility of determining different legal

holidays depending on the reporting counterparty’s location. The proposed amended

definition is used in a discussion of proposed changes to the timing requirements for

reporting swap creation data and required swap continuation data in current and proposed

§§ 45.3 and 45.4. Those proposed changes are explained in sections II.C and II.D,

respectively, below.

The Commission is proposing to amend the definition of “life cycle event” in

proposed § 45.1(a). Currently, § 45.1 defines “life cycle event” to mean any event that

would result in either a change to a primary economic term of a swap or to any primary

economic terms data (“PET data”) previously reported to an SDR in connection with a

swap. Examples of such events include, without limitation, a counterparty change

resulting from an assignment or novation; a partial or full termination of the swap; a

 33 17 CFR 45.1 (definition of “business day”).
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change to the end date for the swap; a change in the cash flows or rates originally

reported; availability of an LEI for a swap counterparty previously identified by name or

by some other identifier; or a corporate action affecting a security or securities on which

the swap is based (e.g., a merger, dividend, stock split, or bankruptcy). The Commission

is proposing to replace the reference to PET data with required swap creation data.34 The

Commission is also proposing to replace a reference to a counterparty being identified in

swap data by “name” with other identifiers to account for situations where counterparties

are identified by other means.

The Commission is proposing to amend the definition of “non-SD/MSP

counterparty” in proposed § 45.1(a). Currently, § 45.1 defines “non-SD/MSP

counterparty” to mean a swap counterparty that is neither an SD nor an MSP. The

Commission is proposing to change the defined term to “non-SD/MSP/DCO

counterparty.”35 As amended, “non-SD/MSP/DCO counterparty” would mean a swap

counterparty that is not an SD, MSP, or DCO. This amendment would conform to the

amendments proposed to the term “non-SD/MSP/DCO reporting counterparty” explained

in section II.A.1 above.

The Commission is proposing to amend the definition of “required swap

continuation data” in proposed § 45.1(a). Currently, § 45.1 defines “required swap

continuation data” to mean all of the data elements that must be reported during the

 34 The removal of the term PET data is reflected in the discussion of the proposed changes to the required

swap creation data and required swap continuation data regulations in §§ 45.3 and 45.4. Those proposed

changes are explained in sections II.C and II.D, respectively, below. 35 The Commission is proposing to update all references to “non-SD/MSP counterparty” to “nonSD/MSP/DCO counterparty” throughout part 45. To limit repetition, the Commission will not discuss each

removal of the phrase throughout this release.
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existence of a swap to ensure that all data concerning the swap in the SDR remains

current and accurate, and includes all changes to the PET terms of the swap occurring

during the existence of the swap. The definition further specifies that for this purpose,

required swap continuation data includes: (i) all life cycle event data for the swap if the

swap is reported using the life cycle reporting method, or all state data for the swap if the

swap is reported using the snapshot reporting method; and (ii) all valuation data for the

swap.

First, the Commission is proposing to remove the reference to “primary economic

terms of the swap.”36 Second, the Commission is proposing to remove the reference to

snapshot reporting.37 Third, the Commission is proposing to add a reference to the

margin and collateral data that would be required to be reported pursuant to proposed §

45.4(c)(2). As amended, the definition would mean all of the data elements that shall be

reported during the existence of a swap to ensure that all swap data concerning the swap

in the SDR remains current and accurate, and includes all changes to the required swap

creation data occurring during the existence of the swap. For this purpose, required swap

continuation data includes: (i) all life cycle event data for the swap; and (ii) all swap

valuation, margin, and collateral data for the swap.

The Commission is proposing to amend the definition of “required swap creation

data” in § 45.1(a). Currently, § 45.1 defines “required swap creation data” to mean all

PET data for a swap in the swap asset class in question, and all confirmation data for the

 36 The removal of the term PET data is reflected in the discussion of the proposed changes to the required

swap creation data and required swap continuation data regulations in §§ 45.3 and 45.4. Those proposed

changed are explained in sections II.C and II.D, respectively, below. 37 The removal of state data reporting is reflected in the discussion of the proposed changes to the required

swap continuation data regulations in § 45.4. Those proposed changes are explained in section II.D below.
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swap. The Commission is proposing to replace the reference to PET data and

confirmation data with a reference to the swap data elements in appendix 1 to part 45.

This proposed amended definition is explained in a discussion of the proposal to

eliminate the requirement to report confirmation data in section II.C below.

The Commission is proposing to amend the definition of “valuation data” in §

45.1(a). Currently, § 45.1 defines “valuation data” to mean all of the data elements

necessary to fully describe the daily mark of the transaction, pursuant to CEA section

4s(h)(3)(B)(iii),38 and § 23.431 of the Commission’s regulations, if applicable. The

Commission is proposing to include a reference to the swap data elements in appendix 1

to part 45. This proposed amended definition is explained in a discussion of the proposal

to amend the valuation reporting requirements in § 45.4 in section II.D below.

3. Proposed Removal of Definitions

The Commission is proposing to remove the following definitions from § 45.1:

“credit swap;” “designated contract market;” “foreign exchange forward;” “foreign

exchange instrument;” “foreign exchange swap;” “interest rate swap;” “major swap

participant;” “other commodity swap;” “state data;” “swap data repository;” and “swap

dealer.” The Commission is proposing to remove these definitions to eliminate

redundancy because the terms are already generally defined in § 1.3 of the Commission’s

regulations or in CEA section 1a.

39

The Commission is also proposing to remove the following definitions from §

45.1: “confirmation;” “confirmation data;” “electronic confirmation;” “non-electronic

 38 7 U.S.C. 6s(h)(3)(B)(iii).

39 7 U.S.C. 1a.
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confirmation;” “primary economic terms;” and “primary economic terms data.” These

definitions are being removed as part of the proposed amendments to combine PET data

and confirmation data into a single required swap creation data report. These proposed

amendments are explained in section II.C below.

The Commission is proposing to remove the definition of “quarterly reporting”

from § 45.1. Currently, § 45.4(d)(2)(ii) requires non-SD/MSP reporting counterparties to

provide quarterly reports of valuation data. The Commission is proposing to remove this

requirement for non-SD/MSP reporting counterparties, as explained in section II.D.4

below. As a result, the definition of “quarterly reporting” in § 45.1 is no longer necessary.

The Commission is also proposing to remove the definitions of “electronic

verification,” “non-electronic verification,” and “verification” from § 45.1. Currently,

certain deadlines for reporting required swap creation data for off-facility swaps in § 45.3

depend on whether verification occurs electronically.40 The Commission is proposing to

amend the deadlines for reporting counterparties to report required swap creation data in

§ 45.3. As part of these proposed amendments, the deadlines would no longer depend on

verification.41 Therefore, the definitions related to verification in this context would no

longer be necessary.

The Commission is proposing to remove the definition of “international swap”

from § 45.1. Currently, § 45.1 defines “international swap” to mean a swap required by

U.S. law and the law of another jurisdiction to be reported both to an SDR and to a

 40 For instance, current § 45.3(c)(1)(i)(A) requires reporting counterparties to report all PET data for a swap

ASATP or within 30 minutes of execution if verification occurs electronically. See 17 CFR

45.3(c)(1)(i)(A).

41 These proposed amendments are discussed in section II.C below.
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different TR registered with the other jurisdiction. The proposal to remove this definition

is explained in a discussion of the Commission’s proposal to remove the requirements for

international swaps in § 45.3(i). Those proposed changes are explained in section II.C.6

below.

Request for Comment

The Commission requests comments on all aspects of the proposed changes to

§ 45.1. The Commission also invites specific comment on the following:

(1) Does the Commission’s proposed definition of “execution date” present problems for

SEFs, DCMs, SDRs, or reporting counterparties? Should the Commission instead adopt a

definition that aligns with other regulations, including, for instance, the definition of “day

of execution” in § 23.501(a)(5)(i)?42

B. § 45.2 – Swap Recordkeeping

The Commission is proposing amendments to the § 45.2 swap recordkeeping

regulations. The proposed amendments are technical and do not impact the existing

requirements or applicability of § 45.2.43 The proposed technical amendments to § 45.2

are limited to updating terminology and phrasing to improve consistency in the reporting

regulations, and to conform to changes proposed elsewhere in part 45.

 42 For the purposes of § 23.501, “day of execution” means the calendar day of the party to the swap

transaction that ends latest, provided that if a swap transaction is - (a) entered into after 4:00 p.m. in the

place of a party; or (b) entered into on a day that is not a business day in the place of a party, then such

swap transaction shall be deemed to have been entered into by that party on the immediately succeeding

business day of that party, and the day of execution shall be determined with reference to such business

day. 17 CFR 23.501(a)(5)(i). For the purposes of § 23.501, “business day” means any day other than a

Saturday, Sunday, or legal holiday. 17 CFR 23.501(a)(5)(ii). 43 In the 2019 Part 49 NPRM, the Commission proposed relocating the recordkeeping requirements for

SDRs from §§ 45.2(f) and (g) to § 49.12. See 2019 Part 49 NPRM at 21103. The request for comment for

§§ 45.2(f) and (g), as well as any associated cost-benefit analysis, is in the 2019 Part 49 NPRM. See id. at

21084-85.
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For instance, in this release, the Commission is proposing a technical amendment

to remove the phrase “subject to the jurisdiction of the Commission” from § 45.2. The

Commission is proposing to remove this phrase from all of part 45.44 The phrase is

unnecessary, as the Commission’s regulations apply to all swaps or entities within the

Commission’s jurisdiction, regardless of whether the regulation states the fact.

C. § 45.3 – Swap Data Reporting: Creation Data

1. Introductory Text

The Commission is proposing to remove the introductory text to § 45.3. As

background, the introductory text to § 45.3 provides a broad overview of the swap data

reporting regulations for registered entities and swap counterparties. In providing this

overview, the introductory text to § 45.3 cross-references reporting regulations in parts

17, 18, 43, 45, 46, and 50.45 The introductory text also specifies that § 45.3(a)-(d) applies

to all swaps except clearing swaps, and § 45.3(e) applies to clearing swaps.

The Commission believes that the introductory text is superfluous because the

scope of § 45.3 is clear from the operative provisions of § 45.3.46 Removing the

introductory text would not impact any regulatory requirements, including those

referenced in the introductory text.

2. § 45.3(a)-(e) – Swap Data Reporting: Creation Data

 44 To limit repetition, the Commission will not discuss each removal throughout this release. 45 The introductory text to current § 45.3 references: the § 45.13(b) regulations related to required data

standards for reporting swap data to SDRs; the § 49.10 regulations requiring SDRs to accept swap data; the

part 46 regulations for reporting pre-enactment swaps and transition swaps; the § 45.4 regulations for

reporting required swap continuation data; the § 45.6 regulations for the use of LEIs; the real-time public

reporting requirements in part 43; the part 50 regulations for counterparties to report electing the end-user

exception from clearing; and the parts 17 and 18 regulations for large trader reporting. 46 The Commission is proposing to move the reference in the introductory text to required data standards

for SDRs in § 45.13(b) to the regulatory text of proposed §§ 45.3(a) and (b) and renumber it from §

45.13(b) to § 45.13(a).
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a. § 45.3(a) – Swaps Executed on or Pursuant to the Rules of a SEF or DCM

The Commission is proposing several changes to the § 45.3(a) required swap

creation data reporting regulations for swaps executed on or pursuant to the rules of a

SEF or DCM. Current § 45.3(a) requires that SEFs and DCMs report all PET data for

swaps ASATP after execution. If the swap is not intended to be cleared at a DCO, §

45.3(a) requires that the SEF or DCM also report confirmation data for the swap ASATP

after execution.

The Commission is first proposing to revise the § 45.3(a) requirement for SEFs

and DCMs to submit both PET data and confirmation data for swaps that are not intended

to be cleared at a DCO. As background, PET data reporting includes the reporting of

approximately sixty swap data elements, varying by asset class, enumerated in appendix

1 to part 45.47 Confirmation data reporting includes reporting all of the terms of a swap

matched and agreed upon by the counterparties in confirming a swap.48

By the terms of the two definitions, PET data, which is a set number of data

elements for each asset class, appears to be a subset of confirmation data, which is

defined as, “all terms of a swap....” In defining two separate data sets, the Commission

intended that that the initial PET data report would ensure that an SDR would have

 47 See 17 CFR 45.1 (definition of “primary economic terms”). The Commission is proposing to remove the

definition of “primary economic terms” from § 45.1, as discussed in section II.A.3 above. 48 See 17 CFR 45.1 (definition of “confirmation data”). The Commission is proposing to remove the

definition of “confirmation data” from § 45.1, as discussed in section II.A.3 above. “Confirmation” is

defined as the consummation of legally binding documentation that memorializes the agreement of the

parties to all terms of a swap. 17 CFR 45.1 (definition of “confirmation”).
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sufficient data on each swap for the Commission to perform its regulatory functions

while the more complete confirmation data may not yet be available.

49

However, the current § 45.3 PET data and confirmation data requirements may be

encouraging the reporting of duplicative information to SDRs. One of the PET data

elements in current appendix 1 to part 45 is “[a]ny other term(s) . . . matched or affirmed

by the counterparties in verifying the swap.” The comments to this “catch-all” data

element in appendix 1 to part 45 instruct reporting counterparties, SEFs, DCMs, and

DCOs to use “as many data elements as required to report each such term.”50 The

Commission believes that this catch-all has obscured the difference between PET data

and confirmation data. The Commission is concerned that reporting counterparties, SEFs,

and DCMs are submitting duplicative reports to meet the distinct, yet seemingly

indistinguishable, regulatory requirements at the expense of data quality.51

DMO requested comment on whether to combine PET data and confirmation data

into a single, clearly defined, and electronically reportable set of data elements as part of

the Roadmap review.52 Several commenters supported combining PET and confirmation

data as a way to streamline reporting.53 One commenter supported viewing PET data and

confirmation data as a single set of data elements, which would remove confusion in the

 49 See 77 FR at 2142, 2148. 50 17 CFR 45 appendix 1. 51 For instance, in reviewing 49,766 part 45 credit default swap reports from June 1, 2019 to June 7, 2019,

Commission staff found that out of the 12,336 swap reports submitted by SEFs and DCMs, 5,883 reports

were duplicative in that they related to swaps that had already been reported, while SDs submitted 645

reports that were similarly duplicative out of 22,264 total. 52 See Roadmap to Achieve High Quality Swap Data at 7. 53 Letter from Global Foreign Exchange Division (“GFXD”) of the Global Financial Markets Association

(“GFMA”) (Aug. 21, 2017) at 6-7; Letter from LedgerX (Aug. 18, 2017) at 1; Letter from The International

Swaps and Derivatives Association (“ISDA”) and The Securities Industry and Financial Markets

Association (“SIFMA”) (“Joint ISDA-SIFMA Letter”) (Aug. 21, 2017) at 7; Letter from Chatham

Financial (“Chatham”) (Aug. 21, 2017) at 5.
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industry as to what must be reported as part of confirmation data.54 Other commenters

requested that, if the Commission maintains a separate confirmation data reporting

requirement, it specify what data elements should be in confirmation data.55

Other regulators have taken different approaches to required swap creation data

reporting. The Securities and Exchange Commission (“SEC”), for instance, does not have

rules for reporting separate confirmation data reports.

56 In the European Union (”EU”),

on the other hand, the European Market Infrastructure Regulation (“EMIR”)57 requires

reporting of the details of any derivative contract counterparties have concluded and of

any modification or termination of the contract. The European Securities and Markets

Authority (“ESMA”) then develops the specific technical standards and requirements for

the implementation of reporting.

The Commission believes eliminating the confirmation data reporting requirement

would help streamline swap data reporting under part 45. Therefore, the Commission is

proposing to revise § 45.3(a) to require SEFs and DCMs to report a single required swap

creation data report, regardless of whether the swap is intended to be cleared.

 54 Letter from The Depository Trust & Clearing Corporation (“DTCC”), which owns DTCC Data

Repository (U.S.), LLC (“DDR”) (Aug. 21, 2017) at 2, n.4. 55 Joint letter from Bloomberg SDR LLC (“BSDR”), Chicago Mercantile Exchange Inc. (“CME”), and ICE

Trade Vault, LLC (“Joint SDR Letter”) (Aug. 21, 2017) at 6. BSDR voluntarily withdrew its provisional

SDR registration on March 21, 2019. 56 See generally 17 CFR 242.901. 57 Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives,

central counterparties and trade repositories, Article 9(1) (July 4, 2012) (requiring reporting after execution

without reference to separate reports); Commission Implementing Regulation (EU) No 1247/2012 laying

down implementing technical standards with regard to the format and frequency of trade reports to trade

repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on

OTC derivatives, central counterparties and trade repositories, Article 1 (Dec. 19, 2012) (referencing

“single” reports under Article 9 of Regulation (EU) No 648/2012).
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Second, the Commission is proposing to revise the § 45.3(a) requirement for SEFs

and DCMs to report required swap creation data ASATP following execution. As

background, the CEA requires that all swaps be reported to SDRs, but does not specify

the timeframes for reporting swap data to SDRs for regulatory purposes under sections

2(a)(13)(G) and 4r(a).

58

When part 45 was adopted in 2012, the Commission believed that reporting swap

data immediately following execution was important to further the objectives of the

Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”).59

Reporting swap data ASATP would ensure that swap data is reported to SDRs in a

manner that ensures the ability of the Commission and other regulators to fulfill the

systemic risk mitigation, market transparency, position limit monitoring, and market

surveillance objectives of the Dodd-Frank Act.60

The Commission is concerned that the ASATP deadline for regulatory reporting

may be causing reporting counterparties to hastily report required swap creation data that

has contributed to data quality issues. As a result, the Commission is considering

extending the deadline for required swap creation data in a way that will continue to

permit it to fulfill the systemic risk mitigation, market transparency, position limit

monitoring, and market surveillance objectives of the Dodd-Frank Act.

 58 See 7 U.S.C. 2(a)(13)(G) (“Each swap (whether cleared or uncleared) shall be reported to a registered

[SDR]”); see also 7 U.S.C. 6r (establishing the SDR reporting requirements for uncleared swaps without

reference to a timing requirement); see also Swap Data Recordkeeping and Reporting Requirements, 77 FR

2136, 2150.

59 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2150. 60 See id. at 2149.
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DMO requested comment on whether to move to a new “T+1” reporting timeline

for part 45 in the Roadmap to understand whether additional reporting time would be

beneficial.

61 DMO suggested a “T+1” timeline would involve reporting required swap

creation data on the next business day following execution.62 DMO further noted that a

“T+1” standard would encourage alignment with the reporting deadlines established by

the SEC and ESMA.63 In response, several commenters expressed support for moving

part 45 reporting to “T+1” or a similar delayed time.64

The Commission believes this extended reporting timeline could help improve

data quality while encouraging alignment with reporting deadlines set by other regulators.

The Commission is therefore proposing to revise § 45.3(a) to extend the deadline for

SEFs and DCMs to report required swap creation data to T+1 following the execution

date. Revised § 45.3(a) would therefore require that for each swap executed on or

pursuant to the rules of a SEF or DCM, the SEF or DCM shall report swap creation data

electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m.

eastern time on the next business day following the execution date.

b. § 45.3(b)-(d) – Off-Facility Swaps

 61 See Roadmap to Achieve High Quality Swap Data at 10. 62 See id. 63 The SEC requires primary and secondary trade information be reported within 24 hours of execution on

the next business day. 17 CFR 242.901(j). The SEC noted that commenters raised concerns that

unreasonably short reporting timeframes would result in the submission of inaccurate transaction

information, and that the SEC’s interim 24-hour reporting timeframe § 901(j) strikes an appropriate balance

between the need for prompt reporting of security-based swap transaction information and allowing

reporting entities sufficient time to develop fast and robust reporting capability. See Regulation SBSR –

Reporting and Dissemination of Security-Based Swap Information, 80 FR 14564, 14623-64 (Mar. 19,

2015). ESMA requires reporting no later than the working day following execution. Regulation (EU) No

648/2012 Article 9(1). 64 Letter from Chatham at 5; Letter from CME (Aug. 21, 2017) at 2; Letter from the London Clearing

House, Ltd. (“LCH”) (Aug. 21, 2017) at 3; Letter from GFMA at 7-8; Joint SDR Letter at 10.
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The Commission is proposing several changes to the current § 45.3(b)-(d)

required swap creation data reporting regulations for off-facility swaps. Many of the

proposed changes to requirements in § 45.3(b)-(d) would conform to the revisions

proposed in the previous sections to the requirements for swaps executed on SEFs and

DCMs.

The current required swap creation data reporting obligations for off-facility

swaps are based on the type of swap and type of reporting counterparty. In general, for

off-facility swaps subject to the Commission’s clearing requirement, § 45.3(b) requires

that SD/MSP reporting counterparties report PET data ASATP after execution, with a 15-

minute deadline, while non-SD/MSP reporting counterparties report PET data ASATP

after execution with a one business hour deadline.

65

For off-facility swaps that are not subject to the clearing requirement but have an

SD/MSP reporting counterparty, § 45.3(c)(1) now generally requires that SD/MSP

reporting counterparties report PET data ASATP after execution with a 30-minute

deadline, and confirmation data for swaps that are not intended to be cleared ASATP

with a 30 minute deadline if confirmation is electronic, or ASATP with a 24 business

hour deadline if not electronic, for credit, equity, foreign exchange, and interest rate

swaps.66

Section 45.3(c)(2) currently requires that for swaps in the other commodity asset

class, SD/MSP reporting counterparties report PET data ASATP after execution, with a

two-hour deadline, and confirmation data for swaps that are not intended to be cleared

 65 17 CFR 45.3(b)(1)(i) and (ii). 66 17 CFR 45.3(c)(1)(i)-(ii).
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ASATP after confirmation with a 30-minute deadline if confirmation is electronic, or a

24 business hour deadline if confirmation is not electronic.67

For off-facility swaps that are not subject to the clearing requirement but have a

non-SD/MSP reporting counterparty, § 45.3(d) requires reporting counterparties report

PET data ASATP after execution with a 24 business hour deadline, and confirmation data

ASATP with a 24 business hour deadline if the swap is not intended to be cleared.68

The Commission’s proposed changes to § 45.3(b)-(d) fall into three categories,

discussed below.

First, as part of a restructuring of regulations in § 45.3(a)-(d), the Commission is

proposing to replace § 45.3(b)-(d) with new § 45.3(b), titled “Off-facility swaps.” This

proposed new § 45.3(b) would contain the swap creation data reporting requirements for

off-facility swaps. The new timing requirements for reporting off-facility swaps would

depend on whether the reporting counterparty is an SD/MSP/DCO or a nonSD/MSP/DCO reporting counterparty. This means the timing requirements in § 45.3(b)

would include the required swap creation data reporting requirements for clearing swaps,

as they are created at DCOs.69 Sections 45.3(c)-(d) would be replaced by provisions for

allocations and multi-asset swaps, as discussed in the following sections.

Second, the Commission is proposing to revise the requirement in § 45.3(b)-(d)

for reporting counterparties to submit separate PET data and confirmation data for all offfacility swaps that are not intended to be cleared at a DCO. The background to this

 67 17 CFR 45.3(c)(2)(i)-(ii). 68 17 CFR 45.3(d). 69 As part of this change, the Commission is proposing to move the requirements for reporting required

swap creation data for clearing swaps from § 45.3(e) to new § 45.3(b).
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change is discussed in section II.C.2.a above. As with swaps executed on SEFs and

DCMs, the Commission believes a single report would align with the approach taken by

other regulators, improve data quality, and be responsive to Roadmap comments.

Third, the Commission is proposing to revise the § 45.3(b)-(d) requirements for

reporting counterparties to report required swap creation data ASATP after execution

with different deadlines for off-facility swaps.70

With respect to off-facility swaps, one Roadmap commenter explained that the

current requirement for SD/MSP reporting counterparties to report uncleared swaps in §

45.3(c)(1) within 30 minutes means that reporting counterparties are inputting data before

the trade is confirmed, resulting in modifications as terms are finalized.71 Another

commenter requested that end-users be given at least 36, if not 48, hours to report.72 One

commenter requested that, if the Commission maintains confirmation data reporting, the

deadline for reporting that data coincide with the deadline for issuing confirmations under

§ 23.501.73

The Commission is proposing to revise the required swap creation data reporting

deadlines in § 45.3(a)-(d) for off-facility swaps in two new regulations: § 45.3(b)(1) and

§ 45.3(b)(2). New § 45.3(b)(1) would require that SD/MSP/DCO reporting counterparties

report swap creation data to an SDR by T+1 following the execution date. This standard

would be consistent with the standard proposed for SEFs and DCMs in § 45.3(a). The

 70 The background to this amendment is discussed in section II.C.2.a above, in the context of

SEF/DCM/DCO reporting. 71 Letter from GFMA at 7. 72 Letter from the Commercial Energy Working Group (“CEWG”) (Aug. 21, 2017) at 4. 73 Joint SDR Letter at 6. The regulation provides SDs and MSPs entering into swaps with SD/MSP

counterparties must execute confirmations ASATP but in any event by the end of the first business day

following the day of execution. 17 CFR 23.501(a)(1).
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Commission believes this standard would also address commenters’ concerns about

needing more time to report to avoid modifications to the data, and would allow for errors

identified during the confirmation process to be corrected prior to reporting.

New § 45.3(b)(2) would require that non-SD/MSP/DCO reporting counterparties

report swap creation data to an SDR not later than T+2 following the execution date. The

Commission anticipates that proposed § 45.3(b)(2) would provide non-SD/MSP/DCO

reporting counterparties relief in reporting swap creation data for the minority of offfacility swaps in which both counterparties are non-SD/MSP/DCO counterparties. This

extended deadline reflects the Commission’s interest in relieving some of the swap data

reporting burdens previously imposed on end users in a way that should also help

improve data quality.

Therefore the Commission is proposing revised § 45.3(b) to require that for each

off-facility swap, the reporting counterparty shall report electronically to an SDR as

provided by § 45.3(b)(1) or (b)(2), as applicable.

Proposed § 45.3(b)(1) would require that if the reporting counterparty is an SD,

MSP, or DCO, the reporting counterparty shall report swap creation data electronically to

an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the

next business day following the execution date.

Proposed § 45.3(b)(2) would require that if the reporting counterparty is a nonSD/MSP/DCO counterparty, the reporting counterparty shall report required swap

creation data electronically to an SDR in the manner provided in § 45.13(a) not later than

11:59 p.m. eastern time on the second business day following the execution date.

c. § 45.3(e) – Clearing Swaps
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As noted above, the Commission is proposing to move the required swap creation

data reporting requirements for clearing swaps from § 45.3(e) to revised § 45.3(b)(1). The

required swap creation data reporting requirements would be covered under the “offfacility swaps” regulations, as clearing swaps are created at DCOs. As background, §

45.3(e) currently requires that DCOs report required swap creation data for clearing

swaps ASATP after clearing or execution, depending on whether the swap is replacing an

original swap. Current § 45.3(e) specifies that required swap creation data for clearing

swaps includes all confirmation data and PET data.

Consolidating the requirements for DCOs to report swap creation data in §

45.3(b) with those of SD/MSP reporting counterparties would simplify the reporting

requirements. Revised § 45.3(b)(1) would require that SD/MSP/DCO reporting

counterparties report required swap creation data to an SDR not later than T+1 following

the execution date.74 This would extend the time DCOs have to report required swap

creation data for clearing swaps pursuant to § 45.3(e) from ASATP after clearing or

execution to T+1 following the execution date.

While the Commission is proposing to extend the time DCOs have to report

required swap creation data, the Commission recognizes that DCOs are required to clear

swaps ASATP after execution as if fully automated systems were used.75 The

Commission therefore expects that DCO reporting counterparties may continue to report

ASATP, especially if their reporting and clearing processes are connected. However,

 74 The background to this proposed amendment is discussed in connection with the proposed amendment to

the required swap creation data reporting deadlines for off-facility swaps, discussed in section II.C.2.b

above.

75 17 CFR 39.12(b)(7)(ii) and (iii).
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proposed § 45.3(b)(1) would provide DCOs with the opportunity to change their

reporting practices to take advantage of the additional time.

3. § 45.3(f) – Allocations

The Commission is proposing several amendments to the § 45.3(f) regulations for

reporting allocations, including re-designating it as § 45.3(c).76 As background, §

45.3(f)(1) provides that the reporting counterparty to an initial swap with an allocation

agent reports required swap creation data for the initial swap, including a USI. For the

post-allocation swaps, § 45.3(f)(2)(i) provides that the agent must tell the reporting

counterparty the identities of the actual counterparties ASATP after execution, with a

deadline of eight business hours. Section 45.3(f)(2)(ii) provides that the reporting

counterparty must create USIs for the swaps and report all required swap creation data for

each post-allocation swap ASATP after learning the identities of the counterparties.

Section 45.3(f)(2)(iii) provides that the SDR to which the initial and post-allocation

swaps were reported must map together the USIs of the initial swap and each postallocation swap.

The Commission is proposing to specify that required swap creation data for

allocations must be reported “electronically” to SDRs in §§ 45.3(c), (c)(1), and (c)(2)(ii).

This should be current practice for reporting allocations to SDRs.

The Commission is also proposing to replace the reference in § 45.3(f)(1) (redesignated as § 45.3(c)(1)) to “§ 45.3(a) through (d)” with a reference to paragraphs (a)

or (b) of § 45.3, to reflect the structural revisions to § 45.3(a)-(d) discussed above.

 76 The Commission is proposing to redesignate current § 45.3(f) as § 45.3(c) to reflect the consolidation of

§ 45.3(b)-(d) into § 45.3(b) discussed above.
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Because the Commission is proposing to extend the time to report required swap creation

data in §§ 45.3(a) and (b), reporting counterparties would have additional time to report

required swap creation data for the initial swaps as well.

The Commission is proposing to amend current § 45.3(f)(2)(ii) (re-designated as §

45.3(c)(2)(ii))77 to replace the requirement to report required swap creation data for postallocation swaps ASATP after learning the identities of the actual counterparties with a

cross-reference to § 45.3(b). This would give reporting counterparties until T+1 or T+2,

depending on their status, to report required swap creation data for the allocated swaps,

for reasons previously explained.

Finally,78 the Commission is proposing to remove § 45.3(f)(2)(iii) without redesignation. One of the swap data elements the Commission is to require is an event data

element.79 One of the events in this data element will be “allocation,” which would

require reporting counterparties to indicate whether a swap is associated with an

allocation.

The Commission preliminarily believes this would simplify the current process

involving SDRs mapping data elements. The Commission believes these data elements

would also provide clarity to reporting counterparties, who are the parties with the

information needed to map the data elements even though the rule placed the obligation

on SDRs. As a result, the Commission believes removing § 45.3(f)(2)(iii) without re-

 77 The Commission is not proposing to revise the § 45.3(f)(2)(i) requirement (re-designated as §

45.3(c)(2)(i)) for the agent to inform the reporting counterparty of the identities of the reporting

counterparty’s actual counterparties ASATP after execution, with an eight business hour deadline.

Reporting counterparties will still need to know their actual counterparties, and the eight hour deadline is

consistent with other regulations for allocations. See 17 CFR 1.35(b)(5)(iv). 78 The Commission is also proposing several non-substantive minor and technical language edits, but is

limiting discussion in this section to substantive amendments. 79 The swap data elements required to be reported to SDRs are discussed in section V below.
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designation will result in a better process for reporting counterparties and SDRs that

should also help improve data quality.

Therefore, in light of the above proposed amendments, revised § 45.3(c)(1) would

require that the initial swap transaction between the reporting counterparty and the agent

shall be reported as required by § 45.3(a) or (b), as applicable. Section 45.3(c)(1) would

also require that a UTI for the initial swap transaction be created as provided in § 45.5.

Section 45.3(c)(2)(i) would continue to provide that the agent shall inform the

reporting counterparty of the identities of the reporting counterparty’s actual

counterparties resulting from allocation, ASATP after execution, but not later than eight

business hours after execution. Section 45.3(c)(2)(ii) would require that the reporting

counterparty report required swap creation data, as required by § 45.3(b), for each swap

resulting from allocation to the same SDR to which the initial swap transaction is

reported. Section 45.3(c)(2)(ii) would also provide that the reporting counterparty shall

create a UTI for each such swap as required in § 45.5.

4. § 45.3(g) – Multi-Asset Swaps

The Commission is proposing several amendments to the current § 45.3(g)

regulations for reporting multi-asset swaps, proposed to be re-designated as § 45.3(d).

Section 45.3(g) now provides that for each multi-asset swap, required swap creation data

and required swap continuation data must be reported to a single SDR that accepts swaps

in the asset class treated as the primary asset class involved in the swap by the SEF,

DCM, or reporting counterparty making the first report of required swap creation data

pursuant to § 45.3. Current § 45.3(g) also provides that the registered entity or reporting
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counterparty making the first report of required swap creation data report all PET data for

each asset class involved in the swap.

The Commission is proposing to amend § 45.3(g) (re-designated as § 45.3(d)) to

replace the reference to “making the first report” of required swap creation data with

“reporting” required swap creation data. This would reflect the Commission’s proposal to

require a single report for required swap creation data, instead of separate PET data and

confirmation data reports.80

The Commission is also proposing to remove the last sentence of the regulation

concerning all PET data for each asset class involved in the swap. This sentence is

unnecessary, and would no longer be relevant with the Commission’s proposal to remove

PET data from its regulations.

Therefore, new § 45.3(d) would require that required swap creation data and

required swap continuation data be reported to a single SDR that accepts swaps in the

asset class treated as the primary asset class involved in the swap by the SEF, DCM, or

reporting counterparty reporting required swap creation data pursuant to § 45.3.

5. § 45.3(h) – Mixed Swaps

The Commission is proposing several conforming or otherwise non-substantive

amendments to § 45.3(h) for mixed swaps, including re-designating it as § 45.3(e).

Current § 45.3(h)(1) requires that for each mixed swap, required swap creation data and

required swap continuation data shall be reported to an SDR registered with the

Commission and to a security-based SDR (“SBSDR”) registered with the SEC. This

 80 See sections II.C.2.a and II.C.2.b above.
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requirement may be satisfied by reporting the mixed swap to an SDR or SBSDR

registered with both Commissions. Current § 45.3(h)(2) requires that the registered entity

or reporting counterparty making the first report of required swap creation data pursuant

to § 45.3(h) shall ensure that the same USI is recorded for the swap in both the SDR and

the SBSDR.

For instance, as with proposed § 45.3(d) for multi-asset swaps and for the same

reason, the Commission is proposing to replace “making the first report” of required

swap creation data with “reporting” required swap creation data in re-designated §

45.3(e)(2) to improve readability.

Therefore, § 45.3(e)(1) would require that for each mixed swap, required swap

creation data and required swap continuation data shall be reported to an SDR and to a

SBSDR registered with the SEC.81 Amended § 45.3(e)(2) would require that the

registered entity or reporting counterparty reporting required swap creation data pursuant

to § 45.3(h) ensure that the same UTI is recorded for the swap in both the SDR and the

SBSDR.

6. § 45.3(i) – International Swaps

The Commission is proposing to remove the § 45.3(i) regulations for international

swaps. Section 45.3(i) requires that for each international swap, the reporting

counterparty must report to an SDR the identity of the non-U.S. TR to which the swap is

also reported and the swap identifier used by the non-U.S. TR. “International swaps” are

defined in § 45.1 as swaps required to be reported by U.S. law and the law of another

 81 Section 45.3(e)(1) would continue to provide that the requirement may be satisfied by reporting the

mixed swap to an SDR or SBSDR registered with both Commissions.
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jurisdiction to be reported to both an SDR and to a different TR registered with the other

jurisdiction.82

When § 45.3(i) was adopted, the Commission believed that the regulations for

international swaps were necessary to provide an accurate picture of the swaps market to

regulators to further the purposes of the Dodd-Frank Act.83 However, if the same swap is

reported to different jurisdictions, the USI, or UTI, as discussed in section II.E below,

should be the same. If the transaction identifier is the same for the swap, there would be

no need for the counterparties to send the identifier to other jurisdictions. In addition, in

the future, regulators should have global TR access, further obviating the need for

reporting counterparties sending identifiers to multiple jurisdictions.

As a result, the Commission believes that § 45.3(i) is no longer necessary and is

proposing to remove § 45.3(i) from its regulations.

7. § 45.3(j) – Choice of SDR

The Commission is proposing non-substantive amendments to § 45.3(j) for

reporting counterparties in choosing their SDR, including re-designating it as § 45.3(f).

As background, § 45.3(j) now requires that the entity with the obligation to choose the

SDR 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 § 45.3, as follows: (i) for

swaps executed on or pursuant to the rules of a SEF or DCM, the SEF or DCM shall

choose the SDR; (ii) for all other swaps, the reporting counterparty, as determined in §

45.8, shall choose the SDR.

 82 The Commission is proposing to remove the definition of “international swap” from § 45.1, as discussed

in section II.A.3 above. 83 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2151.
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For instance, the Commission is proposing to change the heading of newly redesignated § 45.3(f) from “Choice of SDR” to “Choice of swap data repository” to be

consistent with other headings throughout part 45.

Therefore, with the proposed amendments, § 45.3(f) would require that for swaps

executed on or pursuant to the rules of a SEF or DCM, the SEF or DCM shall choose the

SDR, and for all other swaps, the reporting counterparty, as determined in § 45.8, shall

choose the SDR.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.3. The Commission also invites specific comment on the following:

(2) Is the Commission’s proposed T+1 deadline for reporting required swap creation data

appropriately harmonized with the deadlines set by other regulators and jurisdictions?

(3) Does the Commission’s proposed T+1 deadline create any problems for SEFs,

DCMs, SDRs, or reporting counterparties by referencing eastern time? Should the

Commission instead adopt a definition that aligns with other regulations, including, for

instance, the definition of “day of execution” in § 23.501(a)(5)(i)?84

(4) Do any of the Commission’s proposed changes to the timing deadlines for reporting

required swap creation data in § 45.3 raise issues with the sequencing of messages for

SDRs that could compromise data quality? For instance, could a T+1 deadline for

 84 For the purposes of § 23.501, “day of execution” means the calendar day of the party to the swap

transaction that ends latest, provided that if a swap transaction is - (a) entered into after 4:00 p.m. in the

place of a party; or (b) entered into on a day that is not a business day in the place of a party, then such

swap transaction shall be deemed to have been entered into by that party on the immediately succeeding

business day of that party, and the day of execution shall be determined with reference to such business

day. 17 CFR 23.501(a)(5)(i). For the purposes of § 23.501, “business day” means any day other than a

Saturday, Sunday, or legal holiday. 17 CFR 23.501(a)(5)(ii).
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reporting original swaps and clearing swaps create problems for SDRs in processing

swap terminations? Could the 8-hour delay for the allocation agent notifying the

reporting counterparty of the actual counterparty’s identity create timing message

sequencing issues for allocation reporting?

D. § 45.4 – Swap Data Reporting: Continuation Data

1. Introductory Text

The Commission is proposing to remove the introductory text to § 45.4 for the

same reasons it is proposing to remove the introductory text to § 45.3.85 Removing the

introductory text would not impact any regulatory requirements, including those

referenced in the introductory text.

2. § 45.4(a) – Continuation Data Reporting Method Generally

The Commission is proposing several changes to § 45.4(a), which concerns

required swap continuation data reporting. Section 45.4(a) requires that reporting

counterparties and DCOs86 required to report swap continuation data must do so in a

manner sufficient to ensure that all data in the SDR for a swap remains current and

accurate, and includes all changes to the PET data of the swap occurring during the

existence of the swap. Current § 45.4(a) further specifies that reporting entities and

counterparties fulfill their obligations by reporting, within the applicable deadlines set

 85 See discussion in II.C.1 above. The introductory text to § 45.4 references: the § 45.13(b) regulations for

required data standards for reporting swap data to SDRs; the § 49.10 regulations for SDRs to accept swap

data; the part 46 regulations for reporting pre-enactment swaps and transition swaps; the § 45.3 regulations

for reporting required swap creation data; the § 45.6 regulations for the use of LEIs; the real-time public

reporting requirements in part 43; and the parts 17 and 18 regulations for large trader reporting. 86 SEFs and DCMs do not have reporting obligations with respect to required swap continuation data.

DCOs are reporting counterparties for clearing swaps, and are thus responsible for reporting required swap

continuation data for these swaps. However, DCOs also have required swap continuation data obligations

for original swaps, to which DCOs are not counterparties. As a result, § 45.4(a) must address reporting

counterparties and DCOs separately.
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forth in § 45.4, the following: (i) life cycle event data to an SDR that accepts only life

cycle event data reporting; (ii) state data to an SDR that accepts only state data reporting;

or (iii) either life cycle event data or state data to an SDR that accepts both life cycle

event data and state data reporting.

First, the Commission is proposing to revise the first two sentences. The first two

sentences state that “for each swap, regardless of asset class, reporting counterparties and

[DCOs] required to report swap continuation data must do so in a manner sufficient to

ensure that all data in the [SDR] concerning the swap remains current and accurate, and

includes all changes to the [PET data] of the swap occurring during the existence of the

swap. Reporting entities and counterparties fulfill this obligation by reporting either . . . .”

The Commission is proposing to replace the text with “for each swap, regardless of asset

class, reporting counterparties and [DCOs] required to report required swap continuation

data shall report . . . .” to improve readability without changing the regulatory

requirement substantively.

Second, the Commission is proposing to remove state data reporting as an option

for reporting changes to swaps from § 45.4. As background, state data reporting involves

reporting counterparties re-reporting the PET terms of a swap every day, regardless of

whether any changes have occurred to the terms of the swap since the last state data

report.87 In contrast, life cycle event data reporting involves reporting counterparties re-

 87 17 CFR 45.1 (definition of “state data”). The Commission is proposing to remove the definition of “state

data” from § 45.1, as discussed in section II.A.3 above.
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submitting the PET terms of a swap when an event has taken place that results in a

change to the previously reported terms of the swap.88

The Commission is proposing to eliminate state data reporting because it would

improve data quality without impeding the Commission’s ability to fulfill the systemic

risk mitigation, market transparency, position limit monitoring, and market surveillance

objectives of the Dodd-Frank Act. In adopting part 45, the Commission gave reporting

counterparties the option of reporting changes to swaps by either the state data reporting

method or life cycle event method to provide flexibility.89 The Commission is concerned

that the option for state data reporting may be contributing to data quality issues by filling

SDRs with unnecessary swap messages.

The Commission estimates that state data reporting messages represent the vast

majority of swap reports maintained by SDRs and the Commission.90 The large number

of state data reporting messages has complicated the Commission’s use of swap data. For

instance, determining the changes that occurred over time to a five-year swap reported

via state data reporting would require Commission staff to analyze all swap data elements

on over 1,800 (360 x 5 = 1,800) state data swap reports associated with the swap.

Other regulators have taken approaches that are less receptive to state data

reporting. The SEC, for instance, stated that “Regulation SBSR would not prevent a

registered SDR from developing for its members a mechanism or other service that

 88 17 CFR 45.1 (definition of “life cycle event”). The Commission is proposing to amend the definition of

“life cycle event data” in § 45.1, as discussed in section II.A.2 above. 89 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2153.

90 For instance, an analysis of part 45 data showed that during January 2018, SDRs received approximately

30 million state data reporting messages, which included over 77% of all interest rate swap reports

submitted to SDRs during that time period. Since reporting began, the Commission estimates that SDRs

have received and made available to the Commission over a billion state data reporting messages.
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automates or facilitates the production of life cycle events from state data.”91 However,

with respect to state data reporting generally, the SEC noted that it “is not sufficient

merely to re-report all of the terms of the security-based swap each day without

identifying which data elements have changed.”92 Similarly, ESMA requires maintaining

a reporting log containing the reporting of “modifications” to the data registered in TRs.93

With these modifications, ESMA requires the identity of the person or persons requesting

the modification, including the TR itself if applicable, the reason or reasons for such

modification, a date and timestamp, and a clear description of the changes, including the

old and new contents of the relevant data.94

In light of the foregoing, the Commission is proposing to remove the option for

state data reporting in § 45.4. The Commission preliminarily believes that this would

simplify swap reporting by significantly reducing swap message traffic to only those

messages corresponding with a change in the terms of a swap. All terms would continue

to be reported with each change, but the event and action type swap data elements would

indicate the changes that have been made to the swap transaction.95 This approach would

facilitate the Commission’s analysis of swap data by drastically reducing the number of

 91 See Regulation SBSR – Reporting and Dissemination of Security-Based Swap Information, 80 FR

14564, 14640 n. 692. The SEC explained that its § 901(e)(1) “requires the reporting of a life cycle event . . .

that results in a change to information previously reported pursuant to [§] 901(c), 901(d), or 901(i). Thus,

Rule 901(e)(1) contemplates the reporting of the specific changes to previously reported information.

Reports of life cycle events, therefore, must clearly identify the nature of the life cycle event for each

security-based swap.”

92 Id. 93 Commission Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of

the European Parliament and of the Council on OTC derivatives, central counterparties and trade

repositories with regard to regulatory technical standards on the minimum details of the data to be reported

to trade repositories, Article 4 (Dec. 19, 2012).

94 Id.

95 The swap data elements required to be reported to SDRs are discussed in section V below.
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messages that would need to be analyzed for each swap. Moreover, this approach would

be consistent with the approach taken by other regulators.

Therefore, proposed § 45.4(a) would require that for each swap, regardless of

asset class, reporting counterparties and DCOs required to report required swap

continuation data shall report life cycle event data for the swap electronically to an SDR

in the manner provided in § 45.13(a) within the applicable deadlines set forth in § 45.4.96

3. § 45.4(b) – Continuation Data Reporting for Clearing Swaps

The Commission is proposing several revisions to the § 45.4(b) required swap

continuation data reporting requirements for clearing swaps. First, the Commission is

proposing to move the § 45.4(b) required swap continuation data reporting regulations for

clearing swaps to revised § 45.4(c). The Commission is then proposing to redesignate

current § 45.4(c) as § 45.4(b). Current § 45.4(c) contains the continuation data reporting

regulations for original swaps. As revised, newly re-designated § 45.4(b) would be titled

“Continuation data reporting for original swaps.”

Revised § 45.4(c) would contain the continuation data reporting requirements for

all swaps other than original swaps, which would include clearing swaps. The revisions

to the continuation data requirements for clearing swaps and uncleared swaps are

discussed in section II.D.4 below. The revisions to the continuation data requirements for

original swaps in revised § 45.4(b) will be discussed in this section.

Second, the Commission is proposing several amendments to the continuation

data reporting regulations for original swaps in § 45.4(c), proposed to be redesignated as

 96 The deadlines for reporting required swap continuation data are discussed in the following two sections.
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§ 45.4(b). Current § 45.4(c) requires that required swap continuation data, including

terminations, must be reported to the SDR to which the original swap that was accepted

for clearing was reported pursuant to § 45.3(a)-(d).97 For continuation data, § 45.4(c)(1)

requires: (i) life cycle event data or state data reporting either on the same day that any

life cycle event occurs with respect to the swap, or daily for state data reporting; and (ii)

daily valuation data. In addition, § 45.4(c)(2) requires the reporting of: (i) the LEI of the

SDR to which all required swap creation data for each clearing swap was reported by the

DCO pursuant to § 45.3(e); (ii) the USI of the original swap that was replaced by the

clearing swaps; and (iii) the USI of each clearing swap that replaces a particular original

swap.

The Commission is proposing to extend the deadline for reporting swap

continuation data for original swaps in § 45.4(c)(1). As explained in sections II.C.2.a and

II.C.2.b above, the Commission is proposing to extend the deadlines for reporting

required swap creation data in § 45.3 for swaps executed on SEFs and DCMs and those

executed off-facility to either T+1 or T+2, depending on the reporting counterparty.98 As

a result, the Commission reviewed the reporting deadlines for required swap continuation

data to ensure the amendments to the required swap creation data reporting deadlines do

not conflict.

In reviewing the continuation data reporting deadlines, the Commission also

considered those set by other regulators. For instance, the SEC requires that any events

 97 The regulation also specifies the information must be reported in the manner provided in § 45.13(b) and

in § 45.4, and must be accepted and recorded by such SDR as provided in § 49.10. 17 CFR 45.4(c).

98 The background to these proposed amendments is discussed in connection with the proposed revisions to

the required swap creation data reporting deadlines in §§ 45.3(a) and (b), discussed in sections II.C.2.a and

II.C.2.b, respectively, above.
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that would result in a change in the information reported to a SBSDR be reported within

24 hours of the event taking place.99 EMIR similarly requires that contract modifications

be reported no later than the working day following the modification.100 Both the SEC

and ESMA generally have the same deadlines for reporting new swaps as well as

amendments, though the deadline may be more than 24 hours in Europe depending on

when the trade was concluded and if the following day is a working day.

Original swaps are swaps that are accepted for clearing by a DCO. Because they

are cleared, the original swap reporting counterparties do not report continuation data for

original swaps to SDRs. However, the Commission believes aligning the required swap

creation data deadlines with the required swap continuation data deadlines would be

consistent with the approach taken by other regulators. In light of the foregoing, the

Commission is proposing to extend the deadline for reporting continuation data for

original swaps to T+1 following any life cycle event.

The Commission is also proposing to remove the references to state data

reporting101 in § 45.4(b) and to clarify that required swap continuation data must be

reported “electronically.” As explained earlier in this proposal, this should be current

practice. In addition, the Commission is proposing to update various cross references and

make non-substantive language edits to improve readability.

Therefore, proposed § 45.4(b) would require that for each original swap, the DCO

shall report required swap continuation data, including terminations, electronically to the

 99 17 CFR 242.900(g); 17 CFR 242.901(e). 100 Reg. 648/2012 Art. 9(1). 101 The background to this proposed amendment is discussed in connection with the proposed removal of

the state data reporting regulations from § 45.4(a), discussed in section II.D.2 above.
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SDR to which the swap that was accepted for clearing was reported pursuant to § 45.3 in

the manner provided in § 45.13(a) and in § 45.4, and such required swap continuation

data shall be accepted and recorded by such SDR as provided in § 49.10. Revised §

45.4(b)(1) would require that the DCO that accepted the swap for clearing shall report all

life cycle event data electronically to an SDR in the manner provided in § 45.13(a) not

later than 11:59 p.m. eastern time on the next business day following the day, as

determined according to eastern time, that any life cycle event occurs with respect to the

swap.

Revised § 45.4(b)(2) would continue to require that in addition to all other

required swap continuation data, life cycle event data shall include: (i) the LEI of the

SDR to which all required swap creation data for each clearing swap was reported by the

DCO pursuant to § 45.3(b); (ii) the UTI of the original swap that was replaced by the

clearing swaps; and (iii) the UTI of each clearing swap that replaces a particular original

swap.

4. § 45.4(c) – Continuation Data for Original Swaps

The Commission is proposing several amendments to the § 45.4(c) regulations for

reporting required swap continuation data for original swaps. First, the Commission is

proposing to move the required swap continuation data reporting requirements for

original swaps from § 45.4(c) to § 45.4(b). The Commission is proposing to move the

continuation data reporting requirements for clearing swaps from § 45.4(b) to § 45.4(c),

and combine them with the continuation data reporting requirements for uncleared swaps

currently located in § 45.4(d). The Commission is proposing to retitle § 45.4(c)
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“Continuation data reporting for swaps other than original swaps” to reflect the

combination.

The Commission is proposing several revisions to the continuation data reporting

regulations for clearing swaps and uncleared swaps in §§ 45.4(b) and (d), respectively,

which are proposed to be redesignated as § 45.4(c). The revisions to the continuation data

requirements for original swaps are discussed in section II.D.3 above. The revisions to

the continuation data requirements for clearing swaps and uncleared swaps to be

combined in revised § 45.4(c) will be discussed below in this section.

Current § 45.4(b) requires that for all clearing swaps, DCOs must report: (i) life

cycle event data or state data reporting either on the same day that any life cycle event

occurs with respect to the swap, or daily for state data reporting; and (ii) daily valuation

data. Current § 45.4(d) requires that for all uncleared swaps, including swaps executed on

a SEF or DCM, the reporting counterparty must report: (i) all life cycle event data on the

same day for SD/MSP reporting counterparties, or the second business day if it relates to

a corporate event of the non-reporting counterparty, or state data daily; (ii) all life cycle

event data on the next business day for non-SD/MSP reporting counterparties, or the end

of the second business day if it relates to a corporate event of the non-reporting

counterparty, or state data daily; (iii) daily valuation data for SD/MSP reporting

counterparties; and (iv) the current daily mark of the transaction as of the last day of each
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fiscal quarter, within 30 calendar days of the end of each fiscal quarter for non-SD/MSP

reporting counterparties.102

The Commission is proposing to revise the life cycle event reporting deadlines for

these swaps to reflect the revisions proposed to the § 45.3(b) required swap creation data

reporting deadlines and the § 45.4(b) original swap continuation data reporting

deadlines.103 The Commission is proposing to change the life cycle event reporting

deadline for SD/MSP/DCO reporting counterparties from the same day to T+1 following

any life cycle event.104 The Commission is proposing to update the exception for

corporate events of the non-reporting counterparty to T+2.

For non-SD/MSP/DCO reporting counterparties, the Commission is proposing to

change the life cycle event reporting deadline to T+2 following the life cycle event.

The Commission is also proposing to remove the references to state data reporting

in revised § 45.4(c).105 The Commission is also proposing to clarify that required swap

continuation data must be reported “electronically.” The Commission is also proposing to

update various cross references and make non-substantive language edits to improve

readability.

 102 If a daily mark of the transaction is not available for the swap, the reporting counterparty satisfies the

requirement by reporting the current valuation of the swap recorded on its books in accordance with

applicable accounting standards. 17 CFR 45.4(d)(2)(ii). 103 The background to these proposed revisions is discussed in connection with the proposed revisions to

the required swap creation data reporting deadlines for off-facility swaps in revised § 45.3(b) and the

required swap continuation data deadlines for original swaps in § 45.4(b), discussed in sections II.C.2.b and

II.D.3, respectively, above. 104 The Commission is not similarly proposing to extend the valuation data reporting deadline for

SD/MSP/DCO reporting counterparties. The Commission preliminarily believes that valuation data should

not be similarly delayed because SDs, MSPs, and DCOs are already creating daily valuations and tracking

margin and collateral for reasons independent of their swap reporting obligations. 105 The background to this proposed amendment is discussed in connection with the proposed removal of

the state data reporting regulations from § 45.4(a), discussed in section II.D.2 above.
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The Commission is also proposing revisions to the requirements for reporting

swap valuation data for all reporting counterparties. As background, DCOs, SDs, and

MSPs report valuation data daily, while non-SD/MSP reporting counterparties report the

daily mark of transactions quarterly.106 For DCO, SD, and MSP reporting counterparties,

the Commission is proposing to maintain the daily reporting requirement. However, the

Commission is proposing to expand the requirement to include margin and collateral

data.

107

As background, the Commission decided not to require collateral data reporting

when it adopted part 45 in 2012. At the time, both the Commission and industry

understood that collateral information was important for systemic risk management, but

was not yet possible to include in transaction-based reporting since it was calculated at

the portfolio level.108 In light of this limitation, the Commission required that the daily

mark be reported for swaps as valuation data, but not collateral.

109 However, the

Commission noted that while the industry had not yet developed data elements suitable

for representing the terms required to report collateral, the Commission could revisit the

issue in the future if and when industry and SDRs develop ways to represent

electronically the terms required for reporting collateral.110

 106 17 CFR 45.4(b)(2) and (d)(2). 107 The Commission is proposing to add a definition of “collateral data” to § 45.1(a), as discussed in section

II.A.1 above. As proposed “collateral data” would mean the data elements necessary to report information

about the money, securities, or other property posted or received by a swap counterparty to margin,

guarantee, or secure a swap, as specified in appendix 1 to part 45. 108 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2153.

109 17 CFR 45.1 (definition of “valuation data”). The Commission is proposing to amend the definition of

“valuation data” in § 45.1(a), as discussed in section II.A.2 above. As amended, “valuation data” would

mean the data elements necessary to report information about the daily mark of the transaction, pursuant to

CEA section 4s(h)(3)(B)(iii), and to § 23.431 if applicable, as specified in appendix 1 to part 45. 110 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2154.
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The Commission is concerned that not having margin and collateral data impedes

its ability to fulfill the systemic risk mitigation objectives of the Dodd-Frank Act. As a

result, the Commission is revisiting this issue as the Commission noted in 2012 to

determine whether it is now feasible.

DMO raised the issue of and received comments on new margin and collateral

reporting as part of the Roadmap review. Some commenters opposed such reporting,111

with one recommending that the Commission look for alternative means to collect the

data.112 One commenter indicated that increased harmonization with ESMA on issues

such as margin data collection could be helpful.113

Other regulators have taken different approaches to margin and collateral data

reporting. The SEC does not require reporting of any valuation data or margin and

collateral data, for security-based swaps.

114 ESMA, in contrast, requires the reporting of

many of the same collateral and margin swap data elements the Commission is proposing

to require, either on a portfolio basis or by transaction.115 With respect to valuation data,

ESMA requires central counterparties to report valuations for cleared swaps as the

Commission does.

116 EMIR does provide an exemption from valuation reporting, as well

 111 Letter from American Counsel of Life Insurers (“ACLI”) (Aug. 21, 2017) at, 2-3 (asserting that margin

data would not “be constructive” and the burden would outweigh any benefit); Letter from CEWG at 3;

Joint ISDA-SIFMA Letter at 8. 112 Joint ISDA-SIFMA Letter at 8. 113 Letter from Chatham at 5. 114 Regulation SBSR – Reporting and Dissemination of Security-Based Swap Information, 80 FR 14564,

14590 (noting that SEC will continue to assess the reporting and public dissemination regime under

Regulation SBSR and could determine to propose additional requirements, such as the reporting of

valuations, as necessary or appropriate.). 115 The collateral and margin data elements themselves are included below in section V. 116 Reg. 148/2013 Art. 3(5).
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as reporting margin and collateral data, for non-financial counterparties, unless they

exceed a threshold of derivatives activity.117

The Commission believes margin and collateral data is necessary to monitor risk

in the swaps market. Given that ESMA is already requiring collateral reporting, and that

the Commission is proposing to require many of the swap data elements that ESMA

requires, the Commission believes industry is ready to report this data to SDRs.

However, the Commission is concerned that valuation, margin, and collateral data

reporting could create a significant burden for non-SD/MSP/DCO reporting

counterparties. The Commission is aware that these entities may be smaller and less

active in the swaps market, with fewer resources to devote to reporting this complex data.

The Commission also recognizes that the quarterly valuation data these counterparties

report is not integral to the Commission’s ability to monitor systemic risk in the swaps

market and may not justify the cost to these entities to report it. The Commission is

therefore proposing to remove the current requirement for non-SD/MSP/DCO reporting

counterparties to report valuation data in § 45.4(d)(2)(ii). The Commission is also

proposing not to require non-SD/MSP/DCO reporting counterparties to report margin and

collateral data. The Commission preliminarily believes this would relieve these

counterparties from unnecessary burdens without impacting the Commission’s ability to

monitor systemic risk. The Commission also notes this change would be consistent with

the approach taken by ESMA (and the SEC, insofar as the SEC does not require reporting

of margin and collateral data from any type of market participant).

 117 Reg. 148/2013 Art. 3(4); Reg. 648/2012 Art. 10.
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In light of the foregoing, the Commission is proposing to require margin and

collateral reporting for reporting counterparties that are SDs, MSPs, and DCOs in §

45.4(c)(2). Proposed § 45.4(c) would require that for each swap that is not an original

swap, including clearing swaps and swaps not cleared by a DCO, the reporting

counterparty report all required swap continuation data electronically to an SDR in the

manner provided in § 45.13(a) as provided in § 45.4(c). Proposed § 45.4(c)(1)(i) would

require that SD/MSP/DCO reporting counterparties report life cycle event data

electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m.

eastern time on the next business day following the day, as determined according to

eastern time, that any life cycle event occurred, with the sole exception that life cycle

event data relating to a corporate event of the non-reporting counterparty shall be

reported in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on

the second business day following the day, as determined according to eastern time, that

such corporate event occurred.

Proposed § 45.4(c)(1)(ii) would require that non-SD/MSP/DCO reporting

counterparties report life cycle event data electronically to an SDR in the manner

provided in § 45.13(a) not later than 11:59 p.m. eastern time on the second business day

following the day, as determined according to eastern time, that any life cycle event

occurred.

Proposed § 45.4(c)(2) would require that SD/MSP/DCO reporting counterparties

report swap valuation data and collateral data electronically to an SDR in the manner

provided in § 45.13(b) each business day.

Request for Comment
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The Commission requests comment on all aspects of the proposed changes to

§ 45.4. The Commission also invites specific comment on the following:

(5) Are the Commission’s proposed T+1 and T+2 deadlines for reporting required swap

continuation data appropriately harmonized with the deadlines set by other regulators and

jurisdictions to benefit market participants? Do the Commission’s proposed T+1 and T+2

deadlines for reporting required swap continuation data create any operational issues for

reporting counterparties that the Commission has not considered?

(6) Is the requirement to report margin and collateral data without distinction for whether

a swap is cleared or uncleared redundant with existing part 39 reporting requirements for

cleared swaps? Are there efficiencies for reporting counterparties to submit both cleared

and uncleared margin and collateral data together to SDRs?

(7) Does the Commission’s proposal to no longer require non-SD/MSP/DCO reporting

counterparties to report valuation data raise any concerns about the Commission’s ability

to monitor systemic risk in the U.S. swaps market?

E. § 45.5 – Unique Transaction Identifiers

The Commission is proposing amendments to § 45.5 for USIs. In general, the

Commission is proposing to amend § 45.5(a)-(f) to require each swap to be identified

with a UTI in all recordkeeping and all swap data reporting, and to require that the UTI

be comprised of the LEI of the generating entity and a unique alphanumeric code. The

proposed amendments to § 45.5(a)-(f) are discussed in sections II.E.1 to II.E.7 below.

In general, § 45.5 requires each swap to be identified with a USI in all

recordkeeping and all swap data reporting, and requires that the USI be comprised of the

identifier assigned by the Commission to the generating entity and a unique alphanumeric
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code. In response to the Roadmap, the Commission received comment letters supporting

adoption of the UTI and UPI standards as part of the review.118

Because the current USI requirement was implemented prior to global consensus

on the structure and format for a common swap identifier, the Commission preliminarily

believes that amending § 45.5 to require each swap to be identified with a UTI in all

recordkeeping and all swap data reporting and to require that the UTI be comprised of the

LEI of the generating entity and a unique alphanumeric code will result in the structure

and format for the swap identifier being consistent with the UTI Technical Guidance,

reduce cross-border reporting complexity and encourage global swap data aggregation.

1. Title and Introductory Text

The Commission is proposing several conforming amendments to the § 45.5 title

and the introductory text. Current § 45.5 is titled “Unique swap identifiers.” The current

introductory text states that each swap subject to the jurisdiction of the Commission shall

be identified in all recordkeeping and all swap data reporting pursuant to part 45 by the

use of a USI, which shall be created, transmitted, and used for each swap as provided in §

45.5(a)-(f).

The Commission is proposing to replace “swap” in the title with “transaction” to

reflect the Commission’s proposed adoption of the UTI. Accordingly, the Commission is

also proposing to update the reference to USI with UTI in the introductory text.

The Commission is also proposing to update the reference to paragraphs (a)

through (f) of § 45.5 to (a) through (h) of § 45.5. This amendment would reflect the

 118 Joint ISDA-SIFMA Letter at 4; Joint SDR Letter at 7.
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Commission’s proposed addition of §§ 45.5(g) and (h), discussed in sections II.E.8 and

II.E.9 below.

Therefore, in light of the above proposed amendments, the introductory text

would state that each swap shall be identified in all recordkeeping and all swap data

reporting pursuant to part 45 by the use of a UTI, which shall be created, transmitted, and

used for each swap as provided in paragraphs (a) through (h) of § 45.5.

2. § 45.5(a) – Swaps Executed on or Pursuant to the Rules of a SEF or DCM

The Commission is proposing several conforming amendments to § 45.5(a) for

the creation and transmission of USIs for swaps executed on or pursuant to the rules of

SEFs and DCMs. Current § 45.5(a)(1) requires that for swaps executed on or pursuant to

the rules of SEFs and DCMs, SEFs and DCMs generate and assign USIs at or ASATP

following execution, but prior to the reporting of required swap creation data, that consist

of a single data field containing: (i) the unique alphanumeric code assigned to the SEF or

DCM by the Commission for the purpose of identifying the SEF or DCM with respect to

the USI creation; and (ii) an alphanumeric code generated and assigned to that swap by

the automated systems of the SEF or DCM, which shall be unique with respect to all such

codes generated and assigned by that SEF or DCM.119

Current § 45.5(a)(2) requires that the SEF or DCM transmit the USI

electronically: (i) to the SDR to which the SEF or DCM reports required swap creation

data for the swap, as part of that report; (ii) to each counterparty to the swap ASATP after

execution of the swap; and (iii) to the DCO, if any, to which the swap is submitted for

 119 17 CFR 45.5(a)(1)(i)-(ii).
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clearing, as part of the required swap creation data transmitted to the DCO for clearing

purposes.120

First, the Commission is proposing amendments to conform to the Commission’s

proposed adoption of the UTI. The Commission is proposing to replace all references to

USIs with UTIs in § 45.5(a)(1)-(2). In addition, the Commission is proposing to update

the phrase in § 45.5(a)(1) that the USI shall consist of a single data “field” that contains

two components to a single data “element with a maximum length of 52 characters” so

that the length of the UTI is consistent with the UTI Technical Guidance.121

The Commission is also proposing to amend § 45.5(a)(1)(i) describing the first

component of the UTI’s single data element to replace “unique alphanumeric code

assigned to” the SEF or DCM with “legal entity identifier of” the SEF or DCM so that

the identifier used to identify the UTI generating entity is consistent with the UTI

Technical Guidance.122 The Commission is also proposing to delete the phrase in the

second half of the sentence stating “by the Commission for the purpose of identifying the

[SEF] or [DCM] with respect to the [USI] creation,” because, according to the UTI

Technical Guidance, an LEI is used to identify the UTI generating entity instead of an

identifier assigned by individual regulators.

Therefore, in light of the above proposed changes, § 45.5(a)(1)123 would require

that for swaps executed on or pursuant to the rules of SEFs or DCMs, SEFs and DCMs

generate and assign UTIs at or ASATP following execution, but prior to the reporting of

 120 17 CFR 45.5(a)(2)(i)-(iii). 121 UTI Technical Guidance, Section 3.6. 122 UTI Technical Guidance, Section 3.5. 123 Current § 45.5(a)(2) would remain unchanged, except for the single updated reference to UTI in §

45.5(a)(2).
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required swap creation data, that consist of a single data element with a maximum length

of 52 characters containing: (i) the LEI of the SEF or DCM; and (ii) an alphanumeric

code generated and assigned to that swap by the automated systems of the SEF or DCM,

which shall be unique with respect to all such codes generated and assigned by that SEF

or DCM.

3. § 45.5(b) – Off-Facility Swaps with an SD or MSP Reporting Counterparty

The Commission is proposing several amendments to § 45.5(b) for the creation

and transmission of USIs for off-facility swaps by SD/MSP reporting counterparties.

Current § 45.5(b)(1) requires that for off-facility swaps with SD/MSP reporting

counterparties, the reporting counterparty generate and assign a USI ASATP consisting

of a single data field. The single data field is to contain: (i) the unique alphanumeric code

assigned to the SD or MSP by the Commission at the time of its registration for the

purpose of identifying them with respect to USI creation; and (ii) an alphanumeric code

generated and assigned to that swap by the automated systems of the SD or MSP, which

shall be unique with respect to all such codes generated and assigned by that SD or MSP.

The required USI is to be generated and assigned after execution of the swap and prior to

the reporting of required swap creation data and the transmission of data to a DCO if the

swap is to be cleared.

Current § 45.5(b)(2) requires that the reporting counterparty transmit the USI

electronically: (i) to the SDR to which the reporting counterparty reports required swap

creation data for the swap, as part of that report; and (ii) to the non-reporting counterparty

to the swap, ASATP after execution of the swap; and (iii) to the DCO, if any, to which
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the swap is submitted for clearing, as part of the required swap creation data transmitted

to the DCO for clearing purposes.

First, the Commission is proposing to expand the UTI creation and transmission

requirements for SD/MSP reporting counterparties to include reporting counterparties

that are financial entities.124 The Commission preliminarily believes that amending §

45.5(b) to extend the responsibility for generating off-facility swap UTIs to reporting

counterparties that are financial entities will reduce the UTI-generation burden on nonfinancial entities.

The Commission also believes this would more closely align the UTI generation

hierarchy with the reporting counterparty determination hierarchy in § 45.8, which

incorporates financial entities for purposes of determining the reporting counterparty.125

For example, in an off-facility swap where neither counterparty is an SD nor MSP and

only one counterparty is a financial entity, the counterparty that is a financial entity will

be the reporting counterparty,126 yet the SDR would generate the USI under current §

45.5(c).127 The proposed changes to § 45.5(b) would ensure that for such swap, the

financial entity would be assigned to both the reporting counterparty and to generate the

UTI. This amendment to § 45.5(b) would also reduce the number of swaps for which

SDRs would be required to generate the UTI.

The Commission is also proposing conforming changes. These are to replace

“swap dealer or major swap participant reporting counterparty” in the title to § 45.5(b)

 124 17 CFR 45.1 (definition of “financial entity”). 125 17 CFR 45.8. 126 17 CFR 45.8(c). 127 17 CFR 45.5(c).
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with “financial entity reporting counterparty” and to replace “swap dealer or major swap

participant” in the first sentence of § 45.5(b) with “financial entity.” As proposed, the

new title of § 45.5(b) would be “Off-facility swaps with a financial entity reporting

counterparty” and the first sentence of § 45.5(b) would begin with “For each off-facility

swap where the reporting counterparty is a financial entity....”128 The Commission is

similarly proposing to replace references to “swap dealer or major swap participant” in

§§ 45.5(b)(1)(i) and (ii) with “reporting counterparty.”129

Second, the Commission is proposing amendments to conform to the

Commission’s proposed adoption of the UTI. The Commission is proposing to replace all

references to USIs with UTIs in § 45.5(b)(1)-(2). In addition, the Commission is

proposing to update the phrase in § 45.5(b)(1) that the USI shall consist of a single data

“field” that contains two components to a single data “element with a maximum length of

52 characters” so that the length of the UTI is consistent with the UTI Technical

Guidance.130

The Commission is also proposing to amend § 45.5(b)(1)(i) describing the first

component of the UTI’s single data element to replace “unique alphanumeric code

assigned to” the SD or MSP with “legal entity identifier of” the reporting counterparty so

that the identifier used to identify the UTI generating entity is consistent with the UTI

Technical Guidance.131 The Commission is also proposing to delete the phrase in the

second half of the sentence stating “by the Commission at the time of its registration as

 128 See row “45.5(b)” of the table in section VIII.3 below.

129 See row “45.5(b)(1)(ii)” of the table in section VIII.3 below. 130 UTI Technical Guidance, Section 3.6. 131 UTI Technical Guidance, Section 3.5.
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such, for the purpose of identifying the [SD] or [MSP] with respect to the [USI]

creation,” because, according to the UTI Technical Guidance, an LEI is used to identify

the UTI generating entity instead of an identifier assigned by individual regulators.

Therefore, in light of the above proposed changes, § 45.5(b)(1)132 would require

that for off-facility swaps with a financial entity reporting counterparty, the reporting

counterparties generate and assign UTIs at or ASATP following execution, but prior to

the reporting of required swap creation data, that consist of a single data element with a

maximum length of 52 characters containing: (i) the LEI of the reporting counterparty;

and (ii) an alphanumeric code generated and assigned to that swap by the automated

systems of the reporting counterparty, which shall be unique with respect to all such

codes generated and assigned by that reporting counterparty.

4. § 45.5(c) – Off-Facility Swaps with a Non-SD/MSP Reporting Counterparty

The Commission is proposing several amendments to § 45.5(c) for the creation

and transmission of USIs for off-facility swaps by non-SD/MSP reporting counterparties.

Current § 45.5(c)(1) requires that for off-facility swaps with non-SD/MSP reporting

counterparties, the SDR generates and assigns a USI ASATP after receiving the first

report of PET data consisting of a single data field containing: (i) the unique

alphanumeric code assigned to the SDR by the Commission at the time of its registration

for the purpose of identifying them with respect to USI creation; and (ii) an alphanumeric

code generated and assigned to that swap by the automated systems of the SDR, which

shall be unique with respect to all such codes generated and assigned by that SDR.

 132 Current § 45.5(b)(2) would remain unchanged, except for the single updated reference to UTI in §

45.5(b)(2).
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Current § 45.5(c)(2) requires that the SDR transmit the USI electronically: (i) to

the counterparties to the swap ASATP after creation of the USI, and (ii) to the DCO, if

any, to which the swap is submitted for clearing ASATP after creation of the USI.

First, the Commission is proposing to replace “non-SD/MSP reporting

counterparty” in the title to § 45.5(c) with “non-SD/MSP/DCO reporting counterparty

that is not a financial entity” and to replace “reporting counterparty is a non-SD/MSP

counterparty” in the first sentence of § 45.5(c) with “reporting counterparty is a nonSD/MSP/DCO counterparty that is not a financial entity.” As proposed, the new title of §

45.5(c) would be “Off-facility swaps with a non-SD/MSP/DCO reporting counterparty

that is not a financial entity” and the first sentence of § 45.5(c) would begin with “For

each off-facility swap for which the reporting counterparty is a non-SD/MSP/DCO

counterparty that is not a financial entity....” As explained in section II.E.3 above, the

Commission is proposing to expand UTI generation responsibilities to financial

entities133, and preliminarily believes that this amendment is needed to clarify that

proposed § 45.5(c) would apply only where a reporting counterparty is a nonSD/MSP/DCO counterparty that is not a financial entity.

Second, the Commission is proposing to amend § 45.5(c) to provide nonSD/MSP/DCO reporting counterparties that are not financial entities with the option to

generate the UTI for an off-facility swap or to request that the SDR to which required

swap creation data will be reported to generate the UTI. If the non-SD/MSP/DCO

reporting counterparty that is not a financial entity chooses to generate the UTI for an off-

 133 17 CFR 45.1 (definition of “financial entity”).
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facility swap, the reporting counterparty would follow the creation and transmission

requirements for financial entity reporting counterparties in §§ 45.5(b)(1) and (2). If the

non-SD/MSP/DCO reporting counterparty that is not a financial entity chooses to request

the SDR to generate the UTI, the SDR would follow the creation and transmission

requirements for SDRs in §§ 45.5(c)(1) and (2). The Commission is proposing

amendments to the requirements for SDRs in § 45.5(c)(1), as discussed below.

In the Joint SDR Letter, three SDRs expressed the view that the Commission

should adopt the UTI Technical Guidance without modification, after which anyone with

an LEI would be able to create a USI, and SDRs would no longer need to generate and

transmit UTIs.134 The Commission participated in the preparation of the UTI Technical

Guidance, which includes guidance to authorities for allocating responsibility for UTI

generation, including a generation flowchart that places SDRs at the end.135 The UTI

Technical Guidance also notes that “[n]ot all factors” in the flowchart for allocating

responsibility for UTI generation “will be relevant for all jurisdictions.”136

Because the UTI Technical Guidance was produced with the need to

accommodate the different trading patterns and reporting rules in jurisdictions around the

world, certain factors included in the UTI Technical Guidance generation flowchart are

not applicable for the Commission (e.g., factors relating to the principal clearing model137

 134 Joint SDR Letter at 7-8. 135 UTI Technical Guidance at 12-14. 136 UTI Technical Guidance at 12. 137 UTI Technical Guidance at 12 (Step 2: “Is a counterparty to this transaction a clearing member of a

CCP, and if so is that clearing member acting in its clearing member capacity for this transaction?”).
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or electronic confirmation platforms)

138, and therefore the Commission is unable to adopt

the UTI Technical Guidance without modification. However, the Commission

preliminarily believes that none of the provisions of amended § 45.5 conflict with the

UTI Technical Guidance, including maintaining the existing obligations for SDRs to

generate and transmit UTIs. While UTI generation and transmission responsibilities by

SDRs remain in amended § 45.5(c), the Commission also preliminarily believes that the

proposed alignment of the UTI generation and reporting counterparty determination for

financial entities in amended § 45.5(b) and the proposed reporting option for

counterparties that are neither DCOs nor financial entities in amended § 45.5(c) will

result in reduced overall UTI generation and transmission burdens for SDRs.

The Commission preliminarily believes that amending § 45.5(c) to provide the

reporting counterparty with the option to generate the UTI for an off-facility swap where

the reporting counterparty is neither a DCO nor financial entity or, if the reporting

counterparty elects not to generate the UTI, to request that the SDR to which required

swap creation data will be reported to generate the UTI will simultaneously: (i) provide a

reporting counterparty that is neither a DCO nor financial entity with the flexibility to

generate the UTI should it choose to do so; and (ii) reduce the number of swaps where an

SDR is assigned with UTI generation responsibilities, while also maintaining the existing

SDR role as a guarantee that every off-facility swap will be identified with a UTI.

Third, the Commission is proposing amendments to conform to the Commission’s

proposed adoption of the UTI. The Commission is proposing to replace all references to

 138 UTI Technical Guidance at 12 (Step 6: “Has the transaction been electronically confirmed or will it be

and, if so, is the confirmation platform able, willing and permitted to generate a UTI within the required

time frame under the applicable rules?”).
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USIs with UTIs in § 45.5(c)(1)-(2). In addition, the Commission is proposing to update

the phrase in § 45.5(c)(1) that the USI shall consist of a single data “field” that contains

two components to a single data “element with a maximum length of 52 characters” so

that the length of the UTI is consistent with the UTI Technical Guidance.139

The Commission is also proposing to amend § 45.5(c)(1)(i) describing the first

component of the UTI’s single data element to replace “unique alphanumeric code

assigned to” the SDR with “legal entity identifier of” the SDR so that the identifier used

to identify the UTI generating entity is consistent with the UTI Technical Guidance.140

The Commission is also proposing to delete the phrase in the second half of the sentence

stating “by the Commission at the time of its registration as such, for the purpose of

identifying the [SDR] with respect to the [USI] creation,” because, according to the UTI

Technical Guidance, an LEI is used to identify the UTI generating entity instead of an

identifier assigned by individual regulators.

Therefore, in light of the above proposed amendments, § 45.5(c)(1)141 would

require that for swaps with a non-SD/MSP/DCO reporting counterparty that is not a

financial entity, the reporting counterparty shall either create and transmit a UTI as

provided in § 45.5(b)(1) and § 45.5(b)(2), or request that the SDR to which it reports

required swap creation data create and transmit one pursuant to § 45.5(c)(1) or (c)(2).

Proposed § 45.5(c)(1) would provide that the SDR generate and assign UTIs at or

ASATP following receipt of a request from the reporting counterparty, that consist of a

 139 UTI Technical Guidance, Section 3.6. 140 UTI Technical Guidance, Section 3.5. 141 Current § 45.5(c)(2) would remain unchanged, except for the updated references to UTI in §

45.5(b)(2)(i)(A)-(B).
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single data element with a maximum length of 52 characters containing: (i) the LEI of the

SDR; and (ii) an alphanumeric code generated and assigned to that swap by the

automated systems of the SDR, which shall be unique with respect to all such codes

generated and assigned by that SDR.

5. § 45.5(d) – Clearing Swaps

The Commission is proposing several amendments to the § 45.5(d) regulations for

the creation and transmission of USIs for clearing swaps. Current § 45.5(d) requires that

for each clearing swap, the DCO that is a counterparty to such swap shall create and

transmit a USI upon, or ASATP after, acceptance of an original swap 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. Current § 45.5(d)(1)

requires that the USI shall consist of a single data field that contains: (i) the unique

alphanumeric code assigned to the DCO by the Commission for the purpose of

identifying it with respect to USI creation; and (ii) an alphanumeric code generated and

assigned to that clearing swap by the automated systems of the DCO, which shall be

unique with respect to all such codes generated and assigned by that DCO.

Current § 45.5(d)(2) requires that the DCO transmit the USI electronically to: (i)

the SDR to which the DCO reports required swap creation data for the clearing swap; and

(ii) to the counterparty to the clearing swap, ASATP after accepting the swap for clearing

or executing the swap, if it does not replace an original swap.

First, the Commission is proposing to retitle the section “Off-facility swaps with a

[DCO] reporting counterparty.” The Commission is proposing to rephrase the

introductory text in § 45.5(d) to reflect this shift in terminology.
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Second, the Commission is proposing amendments to conform to the

Commission’s proposed adoption of the UTI. The Commission is proposing to replace all

references to USIs with UTIs in § 45.5(d)(1)-(2). In addition, the Commission is

proposing to update the phrase in § 45.5(d)(1) that the USI shall consist of a single data

“field” that contains two components to a single data “element with a maximum length of

52 characters” so that the length of the UTI is consistent with the UTI Technical

Guidance.142

The Commission is also proposing to amend § 45.5(d)(1)(i) describing the first

component of the UTI’s single data element to replace “unique alphanumeric code

assigned to the “DCO reporting counterparty with “legal entity identifier of” the DCO so

that the identifier used to identify the UTI generating entity is consistent with the UTI

Technical Guidance.143 The Commission is also proposing to delete the phrase in the

second half of the sentence stating “by the Commission at the time of its registration as

such, for the purpose of identifying the [DCO] with respect to the [USI] creation,”

because, according to the UTI Technical Guidance, an LEI is used to identify the UTI

generating entity instead of an identifier assigned by individual regulators.

Therefore, in light of the above proposed amendments, § 45.5(d)(1)144 would

require that for off-facility swaps with a DCO reporting counterparty, the reporting

counterparty generate and assign UTIs at or ASATP following clearing or execution, but

prior to the reporting of required swap creation data for the clearing swap, that consist of

 142 UTI Technical Guidance, Section 3.6. 143 UTI Technical Guidance, Section 3.5. 144 Current § 45.5(d)(2) would remain unchanged, except for the single updated reference to UTI in §

45.5(d)(2).
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a single data element with a maximum length of 52 characters containing: (i) the LEI of

the DCO; and (ii) an alphanumeric code generated and assigned to that swap by the

automated systems of the DCO, which shall be unique with respect to all such codes

generated and assigned by that DCO.

6. § 45.5(e) – Allocations

The Commission is proposing several amendments to the § 45.5(e) regulations for

the creation and transmission of USIs for allocations. The Commission is proposing to

replace references to USIs with UTI throughout § 45.5(e) to conform to the

Commission’s proposed adoption of the UTI. The Commission is also proposing nonsubstantive technical and language edits to update cross-references and improve

readability.

7. § 45.5(f) – Use

The Commission is proposing several amendments to the § 45.5(f) regulations for

the use of UTIs by registered entities and swap counterparties. Current § 45.5(f) requires

that registered entities and swap counterparties subject to the jurisdiction of the

Commission include the USI 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 USI, throughout

the existence of the swap and for as long as any records are required by the CEA or

Commission regulations to be kept 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.

Section 45.5(f) also specifies that this requirement shall not prohibit the use by a

registered entity or swap counterparty in its own records of any additional identifier or
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identifiers internally generated by the automated systems of the registered entity or swap

counterparty, or the reporting to an SDR, the Commission, or another regulator of such

internally generated identifiers in addition to the reporting of the USI.

First, the Commission is proposing amendments to conform to the Commission’s

proposed adoption of the UTI. The Commission is proposing to replace all references to

USIs with UTIs in § 45.5(f). The Commission is also proposing to remove the reference

to state data in the regulation,145 and make minor technical language edits, including

removing reference to ownership of the swap, which is not needed given the reference to

counterparties.

Second, the Commission is proposing to remove the provision permitting the

reporting of any additional identifier or identifiers internally generated by the automated

systems of the registered entity or swap counterparty to an SDR, the Commission, or

another regulator. The Commission believes this amendment would improve consistency

in the swap data reported to SDRs, and further the goal of harmonization of SDR data

across Financial Stability Board (“FSB”) member jurisdictions.

Therefore, in light of the above proposed amendments, § 45.5(f) would require

that registered entities and swap counterparties include the UTI for a swap in all of their

records and all of their swap data reporting concerning that swap, from the time they

create or receive the UTI, throughout the existence of the swap and for as long as any

records are required by the CEA or Commission regulations to be kept concerning the

 145 See discussion in section II.D.2 above.
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swap, regardless of any life cycle events concerning the swap, including, without

limitation, any changes with respect to the counterparties to the swap.

8. § 45.5(g) – Third-Party Service Provider

The Commission is proposing to add new § 45.5(g) to its regulations, titled

“Third-party service provider.” Proposed § 45.5(g) would create requirements for

registered entities and reporting counterparties to, when contracting with third-party

service providers to facilitate reporting pursuant to § 45.9, ensure that the third-party

service providers create and transmit UTIs.

146

As background, the Commission has encountered inconsistencies in the format

and standard of USIs for swaps reported using third-party service providers. The

Commission preliminarily believes that proposed § 45.5(g) will help ensure consistency

with the UTI Technical Guidance in the format and standard of UTIs for swaps reported

by third-party service providers. The Commission further believes that proposed §

45.5(g) will reinforce the existing responsibility of a registered entity or reporting

counterparty under § 45.9 for the data reported on its behalf by a third-party service

provider.

Therefore, proposed § 45.5(g) would provide that if a registered entity or

reporting counterparty required by part 45 to report required swap creation data or

required swap continuation data contracts with a third-party service provider to facilitate

reporting pursuant to § 45.9, the registered entity or reporting counterparty ensures that

such third-party service provider creates and transmits the UTI as otherwise required for

 146 17 CFR 45.9.
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such category of swap by § 45.5(a)-(e). It would further provide that the UTI shall consist

of a single data element with a maximum length of 52 characters that contains: (i) the LEI

of the third-party service provider; and (ii) an alphanumeric code generated and assigned

to that swap by the automated systems of the third-party service provider, which shall be

unique with respect to all such codes generated and assigned by that third-party service

provider.

9. § 45.5(h) – Cross-Jurisdictional Swaps

The Commission is proposing to add new § 45.5(h) to its regulations, titled

“Cross-jurisdictional swaps.” Proposed § 45.5(h) would clarify that if a swap is also

reportable to one or more other jurisdictions with a regulatory reporting deadline earlier

than the deadline set forth in § 45.3, the swap is to be identified in all reporting pursuant

to part 45 with the same UTI that has been generated according to the rules of the

jurisdiction with the earliest regulatory reporting deadline.

The Commission believes that the benefits resulting from global swap data

aggregation and harmonization are realizable only if each swap is identified in all

regulatory reporting worldwide with a single UTI so as to avoid double- or triplecounting of the swap. While the current requirement in part 45 for swap creation data to

be reported ASATP after execution results in the Commission having the earliest

regulatory reporting deadline, changes to the reporting deadline in proposed amendments

to § 45.3 may result in a cross-jurisdictional swap being required to be reported to

another jurisdiction earlier than to the Commission. Because the Commission considers it

critical that only one unique UTI is used to identify each swap, whether reportable only to

the Commission or to multiple jurisdictions, the Commission proposes that, if a cross-
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jurisdictional swap is reportable to another jurisdiction earlier than required under part

45, the UTI for such swap reported pursuant to part 45 be generated according to the

rules of the jurisdiction with the earliest regulatory reporting deadline.

The Commission preliminarily believes that the new proposed provision would:

(i) ensure consistency with the UTI Technical Guidance;

147 (ii) assist the Commission,

SDRs, and swap counterparties to avoid potentially identifying a single crossjurisdictional trade with multiple UTIs; and (iii) eliminate the potential for market

participants to be faced with a situation of attempting to comply with conflicting UTI

generation rules.

Therefore, proposed § 45.5(h) would require that notwithstanding the provisions

of § 45.5(a)-(g), if a swap is also reportable to one or more other jurisdictions with a

regulatory reporting deadline earlier than the deadline set forth in § 45.3, the same UTI

generated according to the rules of the jurisdiction with the earliest regulatory reporting

deadline shall be transmitted pursuant to § 45.5(a)-(g) and used in all recordkeeping and

all swap data reporting pursuant to part 45.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.5.

F. § 45.6 – Legal Entity Identifiers148

1. Introductory Text

 147 UTI Technical Guidance at 13 (Step 10: “UTI generation rules of the jurisdiction with the sooner

reporting deadline should be followed”). 148 The Commission is proposing to re-number the requirements of § 45.6 to correct current extensive

numbering errors.
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The Commission is proposing amendments to the introductory text of the § 45.6

regulations for LEIs. The current introductory text states that each counterparty to any

swap subject to the jurisdiction of the Commission shall be identified in all recordkeeping

and all swap data reporting pursuant to part 45 by means of a single LEI as specified in §

45.6.

First, the Commission is proposing to replace “each counterparty” with each SEF,

DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any swap. The

Commission believes a list of entities would be more precise and help market participants

referring to the introductory text.

Second, the Commission is proposing to revise the introductory text to require

each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any

swap that is eligible to receive an LEI to “obtain” as well as be identified in all

recordkeeping and swap data reporting by a single LEI. The Commission is aware of

uncertainty as to whether the requirement to identify each counterparty with an LEI in

current § 45.6 also includes a requirement for the counterparty to obtain an LEI, and the

Commission preliminarily believes that amending § 45.6 to clarify that a person or entity

required to be identified with an LEI in recordkeeping and swap data reporting also has

an associated affirmative requirement to obtain an LEI will clarify that identification

using LEI necessarily requires the identified person or entity, if eligible to receive an LEI,

to obtain an LEI.

The Commission also preliminarily believes that extending the requirement for

each counterparty to any swap to be identified in all recordkeeping and swap data

reporting by a single LEI to all SEFs, DCMs, DCOs, entities reporting pursuant to § 45.9,
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and SDRs will ensure consistency with the CDE Technical Guidance, allow for

standardization in the identification in recordkeeping and swap data reporting, and

encourage global swap data aggregation.

Therefore, in light of the above proposed amendments, the introductory text to §

45.6 would state that each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9,

and counterparty to any swap eligible to receive an LEI shall obtain and be identified in

all recordkeeping and all swap data reporting pursuant to part 45 by a single LEI as

specified in § 45.6.

2. § 45.6(a) – Definitions

The Commission is proposing several changes to the definitions for the LEI

regulations in § 45.6(a). As background, current § 45.6(a) provides definitions for

“control,” “legal identifier system,” “level one reference data,” “level two reference

data,” “parent,” “self-registration,” “third-party registration,” and “ultimate parent.”

The Commission is proposing to move certain definitions pertaining to LEIs to §

45.1(a). The Commission believes these definitions should be in § 45.1(a) because they

are used in regulations outside of § 45.6. These definitions are: “Global Legal Entity

Identifier System,”149 “legal entity identifier” or “LEI,” and “Legal Entity Identifier

Regulatory Oversight Committee.” These definitions are discussed in section II.A.1

above.

The Commission is also proposing to remove certain definitions pertaining to

LEIs from § 45.6(a). These definitions would no longer be necessary in light of the

 149 “Global Legal Entity Identifier System” and “local operating unit” would be updated versions of the

current definition of “legal identifier system.”
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proposed amendments to the LEI regulations, discussed in sections II.F.3 to II.F.8 below.

These definitions are: “control,” “level one reference data,” “level two reference data,”

“parent,” and “ultimate parent.”

The Commission is proposing to amend certain definitions pertaining to LEIs in §

45.6(a). The Commission is proposing to amend the definition of “self-registration” in

several respects. First, the Commission is proposing to remove the specific reference to

“level one or level two” reference data, and the accompanying specifier “as applicable.”

This amendment would reflect the Commission’s proposal to remove the definitions of

“level one reference data” and “level two reference data.”150

Second, the Commission is proposing to add a reference to “individuals,” to

reflect the fact that swap counterparties may be individuals who need to obtain LEIs. As

amended, “self-registration” would mean submission by a legal entity or individual of its

own reference data.

The Commission is also proposing to amend the definition of “third-party

registration.” First, the Commission is proposing to remove the specific references to

“level one or level two” reference data, and the accompanying specifier “as applicable.”

This amendment would reflect the Commission’s proposal to remove the definitions of

“level one reference data” and “level two reference data.”151

Second, the Commission is proposing to add references to “individuals,” to reflect

that swap counterparties may be individuals who need to obtain LEIs. As amended,

 150 Instead, as discussed below, the Commission is proposing to add a definition of “reference data.” The

proposed amendment to “self-registration” would be consistent with the new definition. 151 Instead, as discussed below, the Commission is proposing to add a definition of “reference data.” The

proposed amendment to “self-registration” would be consistent with the new definition.
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“third-party registration” would mean submission of reference data for a legal entity or

individual that is or may become a swap counterparty, made by an entity or organization

other than the legal entity or individual identified by the submitted reference data.

Examples of third-party registration include, without limitation, submission by an SD or

MSP of reference data for its swap counterparties, and submission by a national

numbering agency, national registration agency, or data service provider of reference data

concerning legal entities or individuals with respect to which the agency or service

provider maintains information.

Finally, the Commission is proposing to add two definitions pertaining to LEIs to

§ 45.6(a). First, the Commission is proposing to add a definition of “local operating unit.”

As proposed, “local operating unit” would mean an entity authorized under the standards

of the Global Legal Entity Identifier System to issue legal entity identifiers. Second, the

Commission is proposing to add a definition of “reference data.” As proposed, “reference

data” would mean all identification and relationship information, as set forth in the

standards of the Global Legal Entity Identifier System, of the legal entity or individual to

which an LEI is assigned. The terms “local operating unit” and “reference data” are

explained in a discussion of the proposed amendments to § 45.6(e) in section II.F.7

below.

3. § 45.6(b) – International Standard for the Legal Entity Identifier

The Commission is proposing several changes to § 45.6(b) regulations for the

international standards for LEIs. The proposed amendments to § 45.6(b) would reflect

changes that have taken place since the current LEI regulations in § 45.6 were adopted in

2012. As background, § 45.6(b) now states that the LEI used in all recordkeeping and all
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swap data reporting required by part 45, following designation of the legal entity

identifier system as provided in § 45.6(c)(2), shall be issued under, and shall conform to,

International Organization for Standardization (“ISO”) Standard 17442, Legal Entity

Identifier (LEI), issued by the ISO.

The Commission is proposing to remove the phrase “following designation of the

[LEI] system as provided in [§ 45.6(c)(2)].” The governance of the Global Legal Entity

Identifier System designed by the FSB with the contribution of private sector participants

is now fully in place: while at the beginning of the Global Legal Entity Identifier System,

LEI issuers were operating under a temporary endorsement of the LEI ROC, all active

LEI issuers have now been accredited.152 The LEI ROC establishes policy standards,

such as the definition of the eligibility to obtain an LEI and conditions for obtaining an

LEI; the definition of reference data and any extension thereof, such as the addition of

information on relationships between entities; the frequency of update for some or all the

reference data; the nature of due diligence and other standards necessary for sufficient

data quality; or high level principles governing data and information access.153

Therefore, in light of the above proposed amendments, § 45.6(b) would state that

the LEI used in all recordkeeping and all swap data reporting required by part 45 shall be

issued under, and shall conform to, ISO Standard 17442, Legal Entity Identifier (LEI),

issued by the ISO.

4. § 45.6(b) – Technical Principles for the Legal Entity Identifier

 152 Progress report by the LEI ROC, The Global LEI System and regulatory uses of the LEI, 2 (Apr. 30,

2018), available at https://www.leiroc.org/publications/gls/roc_20180502-1.pdf. 153 Id.
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The Commission is proposing to remove this redundantly-numbered § 45.6(b) for

the technical principles for the LEI.154 Regulations for LEI reference data are currently

located in § 45.6(e), which the Commission is proposing to move to § 45.6(c). The

revisions to the current § 45.6(e) reference data regulations are discussed in section II.F.7

below.

Currently, this § 45.6(b) regulation enumerates the six technical principles for the

legal entity identifier to be used in all recordkeeping and all swap data reporting. The

principles in § 45.6(b) are: (i) uniqueness; (ii) neutrality; (iii) reliability; (iv) open source;

(v) extensibility; and (vi) persistence.

The Commission is proposing to remove the above technical principles from §

45.6(b). The Commission adopted § 45.6(b) before global technical principles for the LEI

were developed. The Commission has participated in the Global Legal Entity Identifier

System and the LEI ROC since their establishment in 2013, through which global

technical principles have been developed and a functioning LEI system introduced. The

Commission preliminarily believes that deleting this current § 45.6(b) to remove the

technical principles for the legal entity identifier to be used in all recordkeeping and all

swap data reporting is now warranted because the global technical principles that have

been developed conform to the technical principles in § 45.6(b).

5. § 45.6(c) – Governance Principles for the Legal Entity Identifier

The Commission is proposing to remove the current § 45.6(c) regulations for the

governance principles for the LEI.155 Regulations for the use of the LEI are currently

 154 This § 45.6(b) was numbered in error, as there is already a § 45.6(b), discussed in section II.F.3 above. 155 Current § 45.6(c) was also numbered in error because of the duplicate § 45.6(b) sections.
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located in § 45.6(f), which the Commission is proposing to move to § 45.6(d), which

would be correctly renumbered as § 45.6(d). The revisions to the current § 45.6(f) use of

LEI regulations are discussed in section II.F.8 below.

Current § 45.6(c) enumerates the five governance principles for the legal entity

identifier to be used in all recordkeeping and all swap data reporting. The governance

principles are: international governance; reference data access; non-profit operation and

funding; unbundling and non-restricted use; and commercial advantage prohibition.

The Commission is proposing to remove the above governance principles from §

45.6(c). The Commission adopted § 45.6(c) before global governance principles for the

LEI were developed. The Commission has participated in the Global Legal Entity

Identifier System and the LEI ROC since their establishment in 2013, through which

global governance principles have been developed and a functioning LEI system

introduced. The Commission preliminarily believes that deleting current § 45.6(c) to

remove the governance principles for the legal entity identifier to be used in all

recordkeeping and all swap data reporting is now warranted because the global

governance principles that have been developed conform to the governance principles in

§ 45.6(c).

6. § 45.6(e) – Designation of the Legal Entity Identifier System

The Commission is proposing to remove the § 45.6(e) regulations for the

designation of the legal entity identifier system. Current § 45.6(e) enumerates the

procedures for determining whether a legal entity identifier system meets the

Commission’s requirements and the procedures for designating the legal entity identifier
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system as the provider of legal entity identifiers to be used in all recordkeeping and all

swap data reporting.

The Commission adopted § 45.6(e) before a global legal entity identifier system

was developed. The Commission has participated in the Global Legal Entity Identifier

System and the LEI ROC since their establishment in 2013, through which a functioning

LEI system has been introduced, overseeing the issuance of LEIs by local operating units.

The Commission preliminarily believes that deleting this current § 45.6(e) to remove the

procedures for determining whether a legal entity identifier system meets the

Commission’s requirements and the procedures for designating the legal entity identifier

system as the provider of legal entity identifiers to be used in all recordkeeping and all

swap data reporting is now warranted because such determination and designation

procedures are no longer needed due to the establishment of Global Legal Entity

Identifier System.

7. § 45.6(e) – Reference Data Reporting

The Commission is proposing changes to the § 45.6(e) regulations for LEI

reference data reporting.156 First, the Commission is proposing to move the requirements

for reporting LEI reference data in § 45.6(e) to correctly-renumbered § 45.5(c).

Second, the Commission is proposing amendments to the requirements for

reporting LEI reference data in current § 45.6(e), proposed to be moved to § 45.6(c).

Current § 45.6(e)(1) requires level one reference data for each counterparty to be reported

via self-registration, third-party registration, or both, and details the procedures for doing

 156 This § 45.6(e) was numbered in error, as there is already a § 45.6(e) directly preceding it.
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so, including the requirement to update level one reference data in the event of a change

or discovery of the need for a correction. Current § 45.6(e)(2) contains the requirement,

once the Commission has determined the location of the level two reference database, for

level two reference data for each counterparty to be reported via self-registration, thirdparty registration, or both, and the procedures for doing so, including the requirement to

update level two reference data in the event of a change or discovery of the need for a

correction.

The Commission is proposing to remove the distinction between level one and

level two reference data now found in § 45.6(e). Instead, proposed new § 45.6(c) would

require that all reference data for each SEF, DCM, DCO, SDR, entity reporting pursuant

to § 45.9, and counterparty to any swap be reported via self-registration, third-party

registration, or both, to a local operating unit in accordance with the standards set by the

Global Legal Entity Identifier System. Proposed new § 45.6(c) would retain the

requirement in current § 45.6(e) to update the reference data in the event of a change or

discovery of the need for a correction.

The Commission adopted § 45.6(e) before a global legal entity identifier system

was developed. The Commission has participated in the Global Legal Entity Identifier

System and the LEI ROC since their establishment in 2013, through which a functioning

LEI system has been introduced that sets, and updates as needed, the standards governing

the identification and relationship reference data required to be provided in order to

obtain an LEI. The Commission preliminarily believes that removing § 45.6(e) to remove

the distinction between level one and level two reference data, and proposing a new §

45.6(c) to require that all reference data is reported to a local operating unit in accordance
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with the standards set by the Global Legal Entity Identifier System is warranted because

the establishment of Global Legal Entity Identifier System removes the role of individual

authorities in determining the standards governing LEI reference data.

While current § 45.6(e) requires that reference data for only the counterparties to

a swap be reported, the extension of the requirement to be identified in all recordkeeping

and swap data reporting by a single LEI to all SEFs, DCMs, DCOs, entities reporting

pursuant to § 45.9, and SDRs described in section II.F.1 above also necessarily requires

that all SEFs, DCMs, DCOs, entities reporting pursuant to § 45.9, and SDRs report their

LEI reference data.

Therefore, in light of the above proposed amendments, § 45.6(c) would require

that LEI reference data regarding each SEF, DCM, DCO, SDR, entity reporting pursuant

to § 45.9, and counterparty to any swap shall be reported, by means of self-registration,

third-party registration, or both, to a local operating unit in accordance with the standards

set by the Global Legal Entity Identifier System. All subsequent changes and corrections

to reference data previously reported would be reported, by means of self-registration,

third-party registration, or both, to a local operating unit ASATP following occurrence of

any such change or discovery of the need for a correction.

8. § 45.6(f) – Use of the Legal Entity Identifier System by Registered Entities and Swap

Counterparties

The Commission is proposing changes to the § 45.6(f) regulations for the use of

LEIs by registered entities and swap counterparties. Current § 45.6(f)(1) requires that

when a legal entity identifier system has been designated by the Commission pursuant to

§ 45.6(e), each registered entity and swap counterparty shall use the LEI provided by that
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system in all recordkeeping and swap data reporting pursuant to part 45. Current §

45.6(f)(2) requires that before a legal entity identifier system has been designated by the

Commission, each registered entity and swap counterparty shall use a substitute

counterparty identifier created and assigned by an SDR in all recordkeeping and swap

data reporting pursuant to part 45.157

Current § 45.6(f)(3) requires that for swaps reported pursuant to part 45 prior to

Commission designation of a legal entity identifier system, after such designation each

SDR shall map the LEIs for the counterparties to the substitute counterparty identifiers in

the record for each such swap. Current § 45.6(f)(4) requires that prior to October 15,

2012, if an LEI has been designated by the Commission as provided in § 45.6, but a

reporting counterparty’s automated systems are not yet prepared to include LEIs in

recordkeeping and swap data reporting pursuant to part 45, the counterparty shall be

excused from complying with § 45.6(f)(1), and shall instead comply with § 45.6(f)(2),

until its automated systems are prepared with respect to LEIs, at which time it must

commence compliance with § 45.6(f)(1).158

The Commission is proposing to retitle the section “Use of the legal entity

identifier,” because, as discussed below, the LEI will no longer be used only by

registered entities and swap counterparties. The Commission is also proposing to move

the requirements for the use of LEIs from current § 45.6(f) to correctly renumbered §

 157 The requirements for the substitute identifier were set forth in § 45.6(f)(2)(i)-(iv). As the Global Legal

Entity Identifier System has been introduced that oversees the issuance of LEIs by local operating units,

these requirements are no longer applicable, the Commission will limit the detail of their discussion in this

release.

158 The regulation specified that this paragraph would have no effect on or after October 15, 2012. 17 CFR

45.6(f)(4).
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45.6(d),159 as a result, the Commission’s proposed amendments to the requirements for

the use of LEIs in current § 45.6(f) discussed below will be captured in new § 45.6(d).

The Commission is proposing to remove the sections of § 45.6(f) that are no

longer operative, either because the Commission has designated a legal entity identifier

system, or the provisions have expired. For these reasons, the Commission is proposing

to remove §§ 45.6(f)(2) and (4). As a result, the substantive requirements of §§ 45.6(f)(2)

and (4) will not be moved to § 45.6(d).

While the provisions of § 45.6(f)(3) relating to substitute counterparty identifiers

are no longer applicable for new swaps, the substantive requirements in § 45.6(f)(3),

which are still applicable for swaps previously reported pursuant to part 45 using

substitute counterparty identifiers assigned by an SDR prior to Commission designation

of a legal entity identifier system, will be moved to new § 45.6(d)(4). Since this provision

is applicable only to old swaps and does not alter existing SDRs obligations, the

Commission considers this change to be non-substantive.

The Commission is also proposing the following substantive changes to the

regulations requiring the use of LEIs. First, the Commission is proposing revisions to the

§ 45.6(f)(1) regulations for the use of LEIs. The revised regulations will be moved to §

45.6(d)(1), but discussed below.

The Commission proposes to delete the introductory clause “[w]hen a legal entity

identifier system has been designated by the Commission pursuant to paragraph (e) of

this section” in § 45.6(f)(1) because it is no longer relevant due to the establishment of

 159 As previously noted, current § 45.6(c) was numbered in error because of the duplicate § 45.6(b)

sections.
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the Global Legal Entity Identifier System and the LEI ROC in 2013. In addition, while §

45.6(f)(1) currently requires “each registered entity and swap counterparty” to use LEIs

in all recordkeeping and swap data reporting pursuant to part 45, the Commission

proposes to replace “each registered entity and swap counterparty” with “[e]ach [SEF],

[DCM], [DCO], [SDR], entity reporting pursuant to § 45.9, and swap counterparty” in

order to, as described in section II.F.1 above, ensure consistency with the CDE Technical

Guidance, allow for standardization in the identification in recordkeeping and swap data

reporting, and encourage global swap data aggregation. The Commission also proposes to

add “to identify itself and swap counterparties” immediately after “use [LEIs]” in this

section to clarify the intended use of LEIs. Finally, the Commission proposes to add a

new sentence in this section to clarify that if a swap counterparty is not eligible to receive

an LEI, such counterparty should be identified in with an alternate identifier pursuant to §

45.13(a). Because some counterparties, including many individuals, are currently

ineligible to receive an LEI based on the standards of the Global Legal Entity Identifier

System, the Commission believes that this sentence will provide clarity as to how LEIineligible counterparties should be identified.

Second, the Commission is proposing new § 45.6(d)(2) to require each SD, MSP,

SEF, DCM, DCO, and SDR to maintain and renew its LEI in accordance with the

standards set by the Global Legal Entity Identifier System. Current § 45.6(e) requires that

reference data be updated in the event of a change or discovery of the need for a

correction, which will continue to be required under new § 45.6(c).

Pursuant to the Global Legal Entity Identifier System, established in 2013, a

person or entity is issued an LEI after: (1) providing its identification and relationship
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reference data to a local operating unit and (2) paying a fee, currently as low as

approximately $65, to the local operating unit to validate the provided reference data.

After initial issuance, an LEI holder is asked to certify the continuing accuracy of, or

provide updates to, its reference data annually, and pay a fee, currently as low as

approximately $50, to the local operating unit. LEIs that are not renewed annually are

marked as lapsed. Section 45.6 does not currently require annual LEI renewal because

part 45 was drafted and implemented prior to the establishment of the Global Legal

Entity Identifier System. Since the implementation of § 45.6, the Commission has

received consistent feedback from certain market participants and industry groups that

the Commission should require at least some LEI holders to annually renew their LEIs.

The Commission is aware that some LEI holders have not complied with the

continuing requirement to update reference data as currently required by § 45.6(e), and

imposing an annual renewal requirement may increase the accuracy of their reference

data. The Commission also recognizes that other LEI holders are in compliance with the

continuing requirement to update reference data, and imposing an annual renewal

requirement may impose costs on those LEI holders without necessarily increasing the

accuracy of their reference data. The Commission has participated in the Global Legal

Entity Identifier System since its inception, and values the functionality of the LEI

reference data collected, including the introduction of level two reference data.

The Commission considers the activities of SDs, MSPs, SEFs, DCMs, DCOs, and

SDRs to have the most systemic impact affecting the Commission’s ability to fulfill its

regulatory mandates and, in light of the introduction of LEI level two reference data, the

Commission preliminarily believes that requiring each SD, MSP, SEF, DCM, DCO, and
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SDR to maintain and renew its LEI in accordance with the standards set by the Global

Legal Entity Identifier System in new § 45.6(d)(2) strikes the appropriate balance

between the Commission’s interest in accurate LEI reference data and cost to LEI

holders.

Third, the Commission proposes a new § 45.6(d)(3) that would obligate each

DCO and each financial entity reporting counterparty executing a swap with a

counterparty that does not have an LEI but is eligible for one to cause, prior to reporting

any required swap creation data for such swap, an LEI to be assigned to the counterparty,

including if necessary, through third-party registration.

The Commission is aware that some counterparties currently have not obtained an

LEI. While proposed amendments to § 45.6 discussed above clarify that a counterparty

required to be identified with an LEI in swap data reporting also has an associated

affirmative requirement to obtain an LEI, the Commission anticipates that a small

percentage of counterparties nonetheless will not have obtained an LEI before executing

a swap. Swap data that does not identify eligible counterparties with an LEI hinders the

Commission’s fulfillment of its regulatory mandates, including monitoring systemic risk,

market monitoring, and market abuse prevention. The Commission preliminarily believes

that proposing new § 45.6(d)(3) to require each DCO and each financial entity reporting

counterparty executing a swap with a counterparty that does not have an LEI to cause an

LEI to be assigned to the non-reporting counterparty will further the objective of

identifying each counterparty to a swap with an LEI.

New § 45.6(d)(3) would not prescribe the initial manner in which a DCO or

financial entity reporting counterparty causes an LEI to be assigned to the non-reporting
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counterparty, though if initial efforts are unsuccessful, new § 45.6(d)(3) requires the

DCO or financial entity reporting counterparty to obtain an LEI for the non-reporting

counterparty. The Commission preliminarily believes that having a DCO or financial

entity reporting counterparty serving as a backstop under new § 45.6(d)(3) to ensure the

identification of the non-reporting counterparty with an LEI is appropriate because: (i)

each DCO and financial entity reporting counterparty already has obtained, via its “know

your customer” and anti-money laundering compliance processes, all identification and

relationship reference data of the non-reporting counterparty required by a local operating

unit to issue an LEI for the non-reporting counterparty; (ii) multiple local operating units

offer expedited issuance of LEI in sufficient time to allow reporting counterparties to

meet their new extended deadline in § 45.3(a)-(b) for reporting required swap creation

data; and (iii) the Commission anticipates that third-party registration in these instances

will be infrequent, as the Commission expects most non-reporting counterparties to be

mindful of their direct obligation to obtain their own LEIs pursuant to § 45.6.160

Therefore, in light of the above proposed amendments, § 45.6(d)(1) would require

that each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and swap

counterparty use an LEI to identify itself and swap counterparties in all recordkeeping

and all swap data reporting pursuant to part 45. If a swap counterparty is not eligible to

receive an LEI as determined by the Global Legal Entity Identifier System, such

counterparty would be identified in all recordkeeping and all swap data reporting

 160 ESMA also issued temporary relief to investment firms transacting with a client without an LEI on the

condition that they “[obtain] the necessary documentation from this client to apply for an LEI code on his

behalf,” available at https://www.esma.europa.eu/press-news/esma-news/esma-issues-statement-leiimplementation-under-mifid-ii.
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pursuant to part 45 with an alternate identifier as prescribed by the Commission pursuant

to § 45.13(a).

Proposed § 45.6(d)(2) would provide that each SD, MSP, SEF, DCM, DCO, and

SDR shall maintain and renew its LEI in accordance with the standards set by the Global

Legal Entity Identifier System. Proposed § 45.6(d)(3) would require that each DCO and

each financial entity reporting counterparty executing a swap with a counterparty that is

eligible to receive an LEI, but has not been assigned an LEI, prior to reporting any

required swap creation data for such swap, cause an LEI to be assigned to the

counterparty, including if necessary, through third-party registration.

Proposed § 45.6(d)(4) would require that for swaps previously reported pursuant

to part 45 using substitute counterparty identifiers assigned by an SDR prior to

Commission designation of an LEI system, each SDR map the LEIs for the counterparties

to the substitute counterparty identifiers in the record for each such swap.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.6. The Commission also invites specific comment on the following:

(8) Should the Commission expand requiring LEIs to be renewed annually beyond SDs,

MSPs, SEFs, DCMs, DCOs, and SDRs? Please explain why or why not, including

specification of any material costs or benefits.

(9) Are there other ways to ensure that an LEI is obtained and reported for a counterparty

without an LEI, but is eligible for an LEI, other than each DCO and each financial entity

reporting counterparty potentially being required to obtain an LEI on behalf of the

counterparty through third-party registration?
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G. § 45.8161 – Determination of Which Counterparty Shall Report

The Commission is proposing to amend the introductory text to the § 45.8

reporting counterparty determination regulations. The current introductory text states that

determination of which counterparty is the reporting counterparty for all swaps, except

clearing swaps, shall be made as provided in § 45.8(a)-(h), and that the determination of

which counterparty is the reporting counterparty for all clearing swaps shall be made as

provided in § 45.8(i).

The Commission believes that much of the introductory text is superfluous, given

that the scope of what § 45.8 covers is clear from the operative provisions of § 45.8. The

Commission is proposing to amend the introductory text to § 45.8 to state that the

determination of which counterparty is the reporting counterparty for each swap shall be

made as provided in § 45.8.

H. § 45.10162 – Reporting to a Single SDR

The Commission is proposing to revise the § 45.10 regulations for reporting swap

data to a single SDR. As part of these revisions, the Commission is proposing to amend

and remove current regulations, and add new regulations to § 45.10. In particular, new §

45.10(d) would permit reporting counterparties to change the SDR to which they report

swap data and swap transaction and pricing data.

1. Introductory Text

The Commission is proposing to amend the introductory text to the § 45.10

regulations for reporting to a single SDR. The current introductory text states that all

 161 The Commission is proposing minor, non-substantive amendments to § 45.7. 162 The Commission is proposing minor, non-substantive amendments to § 45.9.
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swap data for a given swap, which shall include all swap data required to be reported

pursuant to parts 43 and 45, must be reported to a single SDR, which shall be the SDR to

which the first report of required swap creation data is made pursuant to part 45.

First, the Commission is proposing to remove the reference to parts 43 and 45. In

its place, the Commission is proposing to clarify in the beginning of the introductory text

that all “swap transaction and pricing data and swap data” (both terms that the

Commission proposes to newly define and add to § 45.1(a))163 for a given swap must be

reported. As newly defined, “swap transaction and pricing data” and “swap data” would

expressly refer, respectively, to data subject to part 43 and part 45, making the current §

45.10 introductory text’s express reference to the two parts redundant.

Second, the Commission is proposing to add a qualifier to the end of the

introductory text. The qualifier would specify that all swap data and swap transaction and

pricing data for a swap must be reported to a single SDR “unless the reporting

counterparty changes the [SDR] to which such data is reported” pursuant to the new

regulations proposed in § 45.10(d). New § 45.10(d) would permit reporting

counterparties to change the SDR to which they report swap data and swap transaction

and pricing data.164

Finally, the Commission is proposing ministerial language amendments in the

introductory text to improve readability.

Therefore, the introductory text to § 45.10 would state that all swap transaction

and pricing data and swap data for a given swap shall be reported to a single SDR, which

 163 The Commission’s proposed addition of defined terms for “swap data” and “swap transaction and

pricing data” to § 45.1(a) is discussed in section II.A.1 above. 164 New § 45.10(d) is discussed in section II.H.5 below.
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shall be the SDR to which the first report of such data is made, unless the reporting

counterparty changes the SDR to which such data is reported pursuant to § 45.10(d).

2. § 45.10(a) – Swaps Executed On or Pursuant to the Rules of a SEF or DCM

The Commission is proposing to amend the § 45.10(a) regulations for reporting

swaps executed on or pursuant to the rules of a SEF or DCM to a single SDR. Current §

45.10(a) requires that to ensure that all swap data, including all swap data required to be

reported pursuant to parts 43 and 45, for a swap executed on or pursuant to the rules of a

SEF or DCM is reported to a single SDR: (i) the SEF or DCM that reports required swap

creation data as required by § 45.3 shall report all such data to a single SDR, and ASATP

after execution shall transmit to both counterparties to the swap, and to any DCO, the

identity of the SDR and the USI for the swap; and (ii) 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 SDR (or to its

successor in the event that it ceases to operate, as provided in part 49).

First, the Commission is proposing to remove the phrase “(or to its successor in

the event that it ceases to operate, as provided in part 49)” in § 45.10(a)(2). This phrase

would no longer be necessary with the proposed regulations in § 49.10(d) that would

permit reporting counterparties to change SDRs.165

Second, the Commission is proposing to update all references to swap data

throughout § 45.10(a). The Commission is proposing to replace all references to “swap

data” with all “swap transaction and pricing data and swap data.”

 165 New § 45.10(d) is discussed in section II.H.5 below.
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Third, the Commission is proposing to remove § 45.10(a)(1)(ii). As discussed

above, § 45.10(a)(1)(ii) requires SEFs and DCMs to transmit the USI to both

counterparties to the swap, and to any DCO. This requirement is already located in §

45.5(a)(2). Since the Commission is proposing to remove § 45.10(a)(1)(ii), the

Commission is also proposing to combine the text of §§ 45.10(a) and (a)(i) into a single

provision in § 45.10(a).

Finally, the Commission is proposing to add the qualifier to the end of §

45.10(a)(2) that all swap data and swap transaction and pricing data for a swap must be

reported to a single SDR “unless the reporting counterparty changes the [SDR] to which

such data is reported” pursuant to the new regulations proposed in § 45.10(d). New §

45.10(d) would permit reporting counterparties to change the SDR to which they report

swap data and swap transaction and pricing data.166

Therefore, § 45.10(a) would require that to ensure that all swap transaction and

pricing data and swap data for a swap executed on or pursuant to the rules of a SEF or

DCM is reported to a single SDR: (i) the SEF or DCM shall report all swap transaction

and pricing data and required swap creation data for a swap to a single SDR, and ASATP

after execution of the swap shall transmit to both counterparties to the swap, and to any

DCO, the identity of the SDR to which such data is reported; and (ii) thereafter, all swap

transaction and pricing data, required swap creation data, and required swap continuation

data for the swap shall be reported to that same SDR, unless the reporting counterparty

changes the SDR to which such data is reported pursuant to § 45.10(d).

 166 New § 45.10(d) is discussed in section II.H.5 below.
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3. § 45.10(b) – Off-Facility Swaps with an SD or MSP Reporting Counterparty

The Commission is proposing to amend the § 45.10(b) regulations for reporting

swaps executed off-facility with an SD/MSP reporting counterparty to a single SDR.

Section 45.10(b)(1) requires that to ensure that all swap data, including all swap data

required to be reported pursuant to parts 43 and 45, for off-facility swaps with an SD or

MSP reporting counterparty is reported to a single SDR: (i) if the reporting counterparty

reports PET data to an SDR as required by § 45.3, the reporting counterparty shall report

PET data to a single SDR and ASATP after execution, but no later than as required

pursuant to § 45.3, shall transmit to the other counterparty to the swap both the identity of

the SDR to which PET data is reported by the reporting counterparty, and the USI for the

swap created pursuant to § 45.5; and (ii) if the swap will be cleared, the reporting

counterparty shall transmit to the DCO at the time the swap is submitted for clearing both

the identity of the SDR to which PET data is reported by the reporting counterparty, and

the USI for the swap created pursuant to § 45.5.

Thereafter, § 45.10(b)(2) requires that 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 SDR to which swap data has been reported pursuant

to § 45.10(b)(1) or (2) (or to its successor in the event that it ceases to operate, as

provided in part 49).

First, the Commission is proposing to combine the requirements for SD/MSP

reporting counterparties in § 45.10(b) for off-facility swaps with the requirements for

non-SD/MSP reporting counterparties in § 45.10(c) for off-facility swaps. Revised §

45.10(b) would be retitled “Off-facility swaps that are not clearing swaps.” The
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Commission believes that the requirements for SD/MSP reporting counterparties and

non-SD/MSP reporting counterparties could be combined to simplify the regulations in §

45.10. The requirements of current § 45.10(c) are discussed in section II.H.4 below.

Second, the Commission is proposing to remove the phrase “(or to its successor in

the event that it ceases to operate, as provided in part 49)” from § 45.10(b)(2). This

phrase would no longer be necessary with the proposed regulations in § 49.10(d) that

would permit reporting counterparties to change SDRs.

Third, the Commission is proposing to update all references to swap data

throughout § 45.10(b). The Commission is proposing to replace all references to “swap

data” with all “swap transaction and pricing data and swap data.”

Fourth, the Commission is proposing to remove § 45.10(b)(1). Current § 45.10(b)

contains the condition that § 45.10(b)(1)(i)-(iii) apply “[i]f the reporting counterparty

reports [PET data] to a [SDR] as required by § 45.3.” This condition is unnecessary, as

all reporting counterparties must report required swap creation data to an SDR pursuant

to § 45.3 for off-facility swaps. As a result, the Commission is proposing to remove §

45.10(b)(1) and combine and move the regulations in § 45.10(b)(1)(i)-(iii) into §

45.10(b)(1).

Fifth, the Commission is proposing to remove the requirement in current §

45.10(b)(1)(ii) for the reporting counterparty to transmit the USI to the non-reporting

counterparty to the swap. This requirement is already located in §§ 45.5(b)(2) and (c)(2),

depending on the type of counterparty.

Finally, the Commission is proposing to add the qualifier to the end of §

45.10(b)(2) that all swap data and swap transaction and pricing data for a swap must be
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reported to a single SDR “unless the reporting counterparty changes the [SDR] to which

such data is reported” pursuant to the new regulations proposed in § 45.10(d). New §

45.10(d) would permit reporting counterparties to change the SDR to which they report

swap data and swap transaction and pricing data.167

Therefore, proposed § 45.10(b)(1) would require that to ensure that all swap

transaction and pricing data and swap data for an off-facility swap that is not a clearing

swap is reported to a single SDR: (i) the reporting counterparty shall report all swap

transaction and pricing data and required swap creation data to an SDR, and ASATP after

execution, shall transmit to the other counterparty to the swap, and to any DCO that will

clear the swap, the identity of the SDR to which such data is reported. Thereafter,

proposed § 45.10(b)(2) would require that all swap transaction and pricing data, required

swap creation data, and required swap continuation data for the swap shall be reported to

the same SDR, unless the reporting counterparty changes the SDR to which such data is

reported pursuant to § 45.10(d).

4. § 45.10(c) – Off-Facility Swaps with a Non-SD/MSP Reporting Counterparty

As discussed in section II.H.3 above, the Commission is proposing to move the §

45.10(c) requirements for non-SD/MSP reporting counterparties to report off-facility

swaps to a single SDR to revised § 45.10(b). The requirements in current §§ 45.10(b) and

(c) would be combined to create revised § 45.10(b), which would contain the

requirements for reporting counterparties to report off-facility swaps that are not clearing

swaps. As a result, the Commission is proposing to move the requirements in current §

 167 New § 45.10(d) is discussed in section II.H.5 below.
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45.10(d) to § 45.10(c). The requirements of current § 45.10(d) are discussed in the

following section II.H.5.

Current § 45.10(c)(1) requires that to ensure that all swap data, including all swap

data required to be reported pursuant to parts 43 and 45, for such swaps is reported to a

single SDR: (i) if the reporting counterparty reports PET data to an SDR as required by §

45.3, the reporting counterparty reports PET data to a single SDR, and ASATP 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 SDR to which PET

data was reported by the reporting counterparty; and (ii) if the swap will be cleared, the

reporting counterparty shall transmit to the DCO at the time the swap is submitted for

clearing the identity of the SDR to which PET data was reported by the reporting

counterparty.

Current § 45.10(c)(2) requires that the SDR to which the swap is reported as

provided in § 45.10(c) shall transmit the USI created pursuant to § 45.5 to both

counterparties and to any DCO, ASATP after creation of the USI. Thereafter, §

45.10(c)(3) requires that 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 SDR to which swap data has been reported pursuant to § 45.10(c)(1) (or to

its successor in the event that it ceases to operate, as provided in part 49 of the

Commission’s regulations).

As discussed above, the Commission preliminarily believes that the requirements

for SD/MSP reporting counterparties and non-SD/MSP reporting counterparties are

nearly identical. Therefore, the Commission is proposing to move the requirements for
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non-SD/MSP reporting counterparties to revised § 45.10(b). The discussion of §

45.10(b), including the Commission’s proposed revisions to the new combined section,

are discussed in section II.H.3 above.

5. § 45.10(d) – Clearing Swaps

As discussed above, the Commission is proposing to move the requirements for

reporting clearing swaps to a single SDR from § 45.10(d) to § 45.10(c). As proposed,

newly re-designated § 45.10(c) also would amend the current requirements for reporting

clearing swaps to a single SDR now located in § 45.10(d). The Commission is proposing

to replace current § 45.10(d) with new requirements for reporting counterparties to

change SDRs. Below is a discussion of the proposed amendments to the regulatory

requirements for reporting clearing swaps to a single SDR in newly re-designated §

45.10(c) (currently § 45.10(d)), followed by a discussion of the new regulations

permitting reporting counterparties to change SDRs.

a. Amendments to Current § 45.10(d) (Re-designated as § 45.10(c))

Current § 45.10(d)(1) requires that 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 SDR: the DCO that is a counterparty to such clearing swap shall

report all required swap creation data for that clearing swap to a single SDR, and ASATP

after acceptance of an original swap by a DCO for clearing or execution of a clearing

swap that does not replace an original swap, the DCO shall transmit to the counterparty to

each clearing swap the LEI of the SDR to which the DCO reported the required swap

creation data for that clearing swap.
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Thereafter, § 45.10(d)(2) requires that all required swap creation data and all

required swap continuation data reported for that clearing swap shall be reported by the

DCO to the SDR to which swap data has been reported pursuant to § 45.10(d)(1) (or to its

successor in the event that it ceases to operate, as provided in part 49). Current §

45.10(d)(3) requires that 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 DCO shall report all required

swap creation data and all required swap continuation data for such clearing swaps to a

single SDR.

As proposed, newly re-designated § 45.10(c) would include several amendments

to the requirements now found in § 45.10(d). First, the Commission is proposing to

remove the phrase “(or to its successor in the event that it ceases to operate, as provided

in part 49)” as now used in § 45.10(d)(2) from re-designated § 49.10(c)(2). This phrase

would no longer be necessary with the proposed regulations in new § 49.10(d) that would

permit reporting counterparties to change SDRs.

Second, the Commission is proposing in re-designated § 45.10(c) to update all

references to swap data now found throughout § 45.10(d). The Commission is proposing

to replace all references to “swap data” with all “swap transaction and pricing data and

swap data.”

Third, the Commission is proposing in re-designated § 45.10(c)(2) to add the

following qualifier to the requirement now found in § 45.10(d)(2) for reporting all swap

data and swap transaction and pricing data for a swap to a single SDR: “unless the

reporting counterparty changes the [SDR] to which such data is reported” pursuant to the
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new regulations proposed in § 45.10(d). Finally, the Commission is also proposing

numerous language edits to improve readability, and to update certain cross-references.

Therefore, § 45.10(c)(1) would require that to ensure that all swap transaction and

pricing data and swap data for a given clearing swap, including 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 SDR: (i) the

DCO that is a counterparty to such clearing swap report all swap transaction and pricing

data and required swap creation data for that clearing swap to a single SDR; and (ii)

ASATP after acceptance of an original swap for clearing, or execution of a clearing swap

that does not replace an original swap, the DCO transmit to the counterparty to each

clearing swap the identity of the SDR to which such data is reported.

Thereafter, § 45.10(c)(2) would require that all swap transaction and pricing data,

required swap creation data and required swap continuation data for that clearing swap

shall be reported by the DCO to the same SDR to which swap data has been reported

pursuant to § 45.10(c)(1), unless the reporting counterparty changes the SDR to which

such data is reported pursuant to § 45.10(d).

Proposed § 45.10(c)(3) would require that 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 DCO

report all swap transaction and pricing data, required swap creation data, and required

swap continuation data for such clearing swaps to a single SDR.

b. New Regulations for Changing SDRs
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The Commission is proposing new regulations in § 45.10(d) to permit reporting

counterparties to change the SDR to which they report swap data and swap transaction

and pricing data. Current § 45.10 provides that all swaps must be reported to a “single

[SDR].”168

As background, when the Commission adopted § 45.10 in 2012, it believed that

regulators’ ability to see necessary information concerning swaps could be impeded if

data concerning a swap was spread over multiple SDRs.169 However, since then: (i) the

Commission has come to recognize that swap data from different SDRs can be

aggregated and made available for Commission analysis and (ii) the Commission has

received requests to permit reporting counterparties to change SDRs.170

However, the ability to change SDRs cannot frustrate the Commission’s ability to

use swap data due to duplicative swap reports housed at multiple SDRs. Therefore, the

Commission is proposing to permit reporting to change SDRs, subject to certain

procedures described below to ensure swaps are properly transferred between SDRs.

The Commission is proposing new regulations in § 45.10(d), titled “Change of

[SDR] for swap transaction and pricing data and swap data reporting.” The introductory

text to § 45.10(d) would state that a reporting counterparty may change the SDR to which

swap transaction and pricing data and swap data is reported as set forth in this § 45.10(d).

Proposed § 45.10(d)(1) would require that at least five business days prior to

changing the SDR to which the reporting counterparty reports swap transaction and

pricing data and swap data for a swap, the reporting counterparty shall provide notice of

 168 17 CFR 45.10(a)-(d).

169 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2168. 170 See, e.g., Joint SDR Letter at 15.
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such change to the other counterparty to the swap, the SDR to which swap transaction

and pricing data and swap data is currently reported, and the SDR to which swap

transaction and pricing data and swap data will be reported going forward. Such

notification would include the UTI of the swap and the date on which the reporting

counterparty will begin reporting such swap transaction and pricing data and swap data to

a different SDR.

Proposed § 45.10(d)(2) would require that after providing notification, the

reporting counterparty shall: (i) report the change of SDR to the SDR to which the

reporting counterparty is currently reporting swap transaction and pricing data and swap

data as a life cycle event for such swap pursuant to § 45.4; (ii) on the same day that the

reporting counterparty reports required swap continuation data as required by §

45.10(d)(2)(i), the reporting counterparty shall also report the change of SDR to the SDR

to which swap transaction and pricing data and swap data will be reported going forward,

as a life cycle event for such swap pursuant to § 45.4, and the report shall identify the

swap using the same UTI used to identify the swap at the previous SDR; (iii) thereafter,

all swap transaction and pricing data, required swap creation data, and required swap

continuation data for the swap shall be reported to the same SDR, unless the reporting

counterparty for the swap makes another change to the SDR to which such data is

reported pursuant to § 45.10(d).

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.10. The Commission also invites specific comment on the following:
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(10) Would the Commission’s proposal to permit reporting counterparties to change

SDRs raise any operational issues for reporting counterparties, SDRs, or non-reporting

counterparties?

(11) Should the Commission adopt additional requirements to ensure that a reporting

counterparty’s choice to change SDRs does not result in the loss of any data or

information?

I. § 45.11 – Data Reporting for Swaps in a Swap Asset Class Not Accepted by Any SDR

The Commission is proposing non-substantive amendments to the § 45.11

regulations for reporting swaps in an asset class not accepted by any SDR. Current §

45.11(a) requires that should there be a swap asset class for which no SDR registered

with the Commission currently accepts swap data, each registered entity or counterparty

required by part 45 to report any required swap creation data or required swap

continuation data with respect to a swap in that asset class must report that same data to

the Commission.

For instance, the Commission is proposing to remove the phrase “registered with

the Commission” following the term SDR. The Commission believes this phrase could

create confusion, as the three SDRs are provisionally registered with the Commission

pursuant to § 49.4(b). The Commission also believes this phrase is unnecessary, as

provisionally registered SDRs and fully registered SDRs are subject to the same

requirements in the CEA and the Commission’s regulations. The Commission is also

proposing to replace “each registered entity or counterparty” with SEFs, DCMs, and

DCOs, and the term “reporting counterparty.” The list of entities would be more precise.
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Therefore, proposed § 45.11(a) would require that should there be a swap asset

class for which no SDR registered currently accepts swap data, each SEF, DCM, DCO, or

reporting counterparty required by part 45 to report any required swap creation data or

required swap continuation data with respect to a swap in that asset class shall report that

same data to the Commission.

Current §§ 45.11(c) and (d) contain a delegation of authority to the Chief

Information Officer of the Commission concerning the requirements in §§ 45.11(a) and

(b). The Commission is proposing to move this delegation to a new section, § 45.15,

specifically for delegations of authority. This delegation of authority, including the

Commission’s proposed amendments to it, is discussed in section II.L below.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.11.

J. § 45.12 – Voluntary Supplemental Reporting

The Commission is proposing to remove the § 45.12 regulations for voluntary

supplemental reporting from part 45. Current § 45.12 permits the submission of voluntary

supplemental swap data reports by swap counterparties.171 Voluntary supplemental swap

data reports are defined as “any report of swap data to a [SDR] that is not required to be

made pursuant to [part 45] or any other part in this chapter.”172

 171 17 CFR 45.12(b)-(e). Current § 45.12(d) requires that voluntary supplemental reports contain an

indication the report is voluntary, a USI, the identity of the SDR to which required swap creation data and

required swap continuation data were reported, if different from the SDR to which the voluntary

supplemental report was reported, the LEI of the counterparty making the voluntary supplemental report,

and an indication the report is made pursuant to laws of another jurisdiction, if applicable. 172 17 CFR 45.12(a).
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As background, when the Commission adopted § 45.12 in 2012, it believed that

voluntary supplemental reporting could have benefits for data accuracy and counterparty

business processes, especially for counterparties that were not the reporting counterparty

to a swap.173 The Commission recognized that § 45.12 would lead to the submission of

duplicative reports for the same swap.174 In response, the Commission believed that

requiring an indication that voluntary supplemental reports were voluntary would help

prevent double-counting of the same swaps within SDRs.175

In practice, the Commission is concerned that these reports compromise data

quality and provide no clear regulatory benefit. In analyzing reports that have been

marked as “voluntary reports,” it is not immediately apparent to the Commission why

reporting parties mark them as being voluntary. In some cases, it appears these reports

can be related to products outside the Commission’s jurisdiction. The Commission

believes it should not accept duplicative or non-jurisdictional reports at the expense of the

CFTC’s technical and staffing resources with no clear regulatory benefit.

The Commission adopted § 45.12 in 2012 without the benefit of having swap data

available to consider the practical implications of § 45.12. However, after years of use by

Commission staff, the Commission now believes that § 45.12 has led to swap data

reporting that inhibits the Commission’s use of the swap data. Therefore, the Commission

is proposing to eliminate the § 45.12 regulations for voluntary supplemental reporting.

Request for Comment

 173 Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2169. 174 Id. 175 Id.
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The Commission requests comment on all aspects of the proposed changes to

§ 45.12.

K. § 45.13 – Required Data Standards

1. § 45.13(a) – Data Maintained and Furnished to the Commission by SDRs

The Commission is proposing to revise the § 45.13(a) regulations for data

maintained and furnished to the Commission by SDRs. As part of these revisions, the

Commission is proposing to remove and replace § 45.13(a)’s current language, including

by moving current § 45.13(b) to amended § 45.13(a)(3). Current § 45.13(a) requires that

each SDR maintain all swap data reported to it in a format acceptable to the Commission,

and transmit all swap data requested by the Commission to the Commission in an

electronic file in a format acceptable to the Commission.

The 2019 Part 49 NPRM proposed moving the requirements of § 45.13(a) to §

49.17(c).176 Proposed amended § 49.17(c) would contain the requirements for SDRs to

provide Commission access to swap data.177 The Commission did not propose

corresponding modifications to current § 45.13 in that release.178 Therefore, the

Commission is now proposing to amend § 45.13(a) by removing language that the 2019

Part 49 NPRM proposed for incorporation in § 49.17(c). The revisions to § 45.13(b),

proposed to be moved to § 45.13(a)(3), are discussed in the following section.

Proposed § 45.13(a)(1) would require that in reporting required swap creation

data and required swap continuation data to an SDR, each reporting counterparty, SEF,

 176 2019 Part 49 NPRM at 21060. 177 Id. 178 Id. at 21060 n. 132 (noting the Commission’s expectation to modify § 45.13 in a subsequent Roadmap

rulemaking).
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DCM, and DCO, shall report the swap data elements in appendix 1 in the form and

manner provided in the technical specifications published by the Commission.

Proposed § 45.13(a)(2) would require that in reporting required swap creation

data and required swap continuation data to an SDR, each reporting counterparty, SEF,

DCM, and DCO making such report satisfy the swap data validation procedures of the

SDR receiving the swap data. The Commission is proposing companion requirements for

SDRs to validate swap data in § 49.10. The proposed validation requirements for SDRs in

§ 49.10 are discussed in section IV.C below. Proposed § 45.13(a)(2) would establish the

regulatory requirement for reporting counterparties, SEFs, DCMs, and DCOs to satisfy

the data validation procedures established by SDRs pursuant to § 49.10. The Commission

is also proposing to specify the requirements for the validation messages in § 45.13(b).

These requirements are discussed in the following discussion.

2. § 45.13(b) – Data Reported to SDRs

a. Amendments to Current § 45.13(b) (Re-designated as § 45.13(a)(3))

The Commission is proposing to re-designate the regulations for data reported to

SDRs currently located in § 45.13(b). Current § 45.13(b) requires that in reporting swap

data to an SDR as required by part 45, each reporting entity or counterparty shall use the

facilities, methods, or data standards provided or required by the SDR to which the entity

or counterparty reports the data. Current § 45.13(b) further provides that an SDR may

permit reporting entities and counterparties to use various facilities, methods, or data

standards, provided that its requirements in this regard enable it to meet the requirements

of § 45.13(a) with respect to maintenance and transmission of swap data.
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The Commission is also proposing to amend the requirements of current §

45.13(b), as re-designated in new § 45.13(a)(3). First, the Commission is proposing to

replace “each reporting entity or counterparty” with “each reporting counterparty [SEF,

DCM, and DCO].” The Commission believes a list of entities would be more precise.

Second, the Commission is proposing to remove the second sentence in current §

45.13(b). The second sentence in § 45.13(b) pertains to the requirements of § 45.13(a),

which the Commission has proposed to move to part 49. Therefore, the Commission is

proposing to remove the outdated reference.

As a result, new § 45.13(a)(3) would require that in reporting swap data to an

SDR as required by part 45, each reporting counterparty, SEF, DCM, and DCO use the

facilities, methods, or data standards provided or required by the SDR to which the entity

or counterparty reports the swap data.

b. New Regulations for Data Validation Acceptance Messages

The Commission is proposing to specify the requirements for data validation

acceptance messages for SDRs, SEFs, DCMs, DCOs, and reporting counterparties. As

proposed § 45.13(b)(1) would require that for each required swap creation data or

required swap continuation data report submitted to an SDR, an SDR notify the reporting

counterparty, SEF, DCM, DCO or third-party service provider submitting the report

whether the report satisfied the swap data validation procedures of the SDR. The SDR

would be required to provide such notification ASATP after accepting the required swap

creation data or required swap continuation data report. An SDR would satisfy these

requirements by transmitting data validation acceptance messages as required by

proposed § 49.10.
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Proposed § 45.13(b)(2) would require that if a required swap creation data or

required swap continuation data report to an SDR does not satisfy the data validation

procedures of the SDR, the reporting counterparty, SEF, DCM, or DCO required to

submit the report has not yet satisfied its obligation to report required swap creation or

continuation data in the manner provided by paragraph (a) within the timelines set forth

in §§ 45.3 and 45.4. The reporting counterparty, SEF, DCM, or DCO has not satisfied its

obligation until it submits the required swap data report in the manner provided by

paragraph (a), which includes the requirement to satisfy the data validation procedures of

the SDR, within the applicable time deadline set forth in §§ 45.3 and 45.4.

3. § 45.13(c) – Delegation of Authority to the Chief Information Officer

Current §§ 45.13(c) and (d) contain a delegation of authority to the Chief

Information Officer of the Commission concerning the requirements in § 45.13(a). The

Commission is proposing to remove the delegation, delegate authority to the Director of

the Division of Market Oversight, and move the delegation to new § 45.15. New § 45.15

is discussed in the next section.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.13. The Commission also invites specific comment on the following:

(12) Should the Commission provide a limited exception to the validation requirements

for swaps that, for instance, may be a new type of swaps that may fall within one of the

five asset classes, but for which swap data reporting standards have not yet been adopted?

(13) Even with technical standards published by the Commission, there is a risk of

inconsistent data across SDRs if the Commission allows the SDRs to specify the
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facilities, methods or data standards for reporting. In order to ensure data quality, should

the Commission mandate a certain standard for reporting to the SDRs? If so, what

standard would you propose and what would be the benefits? If not, why not?

(14) The CPMI-IOSCO Governance Arrangements for critical OTC derivatives data

elements (other than UTI and UPI) (”CDE Governance Arrangements”),

179 assigned ISO

to execute the maintenance functions for the CDE data elements included in the CDE

Technical Guidance. Some of the reasons include that almost half of the CDE data

elements are already tied to an ISO standard and because ISO has significant experience

maintaining data standards, specifically in financial services. CPMI and IOSCO, in the

CDE Governance Arrangements, also decided that the CDE data elements should be

included in the ISO 20022 data dictionary and supported the development of an ISO

20022-compliant message for CDE data elements. Given these factors, should the

Commission consider mandating ISO 20022 message scheme for reporting to SDRs?

Please comment on the advantages and disadvantages of mandating ISO 20022 for swap

transaction reporting.

L. § 45.15180 – Delegation of Authority

The Commission is proposing to add a new section to its regulations for

delegations of authority. As proposed, § 45.15 would be titled “Delegation of authority,”

and would contain the delegation of authority currently in §§ 45.11 and add a new

delegation of authority to the Director of the Division of Market Oversight regarding the

reporting under § 45.13.

 179 https://www.iosco.org/library/pubdocs/pdf/IOSCOPD642.pdf. 180 The Commission has proposed amendments to § 45.14 in the 2019 Part 49 NPRM. Therefore, § 45.14

will not be discussed in this release. See 2019 Part 49 NPRM at 21067.
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Current § 45.11(c) delegates to the Chief Information Officer of the Commission,

or other such employee he or she designates, with respect to swaps in an asset class not

accepted by any SDR, the authority to determine: the manner, format, coding structure,

and electronic data transmission standards and procedures acceptable to the Commission;

whether the Commission may permit or require use by reporting entities or counterparties

in reporting pursuant to § 45.11 of one or more particular data standards (such as FIXML,

FpML, ISO 20022, or some other standard), in order to accommodate the needs of

different communities of users; and the dates and times at which required swap creation

data or required swap continuation data shall be reported to the Commission.

Current § 45.11(d) requires the Chief Information Officer to publish from time to

time in the Federal Register and on the website of the Commission the format, data

schema, electronic data transmission methods and procedures, and dates and times for

reporting acceptable to the Commission with respect to swap data reporting pursuant to §

45.11.

Separately, current § 45.13I delegates to the Chief Information Officer, until the

Commission orders otherwise, the authority to establish the format by which SDRs

maintain swap data reported to it, and the format by which SDRs transmit the data to the

Commission. The authority includes the authority to determine the manner, format,

coding structure, and electronic data transmission standards and procedures acceptable to

the Commission for the purposes of § 45.13(a); and the authority to determine whether

the Commission may permit or require use by reporting entities or counterparties, or by

SDRs, of one or more particular data standards (such as FIX, FpML, ISO 20022, or some
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other standard), in order to accommodate the needs of different communities of users, or

to enable SDRs to comply with § 45.13(a).

Current § 45.13(d) requires the Chief Information Officer to publish from time to

time in the Federal Register and on the website of the Commission the format, data

schema, and electronic data transmission methods and procedures acceptable to the

Commission.

The Commission is proposing to move the delegations in §§ 45.11(c)-(d) and

45.13(c)-(d) to §§ 45.15(a) and (b). The Commission is also proposing to update the

delegations to reflect the changes to the cross-references resulting from the

Commission’s amendments to part 45. Proposed § 45.15(b) would therefore delegate to

the Director of DMO, until the Commission orders otherwise, the authority set forth in §

45.13(a)(1), to be exercised by the Director of DMO or by such other employee or

employees of the Commission as may be designated from time to time by the Director of

DMO. The DMO Director would be able to submit to the Commission for its

consideration any matter which has been delegated pursuant to § 45.13(b). Nothing in §

45.15(b) would prohibit the Commission, at its election, from exercising the authority

delegated in § 45.15(b).

The authority delegated to the Director of DMO would continue to include,

subject to the above-mentioned updates: (1) the authority to publish the technical

specifications providing the form and manner for reporting the swap data elements in

appendix 1 to SDRs as provided in § 45.13(a)(1); (2) the authority to determine whether

the Commission may permit or require use by SEFs, DCMs, DCOs, or reporting

counterparties in reporting pursuant to § 45.13(a)(1) of one or more particular data
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standards (such as FIX, FpML, ISO 20022, or some other standard), in order to

accommodate the needs of different communities of users; and (3) the dates and times at

which required swap creation data or required swap continuation data shall be reported

pursuant to § 45.13(a)(1). Section 45.15(b)(4) would continue to provide, with updates,

that (4) the DMO director publish from time to time in the Federal Register and on the

website of the Commission the technical specifications for swap data reporting pursuant

to § 45.13(a)(1).

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 45.15.

III. Proposed Amendments to Part 46

Part 46 of the Commission’s regulations establishes the requirements for reporting

pre-enactment and transition swaps to SDRs. In some instances, the proposed revisions to

part 45 described in section II above would necessitate corresponding revisions and

amendments to the regulations in part 46. The Commission describes any substantive

revisions and amendments in this section.

A. § 46.1 – Definitions

Current § 46.1 contains the definitions for terms used throughout the regulations

in part 46. Current § 46.1 does not contain any subsections. The Commission is

proposing to separate § 46.1 into two subsections: § 46.1(a) for definitions and § 46.1(b),

which would state that terms not defined in part 46 have the meanings assigned to the

terms in § 1.3.
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The Commission is proposing to add a definition of “historical swaps” to §

46.1(a). As proposed, “historical swaps” would mean pre-enactment swaps or transition

swaps. This term is already used in part 46.

The Commission is proposing to add a definition of “substitute counterparty

identifier” to § 46.1(a). As proposed, “substitute counterparty identifier” would mean a

unique alphanumeric code assigned by an SDR to a swap counterparty prior to the

Commission designation of an LEI identifier system on July 23, 2012. The term

“substitute counterparty identifier” is already used throughout § 46.4.

The Commission is proposing non-substantive minor technical changes to “asset

class” and “required swap continuation data.”

The Commission is proposing to amend the definition of “non-SD/MSP

counterparty” in § 46.1(a) to conform to the amendments proposed to the corresponding

term in § 45.1(a).181 The Commission is proposing to update the term throughout part 46.

The Commission is proposing to amend the definition of “reporting counterparty”

to update the reference to “swap data.” Currently, “reporting counterparty” means the

counterparty required to report swap data pursuant to part 46, selected as provided in §

46.5. As discussed in section II.A.1 above, the Commission is proposing to define “swap

data” to mean swap data reported pursuant to part 45. As a result, the Commission is

proposing to change the reference to “data for a pre-enactment swap or transition swap”

to reflect that the reference is to part 46 data.

 181 The proposed amendments to the term in § 45.1(a) are discussed in section II.A.2 above.
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The Commission is proposing to remove the following definitions from § 46.1.

The Commission has determined that the following definitions are redundant because the

terms are already defined in either § 1.3 or CEA section 1a: “credit swap;” “foreign

exchange forward;” “foreign exchange instrument;” “foreign exchange swap;” “interest

rate swap;” “major swap participant;” “other commodity swap;” “swap data repository;”

and “swap dealer.”

The Commission is proposing to remove the definition of “international swap,” as

there are no regulations for international swaps in part 46.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 46.1.

B. § 46.3 – Data Reporting for Pre-Enactment Swaps and Transition Swaps

Current § 46.3(a)(2)(i)182 requires that for each uncleared pre-enactment or

transition swap in existence on or after April 25, 2011, throughout the existence of the

swap following the compliance date, the reporting counterparty must report all required

swap continuation data required to be reported pursuant to part 45, with the exception

that when a reporting counterparty reports changes to minimum PET data for a preenactment or transition swap, the reporting counterparty is required to report only

changes to the minimum PET data listed in appendix 1 to part 46 and reported in the

initial data report made pursuant to § 46(a)(1), rather than changes to all minimum PET

data listed in appendix 1 to part 45.

 182 The Commission is not proposing substantive amendments outside of § 46.3(a)(2)(i).
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The Commission is proposing to amend § 46.3(a)(2)(i) to remove the exception

from PET data reporting for pre-enactment and transition swaps to specify that reporting

counterparties would report updates to pre-enactment and transition swaps according to

part 45. The Commission believes this is current practice and would not result in any

significant change for the entities reporting updates to historical swaps.

Therefore, proposed § 46.3(a)(2)(i) would require that for each uncleared preenactment swap or transition swap in existence on or after April 25, 2011, throughout the

existence of the swap following the compliance date, the reporting counterparty shall

report all required swap continuation data as required by part 45.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 46.3.

C. 46.10 – Required Data Standards

Current § 46.10 requires that in reporting swap data to an SDR as required by part

46, each reporting counterparty use the facilities, methods, or data standards provided or

required by the SDR to which counterparty reports the data.

The Commission is proposing to add a provision that “[i]n reporting required

swap continuation data as required by this part, each reporting counterparty shall comply

with the required data standards set forth in part 45 of this chapter, including those set

forth in § 45.13(a) of this chapter.” As discussed above in the previous section, the

Commission believes this is current practice for reporting counterparties and should not

result in any significant change for reporting counterparties.

Request for Comment
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The Commission requests comment on all aspects of the proposed changes to

§ 46.10.

D. § 46.11 – Reporting of Errors and Omissions in Previously Reported Data

Consistent with the Commission’s proposal to remove the option to report

required swap continuation data by the state data reporting method, discussed in section

II.D.2 above, the Commission proposes to remove the option in § 46.11(b) for preenactment/transition swaps reporting. Specifically, § 46.11(b) currently provides that for

pre-enactment or transition swaps for which part 46 requires reporting of continuation

data, reporting counterparties reporting state data as provided in part 45 may fulfill the

requirement to report errors or omissions by making appropriate corrections in their next

daily report of state data pursuant to part 45. Further to the proposed removal of current §

46.11(b), the Commission is also proposing to re-designate current §§ 46.11(c) and (d) as

new §§ 46.11(b) and (c), respectively.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 46.11.

IV. Proposed Amendments to Part 49

A. § 49.2 – Definitions

The Commission is proposing to add four definitions to § 49.2(a): “Data

validation acceptance message,” “Data validation error,” “Data validation error

message,” and “Data validation procedures.”183 The four definitions are explained in a

 183 The Commission has also proposed to define the term “SDR data” in the 2019 Part 49 NPRM. As

proposed, “SDR data” would mean the specific data elements and information required to be reported to an
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discussion of the proposed § 49.10 regulations for the acceptance and validation of data

in section IV.C below.

B. § 49.4 – Withdrawal from Registration

The Commission is proposing to amend the § 49.4 regulations for SDR

withdrawals from registration. Current § 49.4(a)(1)(iv) requires that a request to

withdraw filed pursuant to § 49.4(a)(1) shall specify, among other items, a statement that

the custodial SDR is authorized to make such data and records available in accordance

with § 1.44.184

Current § 49.4(a)(2) requires that prior to filing a request to withdraw, a registered

SDR shall file an amended Form SDR to update any inaccurate information. A

withdrawal of registration shall not affect any action taken or to be taken by the

Commission based upon actions, activities or events occurring during the time that the

facility was designated by the Commission.

First, the Commission is proposing to remove the § 49.4(a)(1)(iv) requirement for

SDRs to submit a statement to the Commission that the custodial SDR is authorized to

make the withdrawing SDR’s data and records available in accordance with § 1.44. The

reference to § 1.44 is erroneous. Section 1.44 requires“ depositories” to maintain all

“books, records, papers, and memoranda relating to the storage and warehousing of

commodities in such warehouse, depository or other similar entity for a period of 5 years

 SDR or disseminated by an SDR, pursuant to two or more of parts 43, 45, 46, and/or 49, as applicable. See

2019 Part 49 NPRM at 21047. The term “SDR data” is also used in the proposed amendments to § 49.10 in

this release. 184 The Commission is not proposing substantive amendments to § 49.4(a)(1)-(iii). The Commission is

limiting the discussion in this release to § 49.4(a)(1)(iv).
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from the date thereof.”185 The recordkeeping requirements for SDRs are located in §

49.12.186 The Commission is proposing to remove erroneous § 49.4(a)(1)(iv) to avoid

confusion.

Second, the Commission is proposing to remove the § 49.4(a)(2) requirement that

prior to filing a request to withdraw, a registered SDR file an amended Form SDR to

update any inaccurate information.187 The Commission believes that this requirement is

unnecessary and does not help the Commission confirm the successful transfer of data

and records to a custodial SDR. The Commission has a significant interest in ensuring

that the data and records of an SDR withdrawing from registration are successfully

transferred to a custodial SDR. In addition, the Commission needs confirmation that the

custodial SDR will retain the data and records for at least the remainder of the time that

records are required to be retained according to the Commission’s recordkeeping rules.

When an SDR is withdrawing from registration, the Commission would no longer have a

regulatory need for the information in Form SDR to be updated.

The Commission is proposing to instead create a new requirement in § 49.4(a)(2)

for SDRs to execute an agreement with the custodial SDR governing the custody of the

withdrawing SDR’s data and records prior to filing a request to withdraw with the

 185 17 CFR 1.44(d). 186 The Commission has proposed amendments to § 49.12 in the 2019 Part 49 NPRM. However, these

amendments do not impact the substance of the SDR recordkeeping requirements. See 2019 Part 49 NPRM

at 21055. Pursuant to § 49.12(b), SDRs must maintain swap data, including historical positions, throughout

the existence of the swap and for five years following final termination of the swap, during which time the

records must be readily accessible to the Commission via real-time electronic access; and in archival

storage for which the swap data is retrievable by the SDR within three business days. 187 Current § 49.4(a)(2) further provides that a withdrawal of registration shall not affect any action taken or

to be taken by the Commission based upon actions, activities or events occurring during the time that the

facility was designated by the Commission. The Commission is proposing to remove this part of §

49.4(a)(2) as well.
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Commission. Proposed § 49.4(a)(2) would also specify that the custodial SDR retain such

records for at least as long as the remaining period of time the SDR withdrawing from

registration would have been required to retain such records pursuant to part 49. The

Commission believes that proposed § 49.4(a)(2) would better address the Commission’s

primary concerns in an SDR withdrawal from registration.

Therefore, § 49.4(a)(2) would require that prior to filing a request to withdraw, an

SDR shall execute an agreement with the custodial SDR governing the custody of the

withdrawing SDR’s data and records. The custodial SDR shall retain such records for at

least as long as the remaining period of time the SDR withdrawing from registration

would have been required to retain such records pursuant to part 49.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 49.4.

C. § 49.10 – Acceptance and Validation of Data

The Commission is proposing to revise the §§ 49.10(a)-(d)188 and (f) requirements

for the acceptance of data. As part of these revisions, the Commission is proposing to

retitle the section to reflect new requirements for SDRs to validate data proposed in §

49.10(c) as “Acceptance and validation of data.”

1. § 49.10(a) – General Requirements

The Commission is proposing to amend the general requirements in § 49.10(a) for

SDRs to have policies and procedures to accept swap data and swap transaction and

 188 The Commission has proposed amendments to the § 49.10(e) requirements for correction of errors and

omissions in SDR data in the 2019 Part 49 NPRM. See 2019 Part 49 NPRM at 21050.
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pricing data. Section 49.10(a) requires that registered SDRs establish, maintain, and

enforce policies and procedures for the reporting of swap data to the registered SDR and

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 parts 43 and 45 by

DCMs, DCOs, SEFs, SDs, MSPs, or non-SD/MSP counterparties.

First, the Commission is proposing to title § 49.10(a) “General requirements” to

distinguish it from the rest of the requirements in § 49.10. Second, the Commission is

proposing to number the requirement in § 49.10(a) as § 49.10(a)(1), and renumber §

49.10(a)(1) as § 49.10(a)(2).

Third, the Commission is proposing to revise the first sentence to specify that

SDRs shall maintain and enforce policies and procedures reasonably designed to

facilitate the complete and accurate reporting of SDR data.

Fourth, the Commission is proposing to remove the last phrase of § 49.10(a)

beginning with “all swap data in its selected asset class” and create a second sentence

requiring SDRs to promptly accept, validate, and record SDR data.

Finally, the Commission is proposing non-substantive edits to § 49.10(a)(1),

renumbered as § 49.10(a)(2), to correct references to defined terms and improve

consistency in use of terminology. Together, the amendments to § 49.10(a)(1)-(2) would

improve the readability of § 49.10(a) while updating the terminology to use the proposed

“SDR data” term for the data SDRs are required to accept, validate, and record pursuant

to § 49.10.189

 189 The background for the proposed validations regulations is discussed in section IV.C.3 below.
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Therefore, § 49.10(a)(1) would require that an SDR shall establish, maintain, and

enforce policies and procedures reasonably designed to facilitate the complete and

accurate reporting of SDR data. Proposed § 49.10(a)(1) would further provide that an

SDR shall promptly accept, validate, and record SDR data.

Proposed § 49.10(a)(2) would require that for the purpose of accepting SDR data,

the SDR shall adopt policies and procedures, including technological protocols, which

provide for electronic connectivity between the SDR and DCMs, DCOs, SEFs, SDs,

MSPs, and non-SD/MSP/DCO reporting counterparties who report such data. Proposed §

49.10(a)(2) would further provide that the technological protocols established by an SDR

shall provide for the receipt of SDR data. The SDR shall ensure that its mechanisms for

SDR data acceptance are reliable and secure.

2. § 49.10(b) – Duty to Accept SDR Data

The Commission is proposing to amend the § 49.10(b) requirements for SDRs to

accept SDR data. Current § 49.10(b) requires that a registered SDR shall set forth in its

application for registration as described in § 49.3 the specific asset class or classes for

which it will accept swaps data. If an SDR accepts swap data of a particular asset class,

then it shall accept data from all swaps of that asset class, unless otherwise prescribed by

the Commission.

First, the Commission is proposing to title § 49.10(b) “Duty to accept SDR data”

to distinguish it from the other requirements of § 49.10. Second, the Commission is

proposing to update references to data in § 49.10(b) to “SDR data” to use the correct

defined term. These amendments would not change the substantive requirements of §

49.10(b).
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Therefore, § 49.10(b) would require that an SDR shall set forth in its application

for registration as described in § 49.3 the specific asset class or classes for which it will

accept SDR data. If an SDR accepts SDR data of a particular asset class, then it shall

accept SDR data from all swaps of that asset class, unless otherwise prescribed by the

Commission.

3. § 49.10(c) – Duty to Validate SDR Data

As part of the revisions to § 49.10, the Commission is proposing to add new

regulations for the SDR validation of SDR data in § 49.10(c). The Commission is

proposing to move the requirements in current § 49.10(c) to § 49.10(d).190

SDRs currently check each swap report for compliance with a list of rules specific

to each SDR. However, the Commission is concerned that SDRs apply different

validation rules that could be making it difficult for SDR data to either be reported to the

SDR or the SDRs’ real-time public data feeds. The SDRs applying different validations

to swap reports creates numerous challenges for the Commission and market participants.

While one SDR may reject a report based on an incorrect value in a particular swap data

element, another SDR may accept reports containing the same erroneous value in the

same data element. Further, the Commission is concerned that responses to SDR

validation messages vary across reporting counterparties, given the lack of current

standards.

The Commission received several comments on data validations in response to

the Roadmap. Commenters were broadly supportive191 of including swap data validations

 190 The amendments to the current requirements of § 49.10(c), proposed to be moved to § 49.10(d), are

discussed in section IV.C.4 below.
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in revisions to the Commission’s data reporting regulations.192 Commenters

recommended that the requirements for data validation be implemented at the same time

or after the Commission harmonized and updated the data elements to be reported193 and

that the validations be implemented all at once.194 Many commenters also requested that

the Commission provide specific guidance and requirements for the validations,

including, for example, a defined list of minimum validations, form and manner

specifications, mapping, and allowable values.195

Commenters diverged in some instances in regards to continuing the SDRs’

current validation practices. The SDRs advocated for leveraging existing SDR validation

processes in order to minimize the costs associated with system changes.196 The SDRs

also argued that the SDRs should not be required to implement the exact same validations

and that the SDRs should have the flexibility to design their own validations, as long as

the data is provided to the Commission in the mandated format.197 In contrast, one

commenter advocated for the Commission to ensure that data element collection and

validations are consistent across all SDRs.198 The commenter also advocated for limiting

the data SDRs may request to the data required under the Commission’s regulations.199

 191 No comment letters directly opposed data validations, though not all letters addressed the topic.

192 Joint SDR Letter at 1-4, 6, 9; Letter from Chatham at 3; Letter from CME at 2; Letter from DTCC at 2-

3; Letter from Eurex Clearing AG (“Eurex”) (Aug. 21, 2017) at 3; Letter from GFMA at 5-6; Joint ISDASIFMA Letter at 3, 6; Letter from LCH at 3.

193 Joint SDR Letter at 1-3, 9; Letter from CME at 2; Letter from GFMA at 5-6; Joint ISDA-SIFMA Letter

at 3, 6.

194 Joint SDR Letter at 9.

195 Joint SDR Letter at 4, 6; Letter from DTCC at 2-3; Joint ISDA-SIFMA Letter at 3, 6; Letter from LCH

at 3.

196 Joint SDR Letter at 2; Letter from CME at 2; Letter from DTCC at 2.

197 Joint SDR Letter at 3; Letter from DTCC at 2-3.

198 Joint ISDA-SIFMA Letter at 6.

199 Id. at 5.
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Commenters also raised other specific validation-related issues. The SDRs

suggested that data should be required to be validated against public sources, to the extent

possible, such as the GLEIF database for LEIs.200 One commenter stated that the

Commission should resolve any uncertainty regarding what a reporting counterparty must

report when a data element may not apply to the reported swap and/or data may not be

available at the time of reporting.201

ESMA has published specific validations for TRs to perform to ensure that

derivatives data meets the requirements set out in the technical standards pursuant to

EMIR.

202 ESMA’s validations, for instance, set forth when data elements are mandatory,

conditional, optional, or must be left blank, and specify conditions for data elements

along with the format and content of allowable values for almost 130 data elements.203

The Commission believes that similarly consistent SDR validations would help

improve data quality. Therefore, the Commission is proposing to require SDRs to apply

validations and inform the entity submitting the swap report of any associated rejections.

SDRs would be required to apply the validations approved in writing by the Commission.

The Commission is also proposing regulations for SDRs to send validation messages to

SEFs, DCMs, and reporting counterparties.204 The Commission believes that the

 200 Joint SDR Letter at 4. 201 Joint ISDA-SIFMA Letter at 6. The Commission has requested specific comment on this issue above in

connection with § 45.13. 202 See https://www.esma.europa.eu/policy-rules/post-trading/trade-reporting. 203 See id. 204 The Commission is also proposing regulations for reporting counterparties, SEFs, and DCMs to address

the validations messages sent by SDRs and to resubmit any rejected swap reports in time to meet their

obligations to report creation and continuation data. The requirements for reporting counterparties, SEFs,

and DCMs to comply with SDR validations are proposed in § 45.13(b).
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consistent application of validation rules across SDRs would lead to an improvement in

the quality of swap data maintained at SDRs.

Proposed § 49.10(c)(1) would provide that SDRs shall validate each SDR data

report submitted and notify the reporting counterparty, SEF, DCM, or third party service

provider submitting the report whether the report satisfied205 the data validation

procedures206 of the SDR ASATP after accepting the SDR data report.

Proposed § 49.10(c)(2) would provide that if SDR data contains one or more data

validation errors,207 the SDR shall distribute a data validation error message208 to the

DCM, SEF, reporting counterparty, or third-party service provider that submitted such

SDR data ASATP after acceptance of such data. Each data validation error message shall

indicate which specific data validation error(s) was identified in the SDR data.

Proposed § 49.10(c)(3) would require that if an SDR allows for the joint

submission of swap transaction and pricing data and swap data, the SDR validate the

swap transaction and pricing data and swap data separately. Swap transaction and pricing

data that satisfies the data validation procedures applied by an SDR shall not be deemed

to contain a data validation error because it was submitted to the SDR jointly with swap

data that contained a data validation error.

4. § 49.10(d) – Policies and Procedures to Prevent Invalidation or Modification

 205 The Commission is proposing to define “data validation acceptance message” to mean a notification that

SDR data satisfied the data validation procedures applied by an SDR. 206 The Commission is proposing to define “data validation procedures” to mean procedures established by

an SDR pursuant to § 49.10 to validate SDR data reported to the SDR. 207 The Commission is proposing to define “data validation error” to mean that a specific data element of

SDR data did not satisfy the data validation procedures applied by an SDR. 208 The Commission is proposing to define “data validation error message” to mean a notification that SDR

data contained one or more data validation error(s).
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As described above, the Commission is proposing to move the requirement

currently in § 49.10(c) for SDRs to have policies and procedures to prevent invalidations

or modifications of swaps to an amended § 49.10(d). As a result, the Commission is also

proposing to redesignate § 49.10(d) as new § 49.10(f).209 Section 49.10(c) currently

requires registered SDRs to establish policies and procedures reasonably designed to

prevent any provision in a valid swap from being invalidated or modified through the

confirmation or recording process of the SDR.210

The Commission is also proposing non-substantive amendments to the current

language of § 49.10(c), proposed to be moved to § 49.10(d). For instance, the

Commission is proposing to title § 49.10(c) “Policies and procedures to prevent

invalidation or modification” to distinguish it from the other requirements in § 49.10.

In light of the above proposed amendments, § 49.10(d) would require SDRs to

establish policies and procedures reasonably designed to prevent provision in a valid

swap from being invalidated or modified through the verification or recording process of

the SDR. The policies and procedures shall ensure that the SDR’s user agreements are

designed to prevent any such invalidation or modification.

5. § 49.10(f) – Policies and Procedures for Resolving Disputes Regarding Data Accuracy

As described above, the Commission is proposing to redesignate § 49.10(d) as §

49.10(f).211 The Commission is also proposing non-substantive amendments to the

 209 The amendments to the current requirements of § 49.10(d), proposed to be redesignated as § 49.10(f),

are discussed in section IV.C.5 below. 210 Current § 49.10(c) further provides that the policies and procedures must ensure that the SDR’s user

agreements must be designed to prevent any such invalidation or modification. 17 CFR 49.10(c). 211 The Commission’s proposed revisions to § 49.10(e) are discussed in the 2019 Part 49 NPRM. See 2019

Part 49 NPRM at 21050.
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requirements currently set out in § 49.10(d), proposed to be redesignated as new §

49.10(f). Current § 49.10(d) requires that registered SDRs establish procedures and

provide facilities for effectively resolving disputes over the accuracy of the swap data and

positions that are recorded in the SDR.

First, the Commission is proposing to title § 49.10(f) “Policies and procedures for

resolving disputes regarding data accuracy” to distinguish it from the other requirements

of § 49.10. Second, the Commission is proposing to update terminology in the regulation.

These updates include replacing “swap” with the correct term “SDR data, and removing

the term “registered” before references to SDRs.

Therefore, in light of the above proposed amendments, § 49.10(f) would require

SDRs to establish procedures and provide facilities for effectively resolving disputes over

the accuracy of the SDR data and positions that are recorded in the SDR.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 49.10.

V. Swap Data Elements Reported to Swap Data Repositories

A. General

The Commission is proposing to revise appendix 1 to part 45 to update and

further standardize the swap data being reported to SDRs and the swap data SDRs make

available to the Commission. The Commission’s current minimum primary economic

terms for swaps in each swap asset class are found in appendix 1 to part 45. The current

primary economic terms for swaps contain a set of “data categories and fields” followed

by “comments” instead of specifications such as allowable values, formats, and
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conditions.212 In some cases, these comments include directions, such as to use “yes/no”

indicators for certain data elements (e.g., an indication whether the reporting counterparty

is an SD).213 In others, the comments reference Commission regulations (e.g., to report

the LEI of the non-reporting counterparty “[a]s provided in § 45.6”).214

In adopting part 45, the Commission intended that the primary economic terms

would ensure uniformity in “essential data” concerning swaps across all of the asset

classes and across SDRs to ensure the Commission had the necessary information to

characterize and understand the nature of reported swaps.215 However, in practice, this

approach permitted a degree of discretion in reporting swap data that led to a lack of

standardization, and therefore a reduction in data quality, which makes it more difficult

for the Commission to analyze and aggregate swap data. The Commission recognizes that

each SDR has worked to standardize the data within each SDR over recent years, and

Commission staff has noted the improvement in data quality. The Commission however

believes a significant effort must be made to standardize swap data across SDRs. As a

result, the Commission decided to revisit the data elements currently required to be

reported to SDRs in appendix 1 to part 45.

In the Roadmap, DMO announced an intention to propose detailed technical

specifications once the CPMI-IOSCO harmonization efforts had sufficiently

progressed.216 In the Roadmap, DMO also signaled its intention to match foreign

 212 See generally 17 CFR 45 appendix 1. 213 Id. 214 Id. 215 See 77 FR at 2149. 216 See Roadmap at 9.
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regulators as closely as possible in the technical specifications, but noted that some data

elements may be different depending on Commission’s needs.217

In response to the Roadmap, DMO received many comments on swap data

elements. Commenters broadly supported efforts to reduce the number of reportable data

elements and to remove the requirement to report “any other term(s) of the swap matched

or affirmed” by the counterparties (commonly known as the “catchall” provision).218

Commenters were also broadly supportive of the CPMI-IOSCO harmonization efforts to

standardize critical data elements,219 as both reducing burdens on reporters220 and as

increasing the utility of the data for regulators and the users of public data.221

Several commenters asked for precise definitions for required data elements.222

Several commenters acknowledged that the Commission may require some data elements

beyond the final CDE Technical Guidance data elements,223 but cautioned the

Commission to be careful when making that determination.224 One commenter, while

supporting harmonization generally, opposed expanding reporting to cover any additional

data elements.225 Two commenters noted that differences between the CFTC and other

 217 Id. 218 Joint SDR Letter at 8; Letter from Chatham at 5; Letter from CME at 3; Letter from NRECA-APPA at

3; Letter from LCH at 2; Joint ISDA-SIFMA Letter at 7; Letter from the Natural Gas Supply Association

(“NGSA”) at 1.

219 Letter from ACLI at 2; Joint SDR Letter at 7; Letter from Chatham at 5; Letter from CEWG at 3; Letter

from the Coalition for Derivatives End Users (“CDEU”) (Aug. 21, 2017) at 5; Letter from DTCC at 2;

Letter from Eurex at 3-4; Letter from GFMA at 3; Joint ISDA-SIFMA Letter at 5; Letter from Japanese

Bankers Association (“JBA”) (Aug. 21, 2017) at 2; Letter from SIFMA Asset Management Group

(“AMG”) (Aug. 18, 2017) at 2. 220 Letter from GFMA at 3; Letter from JBA at 2; Joint SDR Letter at 8. 221 Letter from Better Markets (Aug. 21, 2017) at 7; Letter from DTCC at 2; Letter from GFMA at 3; Joint

ISDA-SIFMA Letter at 5. 222 Letter from GFMA at 4; Letter from CEWG at 3; Letter from CME at 3; Letter from Eurex at 3-4. 223 Joint SDR Letter at 9. 224 Letter from GFMA at 4. 225 Letter from CEWG 3.
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regulators, including the SEC, were not only in the data elements that must be reported,

but also in what transactions must be reported.226

Several commenters indicated potential opposition to individual CDE Technical

Guidance data elements.227 Another commenter recommended using the final CDE

Technical Guidance as a “tool” rather than a “mandate,” and to only implement those

data elements that the Commission needs for its oversight obligations.228 One commenter

suggested not pursuing the data elements proposed in DMO’s December 2015 Request

for Comment on Draft Technical Specifications for Certain Swap Data Elements, as they

would unnecessarily increase costs without benefits.229

In the course of revisiting which swap data elements should be reported to SDRs,

the Commission reviewed the swap data elements currently in appendix 1 to part 45 to

determine if any currently required data elements should be eliminated and if any

additional data elements should be added. The Commission then reviewed the CDE

Technical Guidance to determine which data elements the Commission could adopt

according to the CDE Technical Guidance.

As a general matter, the Commission believes that the implementation of the CDE

Technical Guidance will further improve the harmonization of SDR data across FSB

member jurisdictions. This international harmonization, when widely implemented,

would allow market participants to report swap data to several jurisdictions in the same

format, allowing for potential cost-savings. This harmonization, when widely

 226 Letter from CDEU at 6; Letter from GFMA at 3. 227 Letter from GFMA at 4; Joint ISDA-SIFMA Letter at 4, 9; Letter from SIFMA AMG at 2. 228 Joint ISDA-SIFMA Letter at 4.

229 Id. at 8.
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implemented, would also allow the Commission to potentially receive more standardized

information regarding swaps reported to TRs regulated by other authorities. For instance,

such standardization across SDRs and TRs could support data aggregation for the

analysis of global systemic risk in swaps markets.

As part of this process, the Commission also reviewed the part 43 swap

transaction and pricing data and part 45 swap data elements to determine whether any

differences could be reconciled.230 Having completing this assessment, the Commission

is proposing to list the swap data elements required to be reported to SDRs pursuant to

part 45 in appendix 1 to part 45. In a separate NPRM, the Commission is proposing to list

the swap transaction and pricing data elements required to be reported to, and then

publicly disseminated by, SDRs pursuant to part 43 in appendix C to part 43. The swap

transaction and pricing data elements would be a harmonized subset of the swap data

elements in appendix 1 to part 45.

At the same time as the Commission is proposing to update the swap data

elements in appendix 1, DMO is publishing draft technical specifications for reporting

the swap data elements in appendix 1 to part 45 to SDRs, as specified in § 45.13(a)(1),

and for reporting and publicly disseminating the swap transaction pricing and data

elements in appendix C to part 43 described in a separate NPRM. DMO would then

publish the technical specifications in the Federal Register pursuant to the delegation of

authority proposed in § 45.15(b).

 230 The Commission intended that the data elements in appendix A to part 43 would be harmonized with the

data elements required to be reported to an SDR for regulatory purposes pursuant to part 45. See 77 FR at

1226 (noting that “it is important that the data fields for both the real-time and regulatory reporting

requirements work together”). However, there is no current regulatory requirement linking the two sets of

data elements.
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DMO is proposing to establish technical standards for certain swap data elements

according to the CDE Technical Guidance, where possible. Commenters are invited to

comment on both the technical standards and the swap data elements proposed in

appendix 1.

The swap data elements proposed to be reported to SDRs would therefore consist

of: (i) the data elements implementing the CDE Technical Guidance; and (ii) additional

CFTC-specific data elements that support the Commission’s regulatory

responsibilities.230F

231 While, as explained below, much of this swap data is already being

reported to SDRs according to each SDR’s technical standards, the technical standards

and validation conditions that the Commission is proposing for the SDRs to implement

would be new. A discussion of the swap data elements and requests for comment the

technical standards follows below. Data elements specific to part 43 are discussed in the

separate part 43 NPRM.

B. Swap Data Elements to be Reported to SDRs

DMO’s proposed technical standards contains an extensive introduction to help

reviewers. As a preliminary matter, the Commission notes that the swap data elements in

appendix 1 do not include swap data elements specific to swap product terms. The

Commission is currently heavily involved in separate international efforts to introduce

UPIs.232 The Commission preliminarily expects UPIs will be available within the next

 231 The proposed update of appendix 1 and technical standards are expected to represent a significant

reduction in the number of swap data elements that could be reported to an SDR by market participants. 232 See FSB, Governance arrangements for the UPI: Conclusions, implementation plan and next steps to

establish the International Governance Body (Oct. 9, 2019), available at

https://www.fsb.org/2019/10/governance-arrangements-for-the-upi/.
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two years.233 Until the Commission designates a UPI pursuant to § 45.7, the Commission

is proposing SDRs continue to accept, and reporting counterparties continue to report, the

product-related data elements unique to each SDR. The Commission believes this

temporary solution would have SDRs change their systems only once when UPI becomes

available, instead of twice if the Commission proposes standardized product data

elements in this release before UPIs are available and then later designates UPIs pursuant

to § 45.7.

In addition, the Commission notes that it has endeavored to propose adopting the

CDE Technical Guidance data elements as closely as possible. Where the Commission

proposes adopting a CDE Technical Guidance data element, the Commission has

proposed adopting the terms used in the CDE Technical Guidance. This means that some

terms may be different for certain concepts. For instance, “derivatives clearing

organization” is the Commission’s term for registered entities that clear swap

transactions, but the CDE Technical Guidance uses the term “central counterparty.”

To help clarify, DMO has proposed footnotes in the technical standards to explain

these differences as well as provide examples and jurisdiction-specific requirements.

However, the Commission has not included these footnotes in appendix 1. In addition,

the definitions from CDE Technical Guidance data elements included in appendix 1

sometimes include references to allowable values in the CDE Technical Guidance, which

may not be included in appendix 1, but can be found in the technical standards.

 233 See id. The FSB recommends that jurisdictions undertake necessary actions to implement the UPI

Technical Guidance and that these take effect no later than the third quarter of 2022.
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Finally, the CDE Technical Guidance did not harmonize many fields that would

be particularly relevant for commodity and equity swap asset classes (e.g., unit of

measurement for commodity swaps). CPMI and IOSCO, in the CDE Governance

Arrangements, address both implementation and maintenance of CDE, together with their

oversight. One area of the CDE Governance Arrangements includes updating the CDE

Technical Guidance, including the harmonization of certain data elements and allowable

values that were not included in the CDE Technical Guidance (e.g., data elements related

to events and allowable values for the following data elements: Price unit of measure,

Quantity unit of measure, and Custom basket constituents’ unit of measure).

The Commission invites comment on any of the swap data elements proposed in

appendix 1. The Commission briefly discusses the swap data elements below by category

to simplify the topics for market participants to comment on. To the extent any comment

involves data elements adopted according to the CDE Technical Guidance, however, the

Commission anticipates raising issues according to the CDE Governance Arrangements

procedures to help ensure that authorities follow the established processes for doing so. In

addition, the Commission anticipates updating its rules to adopt any new or updated CDE

Technical Guidance, as necessary.

1. Category: Clearing

The Commission is proposing to require reporting counterparties report twelve

clearing data elements.234 Nearly all of this information is currently being reported to

 234 In appendix 1, these data elements are: Cleared (1); Central counterparty (2); Clearing account origin

(3); Clearing member (4); Clearing swap USIs (5); Clearing swap UTIs (6); Original swap USI (7);

Original swap UTI (8); Original swap SDR identifier (9); Clearing receipt timestamp (10); Clearing

exemptions - Counterparty 1 (11); and Clearing exemptions – Counterparty 2 (12).
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SDRs. Three of these data elements are consistent with the CDE Technical Guidance.

Four of these data elements would transition clearing swap and original swap USIs to

UTIs. All of these data elements help the Commission monitor the cleared swaps market.

The Commission requests specific comment on the following related to the

clearing data elements:

(15) The Commission is considering including a data element called “Mandatory

clearing indicator” to indicate whether a swap is subject to the clearing requirement in

part 50 of the Commission’s regulations. The Commission requests specific comment on

whether commenters believe this data element could be reported to SDRs.

2. Category: Counterparty

The Commission is proposing to require reporting counterparties report ten

counterparty data elements.235 Nearly all of this information is currently being reported to

SDRs. Six of these data elements are consistent with the CDE Technical Guidance.

The Commission requests specific comment on the following related to the

counterparty data elements:

(16) The CFTC needs the ability to link swap counterparties to their parent entities to

aggregate swap data to be able to monitor risk. Given the complicated nature of how

some entities are structured within a larger legal entity, the CFTC also needs information

related to the ultimate parent entity. The Commission believes this information is

necessary to collect for both swap counterparties. The Commission requests specific

 235 In appendix 1, these data elements are: Counterparty 1 (reporting counterparty) (13); Counterparty 2

(14); Counterparty 2 identifier source (15); Counterparty 1 financial entity indicator (16); Counterparty 2

financial entity indicator (17); Buyer identifier (18); Seller identifier (19); Payer identifier (20); Receiver

identifier (21); and Submitter identifier (22).
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comment on whether commenters believe this data could be reported as part of swap data

reporting.

236 Given the static nature of these relationships, the Commission requests

comment on whether reporting counterparties should report parent and ultimate parent

information for each swap trade or in a regularly updated (e.g., monthly or quarterly)

reference file maintained by SDRs.

3. Category: Events

The Commission is proposing to require reporting counterparties report four event

data elements.237 Nearly all of this information is currently being reported to SDRs.

Event data elements were not included in the CDE Technical Guidance. This information

is, however, critical for the Commission to be able to properly utilize swap data. Without

it, the Commission would be unable to discern why each swap event is reported

following the initial required swap creation data report.

The Commission requests specific comment on the following related to the event

data elements:

(17) Are there ways in which the Commission could harmonize the event model with

ESMA’s? Would harmonization in this area reduce burdens for SDRs and reporting

counterparties? The Commission proposes to require reporting transactions for

simultaneous clearing and allocation at a DCO using a new event type of ”Clearing and

Allocation” in the events model. Is there a more efficient method to report related

transactions when a DCO simultaneously clears and allocates transactions?

 236 The SEC has rules providing for SBSDR participants to provide SBSDRs with information sufficient to

identify their ultimate parent(s) and any affiliate(s) that are also participants of the SBSDR using ultimate

parent identifiers and counterparty identifiers. See 17 CFR 242.906(b). 237 In appendix 1, these data elements are: Action type (24); Event type (25); Event identifier (26); and

Event timestamp (27).
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4. Category: Notional Amounts and Quantities

The Commission is proposing to require reporting counterparties report twelve

notional data elements.238 Nearly all of this information is currently being reported to

SDRs. Nine of these data elements are consistent with the CDE Technical Guidance.

Exposure information, in conjunction with valuation information, is critical for, and

currently used extensively by, the Commission to monitor activity and risk in the swaps

market.

The Commission requests specific comment on the following related to the

notional data elements:

(18) The Commission is considering including the notional schedule data elements from

the CDE Technical Guidance.

239 The Commission has learned through experience with

swap data that notional data elements are applicable to a substantial number of swaps

within certain product areas such as energy swaps and amortizing interest rate swaps.

Does such concentration exist and, if so, what gaps would exist in the Commission’s

ability to evaluate and monitor market activity in these areas if notional schedule data

elements are inadequately or improperly represented? The Commission requests

comment on whether SDRs and reporting counterparties would be able to both accept and

report this information.

 238 In appendix 1, these data elements are: Notional amount (28); Notional currency (29); Delta (30); Call

amount (31); Call currency (32); Put amount (33); Put currency (34); Notional quantity (35); Quantity

frequency (36); Quantity frequency multiplier (37); Quantity unit of measure (38); and Total notional

quantity (39).

239 The notional schedule data elements in the CDE Technical Guidance are: 2.78.1 (Effective date of the

notional amount); 2.78.2 (End date of the notional amount); 2.78.3 (Notional amount in effect on the

associated effective date); 2.80.1 (Effective date of the notional quantity); 2.80.2 (End date of the notional

quantity); and 2.80.3 (Notional quantity in effect on the associated effective date).
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(19) The Commission requests specific comment on how SDRs would implement these

CDE data elements for reporting counterparties to report notional schedule-related data.

Should the Commission mandate a specific reporting structure for reporting notional

schedule-related data elements to the SDRs? If so, what standard would you propose and

what would be the benefits? If not, why not?

(20) The Commission is considering requiring reporting counterparties to provide a USD

equivalent notional amount that represents the entire overall transaction for tracking

notional volume (in addition to leg-by-leg notional data reported pursuant to other

proposed data elements). The Commission believes that this additional data element

could allow staff to more effectively assess compliance with CFTC regulations, including

but not limited to SD registration and uncleared margin requirements, and help staff more

efficiently monitor swap market risk. The Commission specifically requests comment on

the frequency with which reporting counterparties should report USD equivalent

notional.

5. Category: Packages

The Commission is proposing to require reporting counterparties to report four

package transaction data elements.240 The Commission believes some of this information

is currently being reported to SDRs. Each of these data elements are consistent with the

CDE Technical Guidance. The Commission anticipates using this information to better

understand risk in the swaps market, as the Commission understands that many swaps are

executed as part of packages.

 240 In appendix 1, these data elements are: Package identifier (40); Package transaction price (41); Package

transaction price currency (42); and Package transaction price notation (43).
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The Commission requests specific comment on the following related to the

package data elements in appendix 1:

(21) The Commission is considering including the additional package transaction data

elements from the CDE Technical Guidance.241 The Commission requests comment on

whether SDRs and reporting counterparties would be able to both accept and report this

information. The Commission requests specific comment on how SDRs would

implement these CDE data elements for reporting counterparties to report the data.

6. Category: Payments

The Commission is proposing to require reporting counterparties report twelve

data elements related to payments.242 Nine of these data elements are consistent with the

CDE Technical Guidance. Nearly all of this information is currently being reported to

SDRs.

7. Category: Prices

The Commission is proposing to require reporting counterparties report eighteen

data elements related to swap prices.243 Nearly all of this information is currently being

reported to SDRs. Seventeen of these data elements are consistent with the CDE

 241 In the CDE Technical Guidance, the additional package data elements are: Package transaction spread

(2.93); Package transaction spread currency (2.94); and Package transaction spread notation (2.95). 242 In appendix 1, these data elements are: Day count convention (44); Fixing date (45); Floating rate reset

frequency period (46); Floating rate reset frequency period multiplier (47); Other payment type (48); Other

payment amount (49); Other payment currency (50); Other payment date (51); Other payment payer (52);

Other payment receiver (53); Payment frequency period (54); and Payment frequency period multiplier

(55).

243 In appendix 1, these data elements are: Exchange rate (56); Exchange rate basis (57); Fixed rate (58);

Post-priced swap indicator (59); Price (60); Price currency (61); Price notation (62); Price unit of measure

(63); Spread (64); Spread currency (65); Spread notation (66); Strike price (67); Strike price

currency/currency pair (68); Strike price notation (69); Option premium amount (70); Option premium

currency (71); Option premium payment date (72); and First exercise date (73).
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Technical Guidance. This information is critical for, and currently used by, the

Commission in understanding pricing in the swaps market.

The Commission requests specific comment on the following related to the price

data elements:

(22) The Commission is considering including the price schedule data elements from the

CDE Technical Guidance.244 The Commission has learned through experience with swap

data that price data elements are applicable to a substantial number of swaps within

certain product areas such as energy swaps and amortizing interest rate swaps. Does such

concentration exist and, if so, what gaps would exist in the Commission's ability to

evaluate and monitor market activity in these areas if schedule data elements are

inadequately or improperly represented? The Commission requests comment on whether

SDRs and reporting counterparties would be able to both accept and report this

information. The Commission requests specific comment on how SDRs would

implement these CDE data elements for reporting counterparties to report the data.

Should the Commission mandate a specific reporting structure for reporting schedulerelated data elements to the SDRs? If so, what standard would you propose and what

would be the benefits? If not, why not?

8. Category: Product

 244 The price schedule data elements in the CDE Technical Guidance are: 2.54.1 (Unadjusted effective date

of the price); 2.54.2 (Unadjusted end date of the price); 2.54.3 (Price in effect between the unadjusted

effective date and unadjusted end date inclusive); 2.63.1 (Unadjusted effective date of the strike price);

2.63.2 (Unadjusted end date of the strike price); and 2.63.3 (Strike price in effect between the unadjusted

effective date and unadjusted end date inclusive).
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The Commission is proposing to require reporting counterparties report five

product-related data elements.245 The Commission believes some of this information is

currently being reported to SDRs. Two of these data elements are in the CDE Technical

Guidance. The Commission has preliminarily determined these data elements are critical

for monitoring risk in the swaps market, even though the Commission expects any

additional product data elements to remain unstandardized until the UPI is introduced.

The Commission requests specific comment on the following related to the other

product data elements:

(23) The CFTC intends to collect sufficient granular detail on the economic terms of

swaps to conduct independent valuation and stress testing analysis. The CFTC will rely

on UPI for many product related data elements, but forthcoming UPI standards may not

describe some swaps with enough detail to allow the CFTC to independently value the

transaction. Are there additional product data elements the CFTC should collect outside

of UPI to ensure the CFTC may independently value swaps with sufficient accuracy?

9. Category: Settlement

The Commission is proposing to require reporting counterparties report two

settlement data elements.246 The Commission believes this information is currently being

reported to SDRs. These data elements are consistent with the CDE Technical Guidance.

The Commission requests specific comment on the following related to the

settlement data elements:

 245 In appendix 1, these data elements are: CDS index attachment point (74); CDS index detachment point

(75); Index factor (76); Embedded option type (77); and Unique product identifier (78). 246 In appendix 1, these data elements are: Final contractual settlement date (79) and Settlement currency

(80).
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(24) Should the Commission include the additional swap data element related to

settlement included in the CDE Technical Guidance?247 Please comment on alternative

methods to report offshore currencies that are not included in ISO 4217 currency code

list.

10. Category: Transaction-Related

The Commission is proposing to require reporting counterparties report fifteen

data elements that provide information about each swap transaction.248 The Commission

believes this information is currently being reported to SDRs. Six of these data elements

are consistent with the CDE Technical Guidance.

The Commission requests specific comment on the following transaction-related

data elements:

(25) Should the Commission include the additional swap data elements related to

transaction included in the CDE Technical Guidance? Are there additional transactionrelated data elements the Commission should include beyond the CDE Technical

Guidance?

(26) Should the Commission expand the Non-standardized term indicator (82) data

element to apply to any non-standard term, regardless of impact on price? Should the

Commission instead create a part 45-specific data element for non-standard terms that

 247 The settlement data element in the CDE Technical Guidance is 2.21 (Settlement location). 248 In appendix 1, these data elements are: Allocation indicator (81); Non-standardized term indicator (82);

Block trade election indicator (83); Effective date (84); Expiration date (85); Execution timestamp (86);

Reporting timestamp (87); Platform identifier (88); Prime brokerage transaction identifier (89); Prime

brokerage transaction indicator (90); Prior USI (for one-to-one and one-to-many relations between

transactions) (91); Prior UTI (for one-to-one and one-to-many relations between transactions) (92); Unique

swap identifier (USI) (93); Unique transaction identifier (UTI) (94); and Jurisdiction indicator (95).
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would not be publicly disseminated, and still have Non-standardized term indicator (82)

for real-time public reporting?

(27) The Commission is considering including a data element called “Trade execution

requirement indicator” to indicate whether a swap is subject to the Commission’s trade

execution mandate. The Commission requests specific comment on whether commenters

believe this data element could be reported.

11. Category: Transfer

The Commission is proposing to require reporting counterparties to report one

data element related to changing SDRs.249 This data element would be necessary if the

Commission adopts proposed § 45.10(d) permitting reporting counterparties to change

the SDR to which they report data for a given swap. Without this data element, the

Commission is concerned there would be swaps in the SDR that would appear open but

not updated because the reporting counterparty reports to a different SDR.

12. Category: Valuation

The Commission is proposing to require reporting counterparties report six

valuation data elements.250 Nearly all of this information is currently being reported to

SDRs. Four data elements are consistent with the CDE Technical Guidance. Valuation

information is critical for, and currently used by, the Commission to monitor risk in the

swaps market.

 249 In appendix 1, this data element is: New SDR identifier (96). 250 In appendix 1, these data elements are: Last floating reference value (97); Last floating reference reset

date (98); Valuation amount (99); Valuation currency (100); Valuation method (101); and Valuation

timestamp (102).
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The Commission requests specific comment on the following related to the

valuation data elements:

(28) The Commission is considering including the following valuation data elements that

were not included in the CDE Technical Guidance: discount index; discount index tenor

period; discount index tenor period multiplier; next floating reference reset date;

underlying spot or reference rate. Would reporting counterparties be able to report this

information to SDRs each day? Could the Commission obtain this information from

different source? Could the Commission require this information less frequently? Is

reporting reset dates more efficient than reporting the full calendar generation logic

(including business day calendars and reset lookback terms) of swaps?

(29) The CFTC intends to collect information to independently validate individual swap

values (also known as “mark-to-market” or “fair value”), portfolio aggregated values, and

the value of collateral posted to meet initial and variation margin requirements. One

method is to require parties to report the aggregate valuations of all financial instruments

(including swaps and other cross margined products) associated with a Collateral

Portfolio Code. What other validation and cross referencing information should the

Commission collect in addition to the proposed data elements? Is there a more efficient

way to collect data on the value of individual swaps, portfolios, and the margin posted

and collected against these positions?

13. Category: Collateral and Margins
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The Commission is proposing to require reporting counterparties report fourteen

collateral and margins data elements.251 This information is not currently being reported

to SDRs. Twelve of these data elements are consistent with the CDE Technical Guidance.

One data element, Affiliated counterparty for margin and capital indicator (103), will

help the Commission monitor compliance with the uncleared margin requirements. The

two remaining CFTC-specific data elements are indicators and codes that will help the

Commission understand how the margin and collateral data is being reported by reporting

counterparties. Margin and collateral information is critical for the Commission to

monitor risk in the swaps market. When other jurisdictions implement the CDE Technical

Guidance, sharing this information with other regulators will permit regulators to create a

global picture of swaps risk.

The Commission requests specific comment on the following related to the

collateral and margin data elements:

(30) The Commission is interested in determining the quality of collateral posted.

Comparing pre- and post-haircut values is one way to gain this information. Should the

Commission consider other ways, such as collecting specific information on the contents

of the collateral portfolio?

 251 In appendix 1, these data elements are: Affiliated counterparty for margin and capital indicator (103);

Collateralisation category (104); Collateral portfolio code (105); Portfolio containing non-reportable

component indicator (106); Initial margin posted by the reporting counterparty (post-haircut) (107); Initial

margin posted by the reporting counterparty (pre-haircut) (108); Currency of initial margin posted (109);

Initial margin collected by the reporting counterparty (post-haircut) (110); Initial margin collected by the

reporting counterparty (pre-haircut) (111); Currency of initial margin collected (112); Variation margin

posted by the reporting counterparty (pre-haircut) (113); Currency of variation margin posted (114);

Variation margin collected by the reporting counterparty (pre-haircut) (115); and Currency of variation

margin collected (116).
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(31) The proposed swap data elements allow for single collateral portfolio ID for both

initial margin and variation margin. Should the Commission consider other approaches to

collecting this information to account for when variation margin cash flows are separated

between swaps that may not all be subject to initial margin?

(32) The Commission is proposing to collect new margin and collateral information from

reporting counterparties that are SDs, MSPs, and DCOs. Some of this information could

be reported at the portfolio level, rather than the transaction level. Do reporting

counterparties or SDRs have feedback for the Commission on how portfolio level, as

opposed to transaction level, reporting would work in practice? Are there challenges the

Commission should consider? What are alternatives or solutions for collecting this

information?

Request for Comment

The Commission additionally requests comment on all aspects of the proposed

swap data elements in appendix 1. The Commission requests specific comment on the

following:

(33) Are there any data elements not included in appendix 1 that commenters feel should

be prioritized for standardization? Please explain why and provide relevant information

that would assist with standardizing any suggested data elements.

(34) The Commission is not proposing data elements by leg for multi-leg products where

some data elements are reported more than once per leg. The Commission thinks that it is

best to leave the implementation details to market conventions and SDR requirements.

Should the Commission consider another approach for leg-level reporting? If so, please

provide details on the suggested approach.
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(35) The Commission has not proposed any specific implementation requirement to

report multiple values for the same data element when applicable. The Commission

thinks that it is best to leave the implementation details to market conventions and SDR

requirements. Should the Commission consider a set approach to report multiple values?

If so, please provide details on the suggested approach.

(36) The Commission is considering requiring reporting counterparties to indicate

whether a specific swap: (1) was entered into for dealing purposes (as opposed to

hedging, investing, or proprietary trading); and/or (2) need not be considered in

determining whether a person is a swap dealer or need not be counted towards a person’s

de minimis threshold as described in paragraph (4) of the “swap dealer” definition in §

1.3 pursuant to one of the exclusions or exceptions in the swap dealer definition (e.g., the

insured depository institution provision in paragraph (4)(C) or exclusion in paragraph (5)

of the “swap dealer” definition in § 1.3, the inter-affiliate exclusion in paragraph (6)(i) of

the “swap dealer” definition, etc.). In the past, the Commission staff has identified the

lack of these fields as limiting constraints on the usefulness of SDR data to identify

which swaps should be counted towards a person’s de minimis threshold, and the ability

to precisely assess the current de minimis threshold or the impact of potential changes to

current exclusions.252 Given the Commission’s ongoing surveillance for compliance with

 252 See De Minimis Exception to the Swap Dealer Definition, 83 FR 27444, 27449 (proposed June 12,

2018); Swap Dealer De Minimis Exception Final Staff Report at 19 (Aug. 15, 2016); (Nov. 18, 2015),

available at

https://www.cftc.gov/sites/default/files/idc/groups/public/@swaps/documents/file/dfreport_sddeminis0815

16.pdf ; Swap Dealer De Minimis Exception Preliminary Report at 15 (Nov. 18, 2015), available at

https://www.cftc.gov/sites/default/files/idc/groups/public/@swaps/documents/file/dfreport_sddeminis_111

5.pdf.
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the swap dealer registration requirements, the Commission requests comment on this

potential field.

VI. Compliance Date

Market participants raised questions in the Roadmap comment letters about the

compliance schedules for the Commission’s proposed reporting rules amendments.

Commenters raised various concerns about the compliance schedule. For instance, the

SDRs requested that system updates that would result from any rule changes happen all at

once.253 Others suggested phasing in any SDR obligations before requiring reporting

counterparty changes.254 Multiple market participants requested that the rulemakings take

place simultaneously to inform one another.

255 Commenters also cautioned against

artificial deadlines,256 requested avoiding compliance dates at the end of the calendar year

during holidays and code freezes,257 and requested that the Commission consider

deadlines for changes in foreign jurisdictions when setting compliance dates.258

The Commission understands that market participants will need a sufficient

implementation period to accommodate any of the changes proposed in the three NPRMs

that are adopted by the Commission. The Commission expects to finalize all rules at the

same time, even though the proposals were approved separately. The Commission also

expects that the compliance date for the Roadmap rules that the Commission adopts other

 253 Joint SDR Letter at 12. 254 Letter from Chatham at 5-6; Joint NRECA-APPA Letter at 3. 255 Joint SDR Letter at 1; Letter from GFXD of the GFMA at 5; Joint ISDA-SIFMA Letter at 2-3; Letter

from LCH at 2. 256 Letter from Chatham at 5. 257 Joint SDR Letter at 12. 258 Id.
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than the rules on UTIs in § 45.5 would be one year from the date the final rulemakings

are published in the Federal Register.

The Commission expects that the compliance date for the rules on UTIs in § 45.5

would be December 31, 2020, in accordance with the UTI implementation deadline

recommended by the FSB.259 As a participant in the international swaps data

harmonization initiatives described in section 1.C above, the Commission fully supports

the adoption of UTIs and its role in facilitating the aggregation of swaps data reported to

SDRs. While the Commission recognizes that the expected compliance date of December

31, 2020 for § 45.5 will be sooner than the other changes proposed in the three NPRMs,

the Commission believes that this earlier compliance date will not pose any substantial

difficulties due to the limited nature of the proposed changes in § 45.5.260

The Commission requests comment on all aspects of the proposed compliance

data. The Commission requests specific comment on the following:

(37) Part 20 of the Commission’s regulations (“Large Trader Reporting for Physical

Commodity Swaps”) contains a “sunset provision” in § 20.9 that would take effect upon

“a Commission finding that, through the issuance of an order, operating [SDRs] are

processing positional data and that such processing will enable the Commission to

effectively surveil trading in paired swaps and swaptions and paired swap and swaption

markets.”261 The Commission can now analyze swap data from the SDRs for various

 259 See Financial Stability Board, Governance Arrangements for the Unique Transaction Identifier (UTI),

Conclusions and Implementation Plan (Dec. 2017), Section 5.2. 260 The Commission recognizes commenters’ concerns about end-of-year code freezes. The Commission

encourages market participants to make the necessary code changes to comply with § 45.5 earlier than the

end-of-year deadline. 261 17 CFR 20.9.
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purposes, such as re-evaluating the current swap categories and determine appropriate

minimum block and cap sizes in part 43. In addition, the same physical commodity swaps

reported to the Commission directly through part 20 reporting are being reported to SDRs

under part 45. In conjunction with the Commission’s proposals to update its swap

reporting regulations, should the Commission review part 20 to determine whether it

would be appropriate to sunset part 20 reporting according to the § 20.9?

VII. 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.262 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.263 The amendments to parts 45, 46, and 49 proposed herein would have a

direct effect on the operations of DCMs, DCOs, MSPs, reporting counterparties, SDs,

SDRs, and SEFs. The Commission has previously certified that DCMs,264 DCOs,265

MSPs,266 SDs,267 SDRs268, and SEFs269 are not small entities for purpose of the RFA.

 262 See 5 U.S.C. 601 et seq. 263 See Policy Statement and Establishment of “Small Entities” for purposes of the Regulatory Flexibility

Act, 47 FR 18618 (Apr. 30, 1982). 264 See id. 265 See Derivatives Clearing Organization General Provisions and Core Principles, 76 FR 69334, 69428

(Nov. 8, 2011). 266 See Swap Dealer and Major Swap Participant Recordkeeping, Reporting, and Duties Rules, 77 FR

20128, 20194 (Apr. 3, 2012) (basing determination in part on minimum capital requirements). 267 See Swap Trading Relationship Documentation Requirements for Swap Dealers and Major Swap

Participants76 FR 6715 (Feb. 8, 2011). 268 See Swap Data Repositories; Proposed Rule, 75 FR 80898, 80926 (Dec. 23, 2010) (basing determination

in part on the central role of SDRs in swaps reporting regime, and on the financial resource obligations

imposed on SDRs).
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Various proposed amendments to parts 45, 46, and 49 would have a direct impact

on all reporting counterparties. These reporting counterparties may include SDs, MSPs,

DCOs, and non-SD/MSP/DCO counterparties. Regarding whether non-SD/MSP/DCO

reporting counterparties are small entities for RFA purposes, the Commission notes that

CEA section 2(e) prohibits a person from entering into a swap unless the person is an

eligible contract participant (“ECP”), except for swaps executed on or pursuant to the

rules of a DCM.270 The Commission has previously certified that ECPs are not small

entities for purposes of the RFA.271

The Commission has analyzed swap data reported to each SDR272 across all five

asset classes to determine the number and identities of non-SD/MSP/DCOs that are

reporting counterparties to swaps under the Commission’s jurisdiction. A recent

Commission staff review of swap data, including swaps executed on or pursuant to the

rules of a DCM, identified nearly 1,600 non-SD/MSP/DCO reporting counterparties.

Based on its review of publicly available data, the Commission believes that the

overwhelming majority of these non-SD/MSP/DCO reporting counterparties are either

ECPs or do not meet the definition of “small entity” established in the RFA. Accordingly,

 269 Core Principles and Other Requirements for Swap Execution Facilities, 78 FR 33476, 33548 (June 4,

2013).

270 See 7 U.S.C. 2(e). 271 See Opting Out of Segregation, 66 FR 20740, 20743 (Apr. 25, 2001). The Commission also notes that

this determination was based on the definition of ECP as provided in the Commodity Futures

Modernization Act of 2000. The Dodd-Frank Act amended the definition of ECP as to the threshold for

individuals to qualify as ECPs, changing “an individual who has total assets in an amount in excess of” to

“an individual who has amounts invested on a discretionary basis, the aggregate of which is in excess

of....” Therefore, the threshold for ECP status is currently higher than was in place when the Commission

certified that ECPs are not small entities for RFA purposes, meaning that there are likely fewer entities that

could qualify as ECPs than when the Commission first made the determination. 272 The sample data sets varied across SDRs and asset classes based on relative trade volumes. The sample

represents data available to the Commission for swaps executed over a period of one month. These sample

data sets captured 2,551,907 FX swaps, 98,145 credit swaps, 357,851 commodities swaps, 603,864 equities

swaps, and 276,052 interest rate swaps.
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the Commission does not believe the proposed rule would affect a substantial number of

small entities.

Based on the above analysis, the Commission does not believe that this proposal

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 Paperwork Reduction Act (“PRA”)273 imposes certain requirements on

federal agencies, including the Commission, in connection with their conducting or

sponsoring any collection of information, as defined by the PRA. This proposed

rulemaking would result in the collection of information within the meaning of the PRA,

as discussed below. The proposed rulemaking contains collections of information for

which the Commission has previously received control numbers from the Office of

Management and Budget (“OMB”): OMB Control Numbers 3038-0096 (relating to swap

data recordkeeping and reporting); 3038-0089 (relating to pre-enactment swaps and

transition swaps); and 3038-0086 (relating to SDRs).

The Commission is proposing to amend the above information collections to

accommodate newly proposed and revised information collection requirements for swap

market participants and SDRs that require approval from OMB under the PRA. The

amendments described herein are expected to modify the existing annual burden for

 273 See 44 U.S.C. 3501.
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complying with certain requirements of parts 45 and 46. The Commission proposed

amendments to the annual burden for complying with certain requirements of part 49 in

the 2019 Part 49 NPRM. As discussed below, the Commission believes the estimates for

the regulations in part 49 proposed to be amended in this NPRM accurately estimate the

burdens and do not require updates based on what is proposed in this NPRM.

The Commission therefore is submitting this proposal to the OMB for its review

in accordance with 44 U.S.C. 3507(d) and 5 CFR 1320.11. Responses to this collection of

information would be mandatory. The Commission will protect proprietary information

according to the FOIA and 17 CFR 145, “Commission Records and Information.” In

addition, CEA section 8(a)(1) strictly prohibits the Commission, unless specifically

authorized by the CEA, from making public “data and information that would separately

disclose the business transactions or market positions of any person and trade secrets or

names of customers.”274 The Commission is also required to protect certain information

contained in a government system of records according to the Privacy Act of 1974.275

1. Revisions to Collection 3038-0096 (Swap Data Recordkeeping and Reporting 

Requirements)

The Commission proposes to revise collection 3038-0096 to account for changes 

proposed to the requirements in part 45 for reporting swap data to SDRs. Most of the 

estimated hours burdens and costs provided below would be in addition to or subtracted 

from the existing hours burdens and costs in collection 3038-0096, with the exception 

that the proposed § 45.10(d) notification requirements for changing SDRs would be a 

 274 7 U.S.C. 12(a)(1).

275 5 U.S.C. 552a.
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new burden within collection 3038-0096. As discussed in this section as well, the 

Commission is also proposing to update and correct some estimates in collection 3038-

0096.

a. Swap Creation Data Reporting Amendments

The Commission is proposing to amend § 45.3, which requires SEFs, DCMs, and 

reporting counterparties to report swap data to SDRs when entering into new swaps.

Some of these amendments will result in changes to the burden calculations. As an initial 

matter, the Commission is proposing to correct the “total annual burden hour cost of all 

responses” in the supporting statement from $7,248 (which was the total average hour 

burden cost per respondent) to $12,553,536.

The Commission estimates that SDRs, SEFs, DCMs, and reporting counterparties

would incur a one-time initial burden of 10 hours per entity to modify their systems to

adopt the changes described below, for a total estimated hours burden of 17,320 hours.

This burden should be mitigated by the fact that these entities currently have systems in

place to provide this information to the Commission. The Commission additionally

estimates 5 hours per entity annually to perform any needed maintenance or adjustments

to reporting systems.

Currently, § 45.3 requires SEFs, DCMs, and reporting counterparties to report 

confirmation data reports and PET data reports when entering into new swaps. The 

Commission is proposing to remove the requirement for SEFs, DCMs, and reporting 

counterparties to report confirmation data reports. These entities would report a single 

swap creation data report instead of separate PET data reports and confirmation data 

reports. As described above in section II.C.a, the Commission anticipates removing this 
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requirement will reduce the number of swap creation data reports being sent to SDRs. 

Commission staff estimates that across the range of entities, the change could result in a 

30% reduction in the number of swap creation data reports being sent to SDRs.

This change would not decrease the hourly burden, but would decrease the 

number of reports from 10,000 reports per 1,732 respondents to 7,000 reports per 

respondent, or a reduction of 5,196,000 reports in the aggregate.

The Commission is also proposing to remove the requirement for SEFs, DCMs,

and reporting counterparties to report TR identifiers and swap identifiers for international 

swaps. This proposed amendment would remove the requirement to report two pieces of 

information within a required swap creation data report, without impacting the number of 

reports themselves. The requirement to report swap identifiers is duplicative, and would 

not change the burden estimate, as SEFs, DCMs, and reporting counterparties are 

required to report swap identifiers for all swap pursuant to § 45.5. However, the removal 

of the requirement to report TR identifiers would slightly reduce the amount of time 

required to make each report, as SEFs, DCMs, and reporting counterparties would not 

need to report this information anymore. Therefore, the Commission estimates the 

removal of this requirement would lower the burden hours by .01 hour per report.

However, at the same time, the Commission is proposing to require the reporting 

of UTIs instead of USIs, which are currently being reported in every required swap 

creation data report. As described below in the section discussing amendments to § 45.5, 

as this information is reported in required swap creation data reports, the Commission 

estimates the new rules requiring SEFs, DCMs, SDRs, and reporting counterparties to

change from reporting USIs to UTIs would impact the burden calculations for § 45.3 by 
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increasing the burden hours by .01 hour per report. As a result, the Commission estimates 

there will be no change to the burden hours for § 45.3 required swap creation data 

reporting.

The new aggregate proposed estimate for § 45.3, as amended by the proposal is as 

follows:

Estimated number of respondents: 1,732

Estimated number of reports per respondent: 7,000

Average number of hours per report: .01

Estimated gross annual reporting burden: 121,240

b. Swap Continuation Data Reporting Amendments

The Commission is proposing to amend § 45.4, which requires reporting 

counterparties to report data to SDRs when swap terms change and daily swap valuation 

data. As an initial matter, the Commission is proposing to correct the estimated number 

of respondents in the supporting statement from 1,732 to 1,705, to reflect the fact that 

SEFs and DCMs do not report required swap continuation data under § 45.4.

The Commission estimates that SDRs and reporting counterparties would incur a 

one-time initial burden of 10 hours per entity to modify their systems to adopt the 

changes described below, for a total estimated hours burden of 17,050 hours. This burden 

should be mitigated by the fact that these entities currently have systems in place to 

provide this information to the Commission. The Commission additionally estimates 5 

hours per entity annually to perform any needed maintenance or adjustments to reporting 

systems.
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Currently, § 45.4 permits reporting counterparties to report changes to swap terms 

when they occur (life cycle reporting), or to provide a daily report of all of the swap 

terms (state data reporting). The Commission is proposing to remove the option for state 

data reporting. Reporting counterparties would report data to SDRs only when swap 

terms change. As discussed above in section II.D, the Commission believes this would 

significantly reduce the number of required swap continuation data reports being sent to 

SDRs. Commission staff estimates that across asset class for each respondent, the number 

of reports would decrease by approximately 50%, reducing the number of reports from 

207,543 reports per respondent to 103,772 reports per respondent, and a decrease of 

176,930,408 reports in the aggregate.

Currently, § 45.4 requires SD/MSP/DCO reporting counterparties to report 

valuation data for swaps daily, and non-SD/MSP/DCO reporting counterparties to report 

valuation data quarterly. The Commission is proposing to remove the requirement for 

non-SD/MSP/DCO reporting counterparties to report quarterly valuation data. For the 

1,585 non-SD/MSP/DCO reporting counterparties, the Commission believes this change 

would further reduce the number of required swap continuation data reports being sent by 

4 quarterly reports per 1,585 non-SD/MSP/DCO reporting counterparties, from 107,772 

reports per respondent to 97,431 reports per respondent, and a decrease of 6,340 reports 

in the aggregate.

Separately, the Commission is proposing to expand the daily valuation data 

reporting requirement for SD/MSP/DCO reporting counterparties to report margin and 

collateral data in addition to valuation data. The frequency of the report would not 

change, but the Commission expects SD/MSP/DCO reporting counterparties would 
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require more time to prepare each report. However, since all of this information is 

reported electronically, the Commission expects the increase per report to be small. The 

burden associated with these changes is anticipated to result in an increase from .003 to 

.004 hours per report, or 166,119 hours in the aggregate.

The estimated aggregate burden for swap continuation data, as amended by the 

proposal is as follows:

Estimated number of respondents: 1,705

Estimated number of reports per respondent: 97,431

Average number of hours per report: .004

Estimated gross annual reporting burden: 664,479

c. Unique Swap Identifiers

The Commission is proposing to amend § 45.5, which requires SEFs, DCMs, 

reporting counterparties, and SDRs to generate and transmit USIs. As an initial matter, 

the Commission is proposing to correct the estimated number of respondents and the 

estimated number of reports per each respondent. Currently, SDRs, SDs, MSPs, SEFs, 

and DCMs are required to generate USIs, but the Commission inadvertently had included 

the 1,585 non-SD/MSP/DCO reporting counterparties. The Commission is proposing to 

therefore update the number or respondents to 147 SDs, MSPs, SEFs, DCMs, DCOs, and 

SDRs. However, these entities generate USIs on behalf of non-SD/MSP/DCO reporting 

counterparties for all swaps, so the estimated number of reports per each respondents 

would increase to 115,646 reports per 147 respondents to account for the 17,000,000 new 

swaps reported each year with USIs.
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The Commission estimates that SDRs and reporting counterparties required to 

generate UTIs would incur a one-time initial burden of 1 hour per entity to modify their 

systems to adopt the changes described below, for a total estimated hours burden of 940 

hours. This burden should be mitigated by the fact that these entities currently have 

systems in place to provide this information to the Commission, and UTIs are, in most 

cases, less burdensome to generate than USIs. The Commission additionally estimates 1 

hour per entity annually to perform any needed maintenance or adjustments to reporting 

systems.

Currently, § 45.5 requires SDRs to generate and transmit USIs for off-facility 

swaps with a non-SD/MSP reporting counterparty. The Commission is proposing to 

amend § 45.5 to require non-SD/MSP/DCO reporting counterparties that are financial 

entities to generate and transmit UTIs for off-facility swaps. The Commission estimates 

that approximately half of non-SD/MSP/DCO reporting counterparties are financial 

entities. Therefore, the Commission estimates that the number of respondents would 

increase from 147 SDs, MSPs, SEFs, DCMs, DCOs, and SDRs to 940 with the addition 

of financial entities.

At the same time, however, this would lower the number of UTIs generated per 

respondent to account for the increase in the number of respondents generating UTIs. The 

Commission estimates the estimated number of reports per respondent would decrease 

from 115,646 reports from 147 respondents to 18,085 reports from 940 respondents.

The estimated aggregate burden for unique transaction identifiers, as amended by 

the proposal is as follows:

Estimated number of respondents: 940
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Estimated number of reports per respondent: 18,085

Average number of hours per report: .01

Estimated gross annual reporting burden: 169,999

d. Legal Entity Identifier Amendments

The Commission is proposing to amend § 45.6, which requires reporting entities 

to have LEIs. As an initial matter, the Commission is proposing to revise the burden 

estimate for § 45.6. LEIs are reported in required swap creation data and required swap 

continuation data reports, which are separately accounted for in the estimates for §§ 45.3 

and 45.4. The current estimate for § 45.6 double-counts the estimates for §§ 45.3 and 

45.4 by calculating the burden per data report. Instead, the burden for § 45.6 should be 

based on the requirement for each counterparty to obtain an LEI. The Commission is 

proposing to revise the estimate to state that there are 1,732 entities required to have one 

LEI per respondent, and revise the burden hours based on this change.276

Currently, § 45.6 requires all entities to have LEIs. The Commission is proposing 

to amend § 45.6 to require SDs, MSPs, SEFs, DCMs, DCOs, and SDRs to renew their 

LEIs annually. The proposed change would increase the hour burden for these entities, 

but would not affect the burden for the majority of entities required to have LEIs. 

Nonetheless, the Commission expects the burden associated with these changes is 

anticipated to result in an increase from .01 to .02 hours per report, and 17 hours in the 

aggregate.

 276 The Commission is similarly revising the estimate for § 45.7, which requires reporting counterparties to

use UPIs. Until the Commission designates a UPI, reporting counterparties use the product fields unique to

each SDR. As a result, until the Commission designates a UPI, the burden estimates for the product fields

are accounted for in §§ 45.3 and 45.4. To avoid double-counting until there is a UPI, the Commission is

proposing to remove the burden estimate for § 45.7 until the Commission designates a UPI.
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The estimated aggregate burden for LEIs, as amended by the proposal is as 

follows:

Estimated number of respondents: 1,732

Estimated number of reports per respondent: 1

Average number of hours per report: .02

Estimated gross annual reporting burden: 35

e. New Notifications for Changing SDRs

The Commission is proposing amendments to § 49.10(d) to require reporting 

counterparties to notify SDRs and non-reporting counterparties if they change the SDR to 

which they report swap data and swap transaction and pricing data. This is a new burden

that is not covered in the collection. Reporting counterparties would be required to send 

notifications to non-reporting counterparties and SDRs if they elect to change the SDR to 

which they report data pursuant to parts 43 and 45.

The Commission believes this would not require reporting counterparties or SDRs 

to build any new systems or update technology. Reporting counterparties would continue 

to report, and SDRs would continue to accept, swap data according to current processes 

and infrastructures. The Commission estimates that no more than 15 reporting 

counterparties would choose to change the SDR to which they report data.

The burden applicable to reporting counterparties is estimated as follows:

Estimated number of respondents: 15

Estimated number of reports per respondent: 1

Average number of hours per report: .01

Estimated gross annual reporting burden: .15
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2. Revisions to Collection 3038-0086 (Swap Data Access Provisions of Part 49 and 

Certain Other Matters)

a. SDR Withdrawal from Registration Amendments

The Commission is proposing to amend § 49.4, which requires SDRs to follow 

certain requirements when withdrawing from registration with the Commission. These 

requirements involve filing paperwork with the Commission. The Commission does not 

believe these changes would require any one-time or ongoing system updates for SDRs.

Currently, § 49.4 requires that a request to withdraw specify, among other items, a 

statement that the custodial SDR is authorized to make such data and records available in 

accordance with § 1.44 of the Commission’s regulations. The Commission is proposing 

to remove this requirement from § 49.4 because § 1.44 does not apply to SDRs or swap 

data. Currently, § 49.4(a)(2) requires that prior to filing a request to withdraw, a 

registered SDR shall file an amended Form SDR to update any inaccurate information. 

The proposal would eliminate the requirement for SDRs to file an amended Form SDR 

prior to filing a request to withdraw. The burden associated with these changes to the 

paperwork requirements for an SDR withdrawing from registration would result in a 

decrease of 5 hours per report.

However, separately, the Commission is proposing amendments to § 49.4(a)(2) to 

require SDRs to execute an agreement with the custodial SDR governing the custody of 

the withdrawing SDR’s data and records prior to filing a request to withdraw with the 

Commission. The Commission believes this is current practice for SDRs, yet it would 

nonetheless be a new requirement. As a result, the Commission believes this would result 

in an increase of 5 hours per report for a withdrawing SDR.
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Overall, the proposed amendments to § 49.4 result in no change to the estimated 

burdens for § 49.4.

The estimated aggregate burden for requirements for withdrawing from SDR 

registration, remains as follows:

Estimated number of respondents: 1

Estimated number of reports per respondent: 1

Average number of hours per report: 40

Estimated gross annual reporting burden: 40

b. SDR Data Validation Requirement Amendments

The Commission is proposing to amend § 49.10, which provides the requirements 

for SDRs in accepting SDR Data. As an initial matter, the Commission notes that the 

burden estimate for § 49.10 already accounts for the messages SDRs send and receive in 

accepting swap data.

The Commission estimates that SDRs would incur a one-time initial burden of 

100 hours per entity to modify their systems to adopt the changes described below, for a 

total estimated hours burden of 300 hours. This burden should be mitigated by the fact 

that these entities currently have systems in place to validate data that each SDR takes in. 

The Commission additionally estimates 100 hours per entity annually to perform any 

needed maintenance or adjustments to reporting systems.

Currently, § 49.10(a) requires SDRs to accept and promptly record all swap data. 

In the 2019 Part 49 NPRM, the Commission proposed amending the requirements in § 

49.10 by detailing separate § 49.10(e) requirements for correcting swap errors. In this 

release, the Commission is proposing separate § 49.10(c) requirements for validating 
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swap messages. This proposal would further specify that SDRs must send validation 

acceptance and rejection messages after validating SDR data. The Commission believes 

this would increase the number of reports SDRs would need to send reporting entities.

The current burden estimate for § 49.10, which right now includes § 49.10(a), estimates 

each SDR sends 5,652,000 messages, for a total of almost 17,000,000. This estimate 

includes the 2,626,000 messages the Commission estimates SDRs would be required to 

send to process swap corrections. The Commission believes this burden was estimated 

correctly in the 2019 Part 49 NPRM and already accurately accounts for the validation 

messages proposed in § 49.10(c).

The estimated aggregate burden for requirements for validating SDR Data, 

remains as follows:

Estimated number of respondents: 3

Estimated number of reports per respondent: 5,652,000

Average number of hours per report: .00055

Estimated gross annual reporting burden: 9,750

3. Revisions to Collection 3038-0089 (Pre-Enactment Swaps and Transition Swaps)

Current § 46.11 provides that for pre-enactment or transition swaps for which part 

46 requires reporting of continuation data, reporting counterparties reporting state data as 

provided in part 45 may fulfill the requirement to report errors or omissions by making 

appropriate corrections in their next daily report of state data pursuant to part 45. Since 

the Commission is proposing to remove this requirement from § 45.4, the Commission is 

also proposing to remove the option for state data reporting from § 46.11.
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The Commission does not believe this proposed amendment would require any 

system updates by SDRs or reporting counterparties. To the extent they did, these updates 

would be covered under the estimates above for entities making updates to comply with 

the change proposed in § 45.4.

The Commission believes the proposed change would reduce the number of 

continuation data reports reporting counterparties send SDRs for historical swaps by 

50%. The Commission has not previously calculated the burden estimates for part 46 by 

regulatory requirement. As such, the Commission now estimates that to comply with 

proposed amended § 46.11, the 500 SD, MSP, and non-SD/MSP reporting counterparties 

that the Commission estimates are reporting historical swaps would each report 200 

reports with an average burden of .01 hours per report, for a burden of 2 hours per 

respondent or 1,000 burden hours in the aggregate.

The estimated aggregate burden for requirements for reporting continuation data 

for historical swaps would be as follows:

Estimated number of respondents: 500

Estimated number of reports per respondent: 200

Average number of hours per report: .01

Estimated gross annual reporting burden: 1,000

Request for Comment

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:
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1. evaluating whether the proposed collection of information is necessary for the

proper performance of the 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

registered entities, 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
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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

Since issuing the first swap reporting rules in 2012, the Commission has gained a

significant amount of experience with swaps markets and products based on studying and

monitoring data reported to SDRs.277 As a result of this work, the Commission has also

identified areas for improvement in the current swap data reporting rules. Current

limitations with the regulations have, in some cases, encouraged the reporting of swap

data in a way that has made it difficult for the Commission to aggregate and analyze. As a

result, the Commission is proposing a number of rule amendments intended to improve

data quality and standardization to achieve the G20 goal for trade reporting to improve

transparency, mitigate systemic risk, and prevent market abuse.278

 277 The Commission has used swap data in various rulemakings, research, and reports. See, e.g.,

“Introducing ENNS: A Measure of the Size of Interest Rate Swap Markets,” Haynes R., Roberts J. Sharma

R., and Tuckman B., January 2018; CFTC Weekly Swaps Report, available at

www.cftc.gov/MarketReports/SwapsReports/index.htm.

278 See https://www.treasury.gov/resource-center/international/g7-

g20/Documents/pittsburgh_summit_leaders_statement_250909.pdf.
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While the Commission believes the proposed amendments would create

meaningful benefits for market participants, SDRs, and the public, these changes could

also result in costs. 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.279 Section 15(a) further specifies that the costs and benefits shall

be evaluated in light of five broad areas of market and public concern: (1) protection of

market participants and the public; (2) the efficiency, competitiveness and financial

integrity of markets; (3) price discovery; (4) sound risk management practices; and (5)

other public interest considerations.280 The Commission considers the costs and benefits

resulting from its discretionary determinations with respect to the section 15(a) factors.

In this release, the Commission is proposing revisions to existing regulations in

parts 45, 46, and 49. The Commission also is proposing new requirements in parts 45, 46,

and 49. Together, these proposed revisions and additions are intended to further specify

and streamline swap data reporting workflows and to improve the quality of data

reporting generally. It is important to note that most of these regulatory changes are being

made to existing systems and processes, therefore nearly all costs considered are

incremental additions or updates to systems already in place. Some of the proposed

amendments are substantive. A number of amendments, however, are non-substantive or

technical, and therefore are not expected to have material cost-benefits implications.281

 279 7 U.S.C. 19(a)(1). 280 7 U.S.C. 19(a)(2). 281 The Commission believes there are no cost-benefit implications for amendments proposed to §§ 45.1,

45.2, 45.7, 45.8, 45.9, 45.11, 45.15, 46.1, 46.2, 46.4, 46.5, 46.8, 46.9, and 49.2.
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The changes proposed in this release that would result in costs to implement are in

many cases intended to harmonize the Commission’s reporting regulations with those of

other regulators where doing so will not impact the Commission’s ability to fulfill its

regulatory mandates. As the FSB and CPMI-IOSCO harmonization efforts have

incorporated many rounds of industry feedback and the Commission has been vocal

about its support and participation,

282 the Commission expects that many market

participants have, to the extent possible, been planning and preparing for system updates

to accommodate these important changes in the most efficient, cost-effective manner.

The Commission notes that many jurisdictions have committed to these

harmonization efforts for which the Commission is proposing adopting standards in this

NPRM. If the Commission did not adopt these standards, but other jurisdictions do

according to the implementation deadlines recommended by the FSB, unnecessary costs

could be created by SDRs and reporting entities having to maintain unharmonized

reporting infrastructures for CFTC reporting while other jurisdictions harmonize and

recognize efficiencies from harmonization.

To the extent costs and benefits are reasonably quantifiable, they are discussed

below in this section; where they are not, they are discussed qualitatively. Throughout

this release, the Commission has used the swap data currently available to estimate the

expected quantifiable cost-benefit impact of proposed changes on certain types of

registrants, such as the extent of state data reporting and duplicative creation data reports.

 282 See, e.g., https://www.cftc.gov/PressRoom/SpeechesTestimony/opagiancarlo50 (“I believe the CFTC

needs to be a leading participant in IOSCO and other international bodies. The CFTC currently chairs the

following international committees and groups and serves as a member of many other ones: ... Co-Chair,

CPMI-IOSCO Data Harmonization Group[, and] Co-Chair, FSB Working Group on UTI and UPI

Governance”).
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Most of the changes proposed in this release alter reporting requirements for reporting

counterparties, SDRs, SEFs, and DCMs. As a result, there will likely be some

quantifiable costs related to either: (a) creating new data reporting systems; (b) reprogramming data reporting systems to meet the new reporting requirements; or (c)

cancelling data streams, which might lead to archiving data and maintaining legacy

systems.

These costs are quantifiable to the extent reporting entities covered by the

proposed regulations are able to price-out the changes to the IT architecture to meet the

reporting requirement changes. These quantifiable costs, however, will likely vary

because reporting entities vary in terms of the sophistication of their data reporting

systems. For example, some reporting entities operate their own data reporting systems

where they employ in-house developers and analysts to plan, design, code, test, establish,

and monitor systems. Other reporting entities pay fees to third-party vendors who handle

reporting obligations. Because reporting systems differ, the Commission recognizes that

the quantitative costs associated with these proposed reporting rules in this release will

vary depending on the reporting entities’ operations and number of swaps that they

execute.

Given this understanding, the Commission has tried to provide a monetary range

for quantifiable costs as they relate to each proposed reporting change discussed below.

The Commission also specifically requests comments to help quantify the costs of

changes to reporting systems and infrastructures that would be required to comply with

the regulatory changes proposed in this rulemaking.
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This consideration of costs and benefits is based on the understanding that the

swaps market functions internationally. Many swaps transactions involving U.S. firms

occur across international borders, and some Commission registrants are organized

outside of the U.S., including many SDs. Many of the largest market entities often

conduct operations both within and outside the U.S. Where the Commission does not

specifically refer to matters of location, the discussion of costs and benefits refers to the

proposed rules’ effects on all swaps activity, whether by virtue of the activity’s physical

location in the U.S. or by virtue of the activity’s connection with or effect on U.S.

commerce under CEA section 2(i).283

2. Background

The Commission has issued several rulemakings related to swaps reporting and,

in those, considered the benefits and costs.284 Among others, the Commission has

generally identified benefits such as increased transparency to both the marketplace and

to regulators; improved regulatory understanding of risk distributions and concentrations

in derivatives markets; more effective monitoring of risk profiles by regulators and

regulated entities through the use of unique identifiers; improved regulatory oversight,

 283 See 7 U.S.C. 2(i). CEA section 2(i) limits the applicability of the CEA provisions enacted by the DoddFrank Act, and Commission regulations promulgated under those provisions, to activities within the U.S.,

unless the activities “have a direct and significant connection with activities in, or effect on, commerce of

the [U.S.]; or contravene such rules or regulations as the Commission may prescribe or promulgate as are

necessary or appropriate to prevent the evasion of any provision of [the CEA] enacted by [Dodd-Frank

Act].” Application of section 2(i)(1) to the existing regulations under part 45 with respect to SDs/MSPs and

non-SD/MSP counterparties is discussed in the Commission’s Interpretive Guidance and Policy Statement

Regarding Compliance With Certain Swap Regulations, 78 FR 45292 (July 26, 2013). 284 In 2021, the Commission provided a detailed cost-benefit discussion on its final swap reporting rules to

ensure that market participants reported cleared and uncleared swaps to SDRs. See 77 FR at 2176-2193. In

2012, the Commission also issued final rules for reporting pre-enactment and transition swaps. See

generally Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition Swaps,

77 FR 35200 (June 12, 2012). In 2016, the Commission amended its regulations to clarify the reporting

obligations for DCOs and swap counterparties with respect to cleared swaps. See generally Amendments to

Swap Data Recordkeeping and Reporting Requirements for Cleared Swaps, 81 FR 41736 (June 27, 2016).
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and more robust data management systems.285 The Commission also identified two main

areas where costs may be incurred: recordkeeping and reporting.286

Since establishing swap data reporting requirements, the Commission gained

experience with swap data reported to, and held by, SDRs. Based on this experience,

along with extensive feedback received from market participants, the Commission

believes that improving data quality would significantly enhance the data’s usefulness,

allow the Commission to realize the objectives of the original rule (e.g., market risk

monitoring in furtherance of the G20 commitments discussed above), but also reduce the

burden on reporting entities and SDRs through harmonizing, streamlining and clarifying

data requirements. In this release, the Commission has focused on the swap data

reporting workflows, the swap data elements reporting counterparties report to SDRs, and

the validations SDRs apply to help ensure the swap data they receive is accurate. The

Commission is also proposing to modify a number of other regulations for clarity and

consistency.

Prior to discussing the proposed rule changes, the Commission describes below

the current environment that would be impacted by these changes. Three SDRs are

currently provisionally registered with the Commission: CME, DDR, and ICE. The

changes proposed should apply equally to all three SDRs.

The current reporting environment also involves third-party service providers.

These entities assist market participants with fulfilling the applicable data reporting

requirements, though the reporting requirements do not apply to third-party service

 285 See, e.g., 77 FR at 2176-2193; 77 FR at 35217-35225; 81 FR at 41758-41770. 286 See, e.g., id.
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providers directly. From looking at current data, the Commission estimates that thirdparty service providers do not account for a large portion of the overall record

submissions to SDRs, but provide an important service for firms that choose to outsource

their reporting needs.

Finally, the current reporting environment depends on reporting counterparties

that report swap data to SDRs. The Commission currently estimates reporting

counterparties include 107 provisionally-registered SDs, 24 SEFs, 3 DCMs, 14 DCOs,

and 1,585 non-SD/MSP/DCO reporting counterparties. There is considerable variation

within each of these reporting counterparty types as to size and swaps market activity.

The Commission understands that most SDs and nearly all SEFs, DCMs, DCOs, and

SDRs have sophisticated technology dedicated to data reporting because of the frequency

with which they either enter into or facilitate the execution of swaps, or accept swap data

from reporting entities. The Commission also believes that these entities have greater

access to resources to update these systems as regulatory requirements change. Further,

the Commission’s data analysis implies that much of the cost and benefit of the proposed

changes will be incurred by SDs—the most sophisticated participants in the market with

the most experience reporting under the E.U. and U.S. reporting regimes—that accounted

for over 70% of records submitted to SDRs in December 2019.287

As to non-SD/MSP/DCO reporting counterparties—a category accounting for a

small fraction of SDR reports—the Commission believes there is wide variation in the

reporting systems maintained by and resources available to them. Many of these

 287 Analyzing SDR data from December 2019, CFTC staff found over 70% of all records submitted to the

SDRs came from SDs. Between 15% and 20% came from DCOs, 4% came from SEFs, and the remaining

came from non-SD reporting counterparties.
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reporting counterparties are large, sophisticated financial entities, including banks, hedge

funds, and asset management firms that the Commission believes have devoted resources

and systems similar to those available to SDs, SEFs, DCMs, DCOs, and SDRs. However,

the Commission recognizes that a significant number of these reporting counterparties are

smaller, less-sophisticated swap end-users entering into swaps less frequently to hedge

commercial risk.

For these entities, for which the Commission has a significant interest in ensuring

access to the U.S. swaps market without unnecessary costs or burdens, the Commission

has difficulty accurately estimating the cost impact of the changes to its regulations

proposed in this NPRM. The challenge stems from the wide range of complexity firms in

this group face in their reporting burdens—a large asset manager with billions of dollars

in assets under management and a large swaps portfolio could have a reporting system as

complex and sophisticated as an SD while a small hedge fund with a limited swaps

portfolio might rely on third-party providers to handle its reporting obligations.

As discussed in the Roadmap, the Commission is in the process of improving data

reporting requirements, including modifying the requirements to be more specific and

more consistent with other regulators’ requirements. The amendments proposed in this

rulemaking are one part of this larger effort to ensure that better-quality data is available

to market participants and the Commission.

Current regulations have led to swap data reports that do not fully meet the

Commission’s needs for data quality. For example, the current appendix to part 45

provides no standards, formats, or allowable values for the swap data that reporting

counterparties report to SDRs and there is no technical specification or other guidance
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associated with the current rule. Since the industry has not identified a standard for all

market participants to use, market participants have reported information in many

different ways, often creating difficulties in data harmonization, or even identification,

within and across SDRs.

It is not uncommon for Commission staff to find discrepancies between open

swaps information available to the Commission and swap transaction data reported for

the same swaps. In the processing of swap data to generate the CFTC’s Weekly Swaps

Report,288 for example, there are instances when the notional amount differs between the

Commission’s open swaps information and the swap transaction data reported for the

same swap. While infrequent errors can be expected, the wide variation in standards

among SDRs has increased the challenge of swap data analysis and often has required

significant data cleaning and data validation prior to any data analysis effort. This has

meant that the Commission has, in some but not all cases, determined that certain data

analyses were not feasible, harming its ability to oversee market activity.

In addition to the lack of standardization across SDRs, the Commission is

concerned that the current timeframes for reporting swap data may have contributed to

the prevalence of errors. Common examples of errors include incorrect references to

underlying currencies, such as a notional value incorrectly linked to U.S. dollars instead

of Japanese Yen. Among others, these examples strongly suggest a need for standardized,

validated swap data as well as additional time to review the accuracy of the data report.

 288 See CFTC’s Weekly Swaps Report, available at

https://www.cftc.gov/MarketReports/SwapsReports/index.htm.
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Based on its experience with data reporting, the Commission believes that certain

regulations, particularly in parts 45, 46, and 49, should be amended to improve swap data

accuracy and completeness. This release also includes one amendment to part 49 to

improve the process for an SDR’s withdrawal from registration. Many of the proposed

regulations have costs and benefits that must be considered. These will be discussed

individually below.

For each proposed amendment discussed below, the Commission summarizes the

changes,289 and identifies and discusses the costs and benefits attributable to the proposed

changes. Since many of the changes require technical updates to reporting systems, where

significant, CFTC staff estimated the hourly wages market participants will likely pay

software developers to implement each change to be between $47 and $100 per hour.290

Relevant amendments below will list a low-to-high range of potential cost as determined

by the number of developer hours estimated by technical subject matter experts (“SMEs”)

in the Commission’s Office of Data and Technology; amendments where this type of cost

estimate is not relevant will not. Finally, the Commission considers the costs and benefits

 289 As described throughout 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. Non-substantive amendments of this nature may be described in the costbenefit portion of this release, but the Commission will note that there are no costs or benefits to consider.

290 Hourly wage rates came from the Software Developers and Programmers category of the May 2018

National Occupational Employment and Wage Estimates Report produced by the U.S. Bureau of Labor

Statistics, available at https://www.bls.gov/oes/current/oes_nat.htm. The 25th percentile was used for the

low range and the 90th percentile was used for the upper range ($36.07 and $76.78, respectively). Each

number was multiplied by an adjustment factor of 1.3 for overhead and benefits (rounded to the nearest

whole dollar) which is in line with adjustment factors the CFTC has used for similar purposes in other final

rules adopted under the Dodd-Frank Act. See, e.g., 77 FR at 2173 (using an adjustment factor of 1.3 for

overhead and other benefits). These estimates are intended to capture and reflect U.S. developer hourly

rates market participants are likely to pay when complying with the proposed changes. We recognize that

individual entities may, based on their circumstances, incur costs substantially greater or less than the

estimated averages and encourage commenters to share relevant cost information if it differs from the

numbers reported here.
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of all of the proposed rules jointly in light of the five public interest considerations in

CEA section 15(a).

3. Baselines

There are multiple baselines for the costs and benefits that might arise from the

proposed regulations in this release. The Commission believes that the baseline for the

proposed amendments to §§ 45.3, 45.4, 45.5, 45.6, 45.10, 45.12, 45.13, 46.3, 46.10,

46.11, and 49.4 are the current regulations, as discussed above in sections II, III, and IV.

The baseline for proposed § 49.10 is current practice, which is that SDRs may be

performing validations according to their own specifications, as discussed above in

section IV.C.

4. Costs and Benefits of Proposed Amendments to Part 45

a. § 45.3 – Swap Data Reporting: Creation Data

The Commission is proposing to amend § 45.3 to: (i) remove the requirement for

SEFs, DCMs, and reporting counterparties to report separate PET and confirmation data

reports; (ii) extend the deadline for reporting required swap creation data and allocations

to T+1 or T+2, depending on the reporting counterparty; (iii) remove the requirement for

SDRs to map allocations; and (iv) remove the international swap reporting requirements.

The Commission believes: (i) reporting a single required creation data report

would reduce complexity for reporting counterparties, as well as for the Commission; (ii)

extending the deadline to report required swap creation data and allocations would

improve data quality without impacting the Commission’s ability to perform its

regulatory responsibilities; (iii) the requirements for SDRs to map allocations and the

international swap requirements are unnecessary.
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(A) Costs and Benefits

Requiring a single confirmation data report for SEFs, DCMs, and reporting

counterparties would benefit SDRs, SEFs, DCMs, and reporting counterparties by

reducing the number of swap data reports being sent to and stored by SDRs. Extending

the deadline to report required swap creation data would benefit SDRs, SEFs, DCMs, and

reporting counterparties by giving SEFs, DCMs, and reporting counterparties more time

to report swap data to SDRs, likely reducing the number of errors SDRs would need to

follow-up on with reporting entities. Since reporting data ASATP requires reporting

systems to monitor activity and report in real-time, the proposed time will also benefit

SDRs, SEFs, DCMs, and reporting counterparties by allowing them to implement a

simpler data reporting workflow that assembles and submits data once per day.

Removing the requirements to map allocations and international swaps would

benefit SDRs by removing the need to manage separate processes to maintain this

information. In addition, SEFs, DCMs, and reporting counterparties would benefit from

reporting allocations directly via swap data reporting, and would no longer have to report

information about international swaps that would be rendered unnecessary given the UTI

standards.

The initial cost of updating systems to adopt the changes proposed in § 45.3, as

well as reporting-related changes that will be discussed below, are expected to be small.

The Commission expects that many SEFs, DCMs, and reporting counterparties have

systems designed to report swap data to SDRs ASATP after execution, as well as systems

that report separate PET and confirmation swap reports as well as information about

international swaps. SDRs likewise have systems to accept both PET and confirmation
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swap data reports, possibly separate or combined, as well as systems to map allocations

and intake information about international swaps.

In both cases, this is a reduction in complexity and software functionality.

Reporting counterparties no longer have to generate and submit multiple messages, which

will require limited cost and effort to implement. SDRs will also require few, if any,

updates to ingest fewer messages.

The Commission expects costs associated with the changes proposed in this

release would be further mitigated by the fact that they involve updates to current

systems, rather than having to create new reporting systems as most firms had to do when

ESMA and the CFTC first required swaps reporting. CFTC SMEs estimate the cost of

these changes to be small, but not zero for large reporting entities and SDRs due to the

reduction in complexity and system features. However, over time, after these one-time

system updates are implemented, the Commission expects SDRs, SEFs, DCMs, and

reporting counterparties would recognize significant benefits through reduced costs and

complexity associated with reporting streamlined data to SDRs over an extended time

frame.

The Commission preliminarily believes that on balance the expected benefits

justify the proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 45.3. Are there additional costs or benefits that the

Commission should consider that have not yet been highlighted? Commenters are

encouraged to include both qualitative and quantitative assessments of these benefits.
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Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments? Specific areas of interest

include the following:

(38) The Commission has noted benefits of providing extended timeframes for

regulatory reporting, including improved data quality and reduced number of reports for

SDRs to maintain. Are there additional benefits the Commission has not identified given

the revised structure? Are these benefits likely to be especially notable for certain types

of reporting entities?

(39) The Commission has noted that the revised reporting framework should, over time

and after initial outlays, reduce costs for all reporting entities, given the ability of an

entity to retain but update their current reporting systems. Are there costs the

Commission has not anticipated in these revisions? Are there specific types of reporters

that are more likely to adjust their current reporting systems? What would be the reason

for these adjustments, and the costs/benefits associated with these adjustments?

(40) The Commission has outlined two revised reporting frameworks, depending on the

type of the reporting entity (e.g., T+1 for SDs, MSPs and DCOs). Does this division into

two reporting categories make sense given the current or anticipated reporting systems of

the entities? Would reporting be improved if any entity types were moved from one to the

other category?

(41) The Commission requests comment on the range of costs SDRs, SEFs, DCMs,

DCOs, SDs, MSPs, and non-SD/MSP/DCO reporting counterparties would have to spend

to comply with the amendments proposed in § 45.3.

b. § 45.4 – Swap Data Reporting: Continuation Data
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The Commission is proposing to amend § 45.4 to: (i) remove the option for

reporting counterparties to report state data as required swap continuation data; (ii)

extend the deadline for reporting required swap continuation data to T+1 or T+2,

depending on the reporting counterparty; (iii) remove the requirement for nonSD/MSP/DCO reporting counterparties to report valuation data quarterly; and (iv) require

SD/MSP/DCO reporting counterparties to report margin and collateral data daily.

The Commission believes: (i) removing the option for state data reporting would

reduce the number of messages being sent to and stored by SDRs; (ii) extending the

deadline to report required swap continuation data would improve data quality without

impacting the Commission’s ability to perform its regulatory responsibilities; (iii)

removing the valuation requirement for non-SD/MSP/DCO reporting counterparties

would reduce burdens for these counterparties, which tend to be smaller and less-active in

the swaps market, without sacrificing any important information; and (iv) requiring

SD/MSP/DCO reporting counterparties to report margin and collateral daily is essential

for the Commission to monitor risk in the swaps market.

(A) Costs and Benefits

Removing state data reporting would benefit reporting counterparties by

significantly reducing the number of messages they report to SDRs. Relatedly, this would

benefit SDRs by significantly reducing the number of messages they need to ingest,

validate, process, and store In 2019, CFTC staff estimates that the Commission received

over 557,000,000 swap messages from CME, DDR, and ICE. Staff analysis from

December 2019 showed over 50% of all records submitted were state data messages.
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Extending the deadline to report required swap continuation data would benefit

SDRs and reporting counterparties by likely reducing the number of errors SDRs would

need to notify reporting counterparties about. Removing the requirement for nonSD/MSP/DCO reporting counterparties to report quarterly valuation data would reduce

reporting costs for these estimated 1,585 counterparties, which tend to be smaller and

less-active in the swaps market. Because these entities are small relative to the swaps

market as a whole, the lack of quarterly valuation data is not anticipated to greatly inhibit

the market oversight responsibilities of the Commission. Requiring SD/MSP/DCO

reporting counterparties to report margin and collateral daily would benefit the swaps

market by improving the Commission’s ability to monitor risk in the swaps market,

particularly for uncleared swaps. Because current part 45 reports do not include collateral

information, the Commission is often able to identify the level of risk inherent to a swap

(or set of swaps), but not fully understand the amount of collateral protection a

counterparty holds to mitigate this risk.

The initial costs of updating systems to adopt the changes proposed in § 45.4 are

expected to range from low for many impacted parties to moderate for others, and would

be offset by the lessened reporting burden. For instance, the Commission understands that

many reporting counterparties already have systems designed to report swap data,

including snapshot data, to SDRs according the current timelines – extending the timeline

for reporting reduces the complexity of the reporting system and removing a message

type that accounts for over 50% of the existing message traffic is a significant reduction

in reporting burden. SDRs likewise have systems to accept snapshot data which would
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require minimal updates (based on the experience of CFTC SMEs with similar systems)

and reduced data storage costs.

Non-SD/MSP/DCO reporting counterparties would need to update their systems

to stop sending valuation data to SDRs. In contrast, SD/MSP/DCO reporting

counterparties would need to program systems to begin reporting margin and collateral

data in addition to current valuation data. The T+1 reporting timeline greatly mitigates

this cost by allowing end-of-day data integration and validation processes, which

according to CFTC SMEs and staff conversations with industry participants provides

flexibility in exactly how and when system resources are used to produce the reports and

better aligns trade and collateral and margin data reporting streams.

Additionally, over time, after these one-time system updates, the Commission

expects SDRs, SEFs, DCMs, and reporting counterparties would recognize the full

benefits of the reduced costs associated with reporting streamlined data to SDRs in a

more reasonable time frame. While the Commission understands reporting margin and

collateral data to SDRs could involve considerable expense for the estimated 121

SD/MSP/DCO reporting counterparties, the Commission notes that ESMA currently

requires the reporting of much of the same information to E.U.-registered TRs. The

Commission expects this to mitigate the costs for SDRs that serve multiple jurisdictions.

The Commission expects this could also mitigate the costs for most of the 121

SD/MSP/DCO reporting counterparties given that they are likely active in the European

swap markets and thus already fall under similar requirements. The Commission also

expects that, for the other relevant reporting entities, collateral and margin information is

already known by the entity. The primary cost would be in integrating existing collateral
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data streams into SDR reporting workflows. CFTC SMEs estimate the cost of these

changes to be small to moderate for large reporting entities and SDRs due to the

reduction in complexity and system features, as well as the extended timeline to integrate

potentially disparate data streams.

The Commission preliminarily believes that on balance the expected benefits

justify the proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 45.4, given that there might be different transaction

reporting and risk reporting systems. Are there additional costs or benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments? Specific areas of interest

include the following:

(42) The Commission requests comment on the range of costs SDRs, SEFs, DCMs,

DCOs, SDs, MSPs, and non-SD/MSP/DCO reporting counterparties would have to spend

to comply with the amendments proposed in § 45.4.

c. § 45.5 – Unique Swap Identifiers

The Commission is proposing to amend § 45.5 to: (i) require reporting

counterparties use UTIs instead of USIs for new swaps; (ii) require SD/MSP entities that

are financial entities to generate UTIs for off-facility swaps; and (iii) permit non-
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SD/MSP/DCO reporting counterparties that are not financial entities to ask their SDR to

generate UTIs for swaps.

In general, as described in section II.E, the Commission believes transitioning to

the globally-standardized UTI system will benefit SDRs, SEFs, DCMs, and reporting

counterparties by reducing the complexity associated with reporting swaps to or in

multiple jurisdictions.

(A) Costs and Benefits

The Commission believes that proposed § 45.5 would benefit SDRs by providing

one standard that multiple regulators should adopt to reduce the burdens associated with

multiple jurisdictions with different, and possibly conflicting, standards. The Commission

believes that requiring SD/MSP and financial entity reporting counterparties to generate

UTIs for off-facility swaps would benefit non-financial entities by reducing the frequency

with which they would be responsible for UTI generation, as compared to the current

frequency with which they generate USIs.

The Commission believes permitting non-SD/MSP/DCO reporting counterparties

that are not financial entities to ask their SDR to generate UTIs for swaps would benefit

smaller, less-active swaps market participants by relieving them of the burden to create

UTIs. While non-financial entities account for a small portion of total swaps traded as

noted above, this group is mostly comprised of end-users that often don’t maintain

systems that automatically generate UTIs. Therefore, this group will benefit

proportionally more from this change.

Permitting these reporting counterparties to ask the SDRs to generate UTIs would

maintain, but lower, an ancillary cost for the three SDRs that are currently required to
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generate USIs for non-SD/MSP/DCO reporting counterparties. The Commission believes

that giving these reporting counterparties, which should be a minority of the 1,585 nonSD/MSP reporting counterparties, the option, rather than a mandate, strikes the

appropriate balance between avoiding undue costs for SDRs and significant burdens for

the least-sophisticated market participants.

In general, the Commission expects the initial costs of updating systems to adopt

UTIs could be significant. For instance, the Commission expects that reporting

counterparties and SDRs have systems that create, report, accept, validate, process, and

store USIs. CFTC SMEs estimate the cost of these changes to be small for large reporting

entities and small to moderate for SDRs. However, over time, after these one-time system

updates, the Commission expects market participants would recognize the full benefits of

the reduced costs associated with reporting a globally-standardized UTI.

In addition, the Commission understands that ESMA already mandates UTIs. The

Commission expects that this should mitigate burdens for SDRs serving multiple

jurisdictions as well as reporting counterparties active in the European markets since they

have likely already updated their systems to meet the European standards.

The Commission preliminarily believes that on balance the expected benefits

justify the proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 45.5. Are there additional costs or benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these benefits.
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Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

d. § 45.6 – Legal Entity Identifiers

The Commission is proposing to amend § 45.6 to: (i) require SDs, MSPs, DCOs,

SEFs, DCMs, and SDRs to maintain and renew LEIs; (ii) required registered entities and

financial entities to obtain LEIs for swap counterparties that do not have one; and (iii)

update unnecessary and outdated regulatory text. The Commission believes accurate LEIs

are essential for the Commission to use swap data to fulfill its regulatory responsibilities.

(A) Costs and Benefits

Mandating LEI renewal will benefit the swaps market by improving the

Commission’s ability to analyze activity in the swaps market. Reference data provides

valuable identification and relationship information about swap counterparties. Accurate

reference data allows for robust analysis of swaps risk concentration within and across

entities, as well as a way to identify the distribution or transfer of risk across different

legal entities under the same parent. The Commission also believes accurate reference

data is essential for it to satisfy its regulatory responsibilities because it clearly identifies

entities involved in the swaps market, as well as how these entities relate to one another –

both key requirements for monitoring systemic risk and promoting fair and efficient

markets. In addition, LEIs have already been broadly adopted in swaps markets and their

widespread use has shown promise by reducing ambiguity engendered by market

participants previously using a variety of non-standard reporting identifiers.

However, the Commission recognizes LEI renewals impose some costs.

Currently, the Commission understands that LEI renewals cost each holder $50 per year.
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To limit burdens for counterparties that are smaller or less-active in the swaps market, the

Commission has proposed limiting the renewal requirement to the estimated 151 SDs,

MSPs, SEFs, DCMs, DCOs, and SDRs, resulting in an aggregate cost of approximately

$7,550 for this requirement. The Commission believes the activities of these entities have

the most systemic impact on the Commission’s ability to fulfill its regulatory mandates

and thus warrant this small additional cost.

Requiring each DCO and financial entity reporting counterparty to obtain an LEI

for their counterparties that do not have LEIs would both further the Commission’s

objective of monitoring risk in the swaps market and incentivize LEI registration for

counterparties that have not yet obtained LEIs. However, the Commission recognizes this

requirement imposes some costs either on the entity obtaining an LEI for its counterparty,

or the entity incentivized to register on its own.

The number of current swap counterparties without LEIs is difficult to estimate

because of the lack of standardization of non-LEI identifiers. The Commission cannot

therefore determine whether non-LEI identifiers represent an entity that has already been

assigned an LEI or whether two non-LEI identifiers are two different representations of

the same entity. However, the Commission expects the number of counterparties

currently without LEIs to be small, given the results of an analysis of swap data from

December 2019 that showed 90% of all records reported had LEIs for both

counterparties. More generally, any swap data that does not identify eligible

counterparties with an LEI hinders the Commission’s fulfillment of its regulatory

mandates, including systemic risk monitoring.
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The Commission preliminarily believes that on balance the expected benefits

justify the proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 45.6. Are there additional costs or benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments? Specific areas of interest

include the following:

(43) The Commission requests comment on the range of costs for DCO and financial

entity reporting counterparties to obtain LEIs via third-party registration for

counterparties that have not obtained LEIs to comply with proposed § 45.6(d)(3).

e. § 45.10 – Reporting to a Single SDR

The Commission is proposing to amend § 45.10 to permit reporting counterparties

to transfer swap data and swap transaction and pricing data between SDRs in revised §

45.10(d). To do so, reporting counterparties would need to notify the current SDR, new

SDR, and non-reporting counterparty of the UTIs for the swaps being transferred and the

date of transfer at least five business days before the transfer. Reporting counterparties

would then need to report the change of SDR to the current SDR and the new SDR, and

then begin reporting to the new SDR.

The Commission believes the ability to change SDRs will benefit reporting

counterparties by permitting them to choose the SDR that best fits their business needs.
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(A) Costs and Benefits

Proposed § 45.10(d) would benefit reporting counterparties by giving them the

freedom to select the SDR that provides the best services, pricing, and functionality to

serve their business needs instead of having to use the same SDR for the entire life of the

swap. The Commission believes reporting counterparties could benefit through reduced

costs if they had the ability to change to an SDR that provided services better calibrated

to their business needs.

The Commission recognizes the proposal would impose costs on the three SDRs.

SDRs would need to update their systems to permit reporting counterparties to transfer

swap data and swap transaction pricing data in the middle of a swap’s lifecycle, rather

than at the point of swap initiation. However, the Commission believes that after the

initial system updates, SDRs should be able to accommodate these changes since they are

only slightly more burdensome than most of the current on-boarding practices for new

clients in place at each SDR. In addition, SDRs would benefit from attracting new clients

that choose to move their reporting to their SDR.

The Commission preliminarily believes that on balance the expected benefits

justify the proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 49.10. Are there additional costs and benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these costs and benefits.
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Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

f. § 45.12 – Data Reporting for Swaps in a Swap Asset Class Not Accepted by Any SDR

The Commission is proposing to remove the § 45.12 regulations that permit

voluntary supplemental reporting. Current § 45.12 permits voluntary supplemental

reporting to SDRs and specifies counterparties must report USIs, LEIs, and an indication

of jurisdiction as part of the supplementary report. Section 45.12 also requires

counterparties correct errors in voluntary supplemental reports.

The Commission believes removing voluntary supplemental swap reports will

reduce unnecessary messages in the SDR that do not provide a clear regulatory benefit to

the Commission.

(A) Costs and Benefits

Removing the option for voluntary supplemental reporting would benefit SDRs to

the extent that they would no longer need to take in, process, validate, and store the

reports. This should reduce costs and any unnecessary complexities for SDRs with

respect to these reports that provide little benefit to the Commission.

The Commission recognizes the proposal would impose initial costs on SDRs.

The three SDRs would need to update their systems to stop accepting these reports.

However, the Commission expects these costs would be minimal and after the initial

system updates, SDRs should see reduced costs by not having to accommodate these

reports. CFTC SMEs estimate the cost of these changes to be small for large reporting

entities and SDRs.
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The Commission preliminarily believes that on balance the expected benefits

justify the proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 45.12. Are there additional costs and benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these costs and benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

g. § 45.13 – Required Data Standards.

The Commission is proposing to amend § 45.13 to (i) require reporting

counterparties, SEFs, DCMs, and DCOs to report required swap creation and

continuation data to SDRs using the technical standards, as instructed by the

Commission, for each swap data element required to be reported; (ii) require reporting

counterparties, SEFs, DCMs, and DCOs to satisfy SDR validation rules; and (iii) require

SDRs to send reporting counterparties, SEFs, DCMs, DCOs, and third party service

providers validation messages.

(A) Costs and Benefits

Through updating and further specifying the swap data elements required to be

reported to SDRs, the Commission would benefit from having swap data that is more

standardized, accurate, and complete across SDRs. As discussed in section V above, the

Commission’s use of the data to fulfill its regulatory responsibilities has been
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complicated by varying compliance with swap data standards both within and across

SDRs.

The Commission recognizes that the changes proposed in § 45.13 would require

SDRs, SEFs, DCMs, and reporting counterparties to update their reporting systems. The

three SDRs would need to update their systems to accept swap data according to new

technical standards and validation conditions. SEFs, DCMs, and reporting counterparties

would need to update their systems as well to report swap data to SDRs according to the

technical standards. These entities would also need to update systems to validate swap

data. The costs of these updates are likely to differ from entity to entity but, depending on

current systems, could be high.

However, if the Commission believes some factors would mitigate the costs to

these entities. First, most of the swap data the Commission is proposing to further

standardize with the updates in appendix 1 is currently being reported to SDRs.

Commission staff recognize that data quality has improved over the past years as SDRs

adopted more technical standards on their own. However, for certain assets classes, the

Commission expects the changes could be more pronounced. Costs to standardize data

elements that had not been standardized, in certain asset classes like commodities, or

adding new data elements would be more costly but could be mitigated if the reporting

entity already saves this information but does not currently then send it to the SDR.

Second, to the extent SDRs operate in multiple jurisdictions, ESMA already

requires many of the swap data elements and many of the technical standards and

validation conditions the Commission is proposing. An SDR may have to spend fewer

resources updating its systems for the proposed changes in § 45.13 if it has already made
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these changes for European market participants. Similarly, SEFs, DCMs, and reporting

counterparties reporting to European TRs may have to spend fewer resources.

Additionally, after the updates would be made, the Commission expects SDRs,

SEFs, DCMs, and reporting counterparties would see a reduction in costs through

reporting a more streamlined data set than what is currently being reported to SDRs. In

addition, entities reporting in multiple jurisdictions would be able to report more

efficiently as jurisdictions adopt the CDE Technical Guidance data elements.

Finally, this NPRM is proposed to have the part 43 swap transaction and pricing

data be a subset of the part 45 swap data. This means proposed changes to parts 43 and

45 would largely require technological changes that could merge two different data

streams into one. For example, SDRs will have to make adjustments to their extraction,

transformation, and loading (ETL) process in order to accept feeds that comply with new

technical standards and validation conditions.

Because many of the changes SDRs would make to comply with part 45 will

likely also allow it to comply with part 43, the Commission anticipates significantly

lower aggregate costs relative to the costs for parts 43 and 45 separately. For this reason,

the costs described below may most accurately represent the full technological cost of

satisfying the requirements for both proposed rules.

Based on conversations with CFTC staff experienced in designing data reporting,

ingestion, and validation systems, Commission staff estimates the cost per SDR to be in a

range of $141,000 to $500,000.

291 This staff cost estimate is based on a number of

 291 To generate the included estimates, a bottom-up estimation method was used based on internal CFTC

expertise. In brief, and as seen in the estimates, the Commission anticipates that the task for the SDR’s will
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assumptions and covers the set of tasks required for the SDR to design, test, and

implement a data system based on the proposed list of swap data elements in appendix 1

and the technical standards.

292 These numbers assume that each SDR will spend

approximately 3,000-5,000 hours to establish ETL into a relational database on such a

data stream.293

For reporting entities, the Commission estimates the cost per reporting entity to be

in a range of $23,500 to $72,500.294 This cost estimate is based on a number of

assumptions and covers a number of tasks required by the reporting entities to design,

test, and implement an updated data system based on the proposed swap data elements,

technical standards, and validation conditions.

295 These tasks include defining

 be significantly more complex than it is for reporters. On several occasions, the CFTC has developed an

ETL data stream similar to the anticipated parts 43 and 45 data streams. These data sets consist of 100-200

fields, similar to the number of fields in proposed appendix 1. This past Commission experience has been

used to derive the included estimates.

292 These assumptions include: (1) at a minimum, the SDRs will be required to establish a data extraction

transformation and loading (ETL) process. This implies that either the SDR is using a sophisticated ETL

tool, or will be implementing a data staging process from which the transformation can be implemented. (2)

It is assumed that the SDR would require the implementation of a new database or other data storage

vehicle from which their business processes can be executed. (3) While the proposed record structure is

straight forward, the implementation of a database representing the different asset classes may be complex.

(4) It is assumed that the SDR would need to implement a data validation regime typical of data sets of this

size and magnitude. (5) It is reasonable to expect that the cost to operate the stream would be lower due to

the standardization of incoming data, and the opportunity to automatically validate the data may make it

less labor intensive.

293 The lower estimate of $141,000 represents 3,000 working hours at the $47 rate. The higher estimate of

$500,000 represents 5,000 working hours at the $100 rate.

294 To generate the included estimates, a bottom-up estimation method was used based on internal CFTC

expertise. On several occasions, the CFTC has created data sets that are transmitted to outside

organizations. These data sets consist of 100-200 fields, similar to the number of fields in the proposed

appendix 1. This past experience has been used to derive the included estimates.

295 These assumptions include: (1) the data that will be provided to the SDRs from this group of reporters

largely exists in their environment. The back end data is currently available; (2) the data transmission

connection from the firms that provide the data to the SDR currently exists. The assumption for the

purposes of this estimate is that reporting firms do not need to set up infrastructure components such as

FTP servers, routers, switches, or other hardware; it is already in place; (3) implementing the requirement

does not cause reporting firms to create back end systems to collect their data in preparation for

submission. It is assumed that firms that submit this information have the data available on a query-able

environment today, (4) reporting firms are provided with clear direction and guidance regarding form and
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requirements, developing an extraction query, developing of an interim extraction format

(e.g., CSV), developing validations, developing formatting conversions, developing a

framework to execute tasks on a repeatable basis, and finally, integration and testing.

Staff estimates that it would take a reporting entity 200 to 325 hours to implement the

extraction. Including validations and conversions would add another 300 to 400 hours,

resulting in an estimated total of 500 to 725 hours per reporting entity.296 The

Commission preliminarily believes that on balance the expected benefits justify the

proposed rule amendments notwithstanding their expected mitigated costs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 45.13. Are there additional costs and benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these costs and benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

5. Costs and Benefits of Proposed Amendments to Part 46

a. § 46.3 – Swap Data Reporting for Pre-Enactment Swaps and Transition Swaps

The Commission is proposing to amend § 46.3 to remove an exception for

required swap continuation data reporting for pre-enactment and transition swaps.

Currently, § 46.3(a)(2) provides that reporting counterparties need to report only a subset

 manner of submission. A lack of clear guidance will significantly increase costs for each reporter; and (5)

there is no cost to disable reporting streams that will be made for obsolete by the proposed change in part

43.

296 The lower estimate of $23,500 represents 500 working hours at the $47 rate. The higher estimate of

$72,500 represent 725 working hours at the $100 rate.
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of part 45 swap data fields when reporting updates to pre-enactment and transition swaps.

The Commission is removing that exception to specify that reporting counterparties

would report updates to pre-enactment and transition swaps according to part 45.

(A) Costs and Benefits

The Commission believes that this should be current practice for SDRs and

reporting counterparties, and should therefore not impact costs or benefits to SDRs and

reporting counterparties.

(B) Request for Comment

Is the Commission’s understanding correct that the proposed change to §

46.3(a)(2) would have no practical impact on reporting counterparties and SDRs for preenactment and transition swap continuation data reporting? Are there additional costs and

benefits that the Commission should consider? Commenters are encouraged to include

both qualitative and quantitative assessments of these costs and benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

b. § 46.10 – Required Data Standards

The Commission is proposing to update § 46.10 to require reporting

counterparties to use the required data standards set forth in § 45.13(a) for reporting

historical swaps to SDRs. The Commission believes reporting counterparties currently

use the same data standards for both parts 45 and 46 reporting. This change would ensure

that reporting counterparties continue to do so under the proposed updated list of swap

data elements in appendix 1 and the new technical standards.

(A) Costs and Benefits
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SDRs and reporting counterparties would both incur costs in updating their part

46 reporting systems to report according to any of the proposed changes to part 45

reporting. However, given the diminishing number of historical swaps that have not yet

matured or been terminated, the Commission expects that these costs would be negligible

compared to the costs associated with complying with new § 45.13.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 46.10. Are there additional costs and benefits that the

Commission should consider? Are there factors that would raise costs for reporting

historical swaps according to the standards in § 45.13? Commenters are encouraged to

include both qualitative and quantitative assessments of these costs and benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

c. § 46.11 – Reporting of Errors and Omissions in Previously Omitted Data

The Commission is proposing to remove § 46.11(b) to remove the option for state

data reporting. This would be consistent with the Commission’s proposal to eliminate

state data reporting in § 45.4.

(A) Costs and Benefits

SDRs and reporting counterparties would both incur costs in updating their part

46 reporting systems to eliminate state data reporting. However, given the dwindling
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number of historical swaps that have not yet matured or been terminated, the Commission

expects that these costs would be negligible.297

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 46.11. Are there additional costs and benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these costs and benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

6. Costs and Benefits of Proposed Amendments to Part 49

a. § 49.4 – Withdrawal from Registration

The Commission is proposing to amend § 49.4 to: (i) remove the erroneous

requirement for SDRs to submit a statement to the Commission that the custodial SDR is

authorized to make the withdrawing SDR’s data and records available in accordance with

§ 1.44; and (ii) remove the § 49.4(a)(2) requirement that prior to filing a request to

withdraw, a registered SDR file an amended Form SDR to update any inaccurate

information and replace it with a new requirement for SDRs to execute an agreement

with the custodial SDR governing the custody of the withdrawing SDR’s data and

records prior to filing a request to withdraw with the Commission.

 297 For instance, in reviewing credit default swap data, the Commission found that there were 153,563 open

pre-enactment swaps and transition swaps in 2013. In 2019, that number had decreased to 2,048.
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The Commission believes the amendments would simplify the regulations and

help ensure that swap data is properly transferred to a different SDR when one SDR

withdraws from registration.

(A) Costs and Benefits

The Commission believes SDRs would benefit from the removal of the

unnecessary requirement to update Form SDR prior to withdrawing from registration.

The Commission would benefit from having a clear regulatory requirement for an SDR

withdrawing from registration to have an agreement with the custodial SDR regarding the

withdrawing SDR’s data and records.

The Commission believes SDRs would not incur any material costs associated

with the proposed changes. SDRs would execute a custodial agreement to transfer the

data as a matter of due course. The changes concerning timing and removing the

erroneous reference would not result in costs for the SDRs.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 46.11. Are there additional costs and benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these costs and benefits.

Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

b. § 49.10 – Acceptance of Data

Most of the amendments the Commission is proposing to § 49.10 are nonsubstantive minor technical amendments. However, the Commission is proposing to add
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a new requirement in § 49.10(c) to require SDRs to validate SDR data. Proposed §

49.10(c) would require that SDRs establish data validations. SDRs would also be

required to send SEFs, DCMs, and reporting counterparties data validation acceptance

and error messages that identify the validation errors. The Commission is also proposing

to require that SDRs cannot reject a swap transaction and pricing data message if it was

submitted jointly with a swap data message that contained a validation error.

(A) Costs and Benefits

SDRs, SEFs, DCMs, and reporting counterparties would benefit by having a

single set of validation rules in the technical standards instead of each SDR applying

different validations.

SDRs, SEFs, DCMs, and reporting counterparties would incur costs in updating

their reporting systems apply these validation rules. To the extent SDRs operate in

multiple jurisdictions, ESMA is already requiring many of the data validations that DMO

is proposing in the technical standards to be published on cftc.gov. An SDR may have to

spend fewer resources updating its systems for the proposed changes in § 49.10(c) if it

has already made these changes for European market participants. Similarly, SEFs,

DCMs, and reporting counterparties reporting to European TRs may have to spend fewer

resources making these updates.

(B) Request for Comment

The Commission requests comment on its considerations of the costs and benefits

of the proposed amendments to § 49.10(c). Are there additional costs and benefits that the

Commission should consider? Commenters are encouraged to include both qualitative

and quantitative assessments of these costs and benefits.
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Are there any other alternatives that may provide preferable costs or benefits than

the costs and benefits related to the proposed amendments?

7. Reporting in Light of CEA Section 15(a)

The Dodd-Frank Act sought to promote the financial stability of the U.S., in part,

by improving financial system accountability and transparency. More specifically, Title

VII of the Dodd-Frank Act directs the Commission to promulgate regulations to increase

swaps markets’ transparency and thereby reduce the potential for counterparty and

systemic risk.298 Transaction-based reporting is a fundamental component of the

legislation’s objectives to increase transparency, reduce risk, and promote market

integrity within the financial system generally, and the swaps market in particular. The

SDRs and the SEFs, DCMs, and other reporting entities that submit data to SDRs are

central to achieving the legislation’s objectives related to swap reporting.

CEA section 15(a) requires the Commission to consider the costs and benefits of

the proposed amendments to parts 23, 43, 45, and 49 with respect to the following

factors:

• Protection of market participants and the public;

• Efficiency, competitiveness, and financial integrity of markets;

• Price discovery;

• Sound risk management practices; and

• Other public interest considerations.

 298 See Congressional Research Service Report for Congress, The Dodd-Frank Wall Street Reform and

Consumer Protection Act: Title VII, Derivatives, by Mark Jickling and Kathleen Ann Ruane (August 30,

2010); Department of the Treasury, Financial Regulatory Reform: A New Foundation: Rebuilding

Financial Supervision and Regulation (June 17, 2009) at 47-48.
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A discussion of these proposed amendments in light of CEA section 15(a) factors is set

out immediately below.

a. Protection of Market Participants and the Public

The Commission believes that the reporting changes under parts 45, 46, and 49

would enhance protections already in place for market participants and the public. By

lengthening reporting timeframes and standardizing data formats, the Commission

believes that it would be provided a more cohesive, more standardized, and, ultimately,

more accurate data without sacrificing the ability to oversee the markets in a robust

fashion. Higher-quality swap data would improve the Commission’s oversight and

enforcement capabilities, and, in turn, would aid it in protecting markets, participants,

and the public in general.

b. Efficiency, Competitiveness, and Financial Integrity

The Commission believes the proposed rules would streamline reporting and

improve efficiencies given the improved data standardization. By identifying reporting

entities and by making DCO reporting duties clearer, the proposed rules strive to improve

reliability and consistency of swap data. This reliability might further lead to bolstering

the financial integrity of swaps markets. Finally, the validation of swap data would

improve the accuracy and completeness of swap data available to the Commission and

would assist the Commission with, among other things, improved monitoring of risk

exposures of individual counterparties, monitoring concentrations of risk exposure, and

evaluating systemic risk.

c. Price Discovery
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The Commission does not believe the proposed rules would have a significant

impact on price discovery.

d. Risk Management Practices

The Commission believes that the proposed rules would improve the quality of

swap data reported to SDRs and, hence, improve the Commission’s ability to monitor the

swaps market, react to changes in market conditions, and fulfill its regulatory

responsibilities generally. The Commission believes that regulator access to high-quality

swap data is essential for regulators’ to monitor the swaps market for systemic risk, or

unusually large concentrations of risk in individual swaps markets or asset classes.

e. Other Public Interest Considerations

The Commission believes that the increased accuracy resulting from

improvements to data entry by market participants and validation efforts by SDRs via the

proposed rules has other public interest considerations including:

• Increased understanding for the public, market participants, and the Commission

of the interaction between the swaps market, other financial markets, and the

overall economy;

• Improved regulatory oversight and enforcement capabilities; and

• Enhanced information for the Commission and other regulators so that they may

establish more effective public policies to monitor and, where necessary, reduce

overall systemic risk.

8. General Request for Comment

The Commission requests comment on all aspects of the proposed rules. Beyond specific

questions interspersed throughout this discussion, the Commission generally requests
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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 alternatives; data and any other information (including proposed

methodology) 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 statements 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 cost-benefit

profile. Commenters are encouraged to include both qualitative and quantitative

assessments of these benefits and costs.

D. Antitrust Considerations

CEA section 15(b) 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

would result in anti-competitive behavior. The Commission expects the proposed

amendments to § 45.10(d) that would permit reporting counterparties to change SDRs

would promote competition by encouraging SDRs to offer competitive pricing and

services to encourage reporting counterparties to either stay customers or come to their

SDR. The Commission encourages comments from the public on any aspect of the
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proposal that may have the potential to be inconsistent with the antitrust laws or anticompetitive in nature.

VIII. Text of Proposed Rules

List of Subjects

17 CFR Part 45

Swaps; data recordkeeping requirements; data reporting requirements

17 CFR Part 46

Swaps, data recordkeeping requirements and data reporting requirements

17 CFR Part 49

Swap data repositories; registration and regulatory requirements

For the reasons stated in the preamble, the Commodity Futures Trading

Commission proposes to amend 17 CFR parts 45, 46, and 49 as set forth below:

PART 45 – SWAP DATA RECORDKEEPING AND REPORTING REQUIREMENTS

Authority and Issuance

1. The authority citation for part 45 continues 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

(Jul. 21, 2010), unless otherwise noted.

2. In part 45:

a. Remove the phrase “unique swap identifier” and add in its place “unique transaction

identifier;” and
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b. Remove the phrase “non-SD/MSP” and add in its place “non-SD/MSP/DCO.”

3. In the table below, for each section and paragraph indicated in the left column, remove

the term indicated in the middle column from wherever it appears in the section or

paragraph, and add in its place the term indicated in the right column:

Section Remove Add

45.2(a) .................................

major swap participant

subject to the jurisdiction of

the Commission

major swap participant

45.2(b) ................................

counterparties subject to the

jurisdiction of the

Commission

counterparties

45.2(b) ................................ the clearing requirement

exception

any clearing requirement

exception or exemption

45.2(b) ................................ in CEA section 2(h)(7)

pursuant to section 2(h)(7)

of the Act or part 50 of this

chapter

45.2(h) ................................ counterparty subject to the

jurisdiction of the

Commission

counterparty

45.5 (introductory text) ....... swap subject to the

jurisdiction of the

Commission

swap

45.5 (introductory text) ....... (f) (h)

45.5(a)(1) ............................ single data field single data element with a

maximum length of 52

characters

45.5(b) ................................ swap dealer or major swap

participant

financial entity

45.5(b)(1) ............................ transmission of data transmission of swap data
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45.5(b)(1) ............................ single data field single data element with a

maximum length of 52

characters

45.5(b)(1)(ii) ....................... swap dealer or major swap

participant

reporting counterparty

45.5(d)(1) ............................ single data field single data element with a

maximum length of 52

characters

45.5(e)(1) ............................ (c) (d)

45.5(e)(1) ............................ of this section of this section, as applicable

45.5(e)(2)(i) ......................... question. question;

45.5(e)(2)(ii) ........................ agent. agent; and

45.7 (introductory text) ....... swap subject to the

jurisdiction of the

Commission

swap

45.8(h) ................................. swap creation data required swap creation data

45.8(h)(1) ............................ achieve this comply with paragraph (h)

of this section

45.8(h)(2) ............................ achieve this comply with paragraph (h)

of this section

45.9 ...................................... swap counterparties reporting counterparties

45.11(a) ............................... swap data repository

registered with the

Commission

swap data repository

45.11(a) ............................... registered entity or

counterparty

swap execution facility,

designated contract market,

derivatives clearing

organization, or reporting

counterparty

4. Revise § 45.1 to read as follows:

§ 45.1 Definitions.
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(a) As used in this part:

Allocation means the process by which an agent, having facilitated a single swap

transaction on behalf of several clients, allocates a portion of the executed swap to the

clients.

As soon as technologically practicable means as soon as possible, taking into

consideration the prevalence, implementation, and use of technology by comparable

market participants.

Asset class means a broad category of commodities, including, without limitation,

any “excluded commodity” as defined in section 1a(19) of the Act, with common

characteristics underlying a swap. The asset classes include interest rate, foreign

exchange, credit, equity, other commodity, and such other asset classes as may be

determined by the Commission.

Business day means each twenty-four hour day, on all days except Saturdays,

Sundays, and Federal holidays.

Business hours means consecutive hours during one or more consecutive business

days.

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.

Collateral data means the data elements necessary to report information about the

money, securities, or other property posted or received by a swap counterparty to margin,

guarantee, or secure a swap, as specified in appendix 1 to this part.
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Derivatives clearing organization means a derivatives clearing organization, as

defined by § 1.3 of this chapter, that is registered with the Commission.

Electronic reporting (“report electronically”) means the reporting of data

normalized in data elements as required by the data standard or standards used by the

swap data repository to which the data is reported. Except where specifically otherwise

provided in this chapter, electronic reporting does not include submission of an image of

a document or text file.

Execution means an agreement by the parties, by any method, to the terms of a

swap that legally binds the parties to such swap terms under applicable law.

Execution date means the date, determined by reference to eastern time, on which

swap execution occurred. The execution date for a clearing swap that replaces an original

swap is the date, determined by reference to eastern time, on which the original swap has

been accepted for clearing.

Financial entity has the meaning set forth in CEA section 2(h)(7)(C).

Global Legal Entity Identifier System means the system established and overseen

by the Legal Entity Identifier Regulatory Oversight Committee for the unique

identification of legal entities and individuals.

Legal entity identifier or LEI means a unique code assigned to swap

counterparties and entities in accordance with the standards set by the Global Legal

Entity Identifier System.

Legal Entity Identifier Regulatory Oversight Committee means the group charged

with the oversight of the Global Legal Entity Identifier System that was established by

the Finance Ministers and the Central Bank Governors of the Group of Twenty nations
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and the Financial Stability Board, under the Charter of the Regulatory Oversight

Committee for the Global Legal Entity Identifier System dated November 5, 2012, or any

successor thereof.

Life cycle event means any event that would result in a change to required swap

creation data previously reported to a swap data repository in connection with a swap.

Examples of such events include, without limitation, a counterparty change resulting

from an assignment or novation; a partial or full termination of the swap; a change to the

end date for the swap; a change in the cash flows or rates originally reported; availability

of a legal entity identifier for a swap counterparty previously identified by some other

identifier; or a corporate action affecting a security or securities on which the swap is

based (e.g., a merger, dividend, stock split, or bankruptcy).

Life cycle event data means all of the data elements necessary to fully report any

life cycle event.

Mixed swap has the meaning set forth in CEA section 1a(47)(D), and refers to an

instrument that is in part a swap subject to the jurisdiction of the Commission, and in part

a security-based swap subject to the jurisdiction of the SEC.

Multi-asset swap means a swap that does not have one easily identifiable primary

underlying notional item, but instead involves multiple underlying notional items within

the Commission’s jurisdiction that belong to different asset classes.

Non-SD/MSP/DCO counterparty means a swap counterparty that is not a swap

dealer, major swap participant, or derivatives clearing organization.

Non-SD/MSP/DCO reporting counterparty means a reporting counterparty that is

not a swap dealer, major swap participant, or derivatives clearing organization.
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Novation means the process by which a party to a swap legally transfers all or part

of its rights, liabilities, duties, and obligations under the swap to a new legal party other

than the counterparty to the swap under applicable law.

Off-facility swap means any swap transaction that is not executed on or pursuant

to the rules of a swap execution facility or designated contract market.

Original swap means a swap that has been accepted for clearing by a derivatives

clearing organization.

Reporting counterparty means the counterparty required to report swap data

pursuant to this part, selected as provided in § 45.8.

Required swap continuation data means all of the data elements that must be

reported during the existence of a swap to ensure that all swap data concerning the swap

in the swap data repository remains current and accurate, and includes all changes to the

required swap creation data occurring during the existence of the swap. For this purpose,

required swap continuation data includes:

(1) All life cycle event data for the swap; and

(2) All swap valuation, margin, and collateral data for the swap.

Required swap creation data means all data for a swap required to be reported

pursuant to § 45.3 for the swap data elements in appendix 1 to this part.

Swap means any swap, as defined by § 1.3 of this chapter, as well as any foreign

exchange forward, as defined by section 1a(24) of the Act, or foreign exchange swap, as

defined by section 1a(25) of the Act.
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Swap data means the specific data elements and information in appendix 1 to this

part required to be reported to a swap data repository pursuant to this part or made

available to the Commission pursuant to part 49 of this chapter, as applicable.

Swap data validation procedures means procedures established by a swap data

repository pursuant to § 49.10 of this chapter to accept, validate, and process swap data

reported to the swap data repository pursuant to part 45 of this chapter.

Swap execution facility means a trading system or platform that is a swap

execution facility as defined in CEA section 1a(50) and in § 1.3 of this chapter and that is

registered with the Commission pursuant to CEA section 5h and § 37 of this chapter.

Swap transaction and pricing data means all data for a swap in appendix C to part

43 required to be reported or publicly disseminated pursuant to part 43.

Unique transaction identifier means a unique alphanumeric identifier with a

maximum length of 52 characters constructed solely from the upper-case alphabetic

characters A to Z or the digits 0 to 9, inclusive in both cases, generated for each swap

pursuant to § 45.5.

Valuation data means the data elements necessary to report information about the

daily mark of the transaction, pursuant to section 4s(h)(3)(B)(iii) of the Act, and to §

23.431 of this chapter, if applicable, as specified in appendix 1 to this part.

(b) Other defined terms. Terms not defined in this part have the meanings

assigned to the terms in § 1.3 of this chapter.

5. Revise § 45.3 to read as follows:

§ 45.3 Swap data reporting: Creation data.
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(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 report required swap creation data electronically to a swap data

repository in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on

the next business day following the execution date.

(b) Off-facility swaps. For each off-facility swap, the reporting counterparty shall

report required swap creation data electronically to a swap data repository as provided by

paragraph (b)(1) or (b)(2) of this section, as applicable.

(1) If the reporting counterparty is a swap dealer, major swap participant, or

derivatives clearing organization, the reporting counterparty shall report required swap

creation data electronically to a swap data repository in the manner provided in §

45.13(a) not later than 11:59 p.m. eastern time on the next business day following the

execution date.

(2) If the reporting counterparty is a non-SD/MSP/DCO counterparty, the

reporting counterparty shall report required swap creation data electronically to a swap

data repository in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern

time on the second business day following the execution date.

(c) Allocations. For swaps involving allocation, required swap creation data shall

be reported electronically 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
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by paragraphs (a) or (b) of this section, as applicable. A unique transaction identifier for

the initial swap transaction shall 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 shall report

required swap creation data, as required by paragraph (b) of this section, for each swap

resulting from allocation to the same swap data repository to which the initial swap

transaction is reported. The reporting counterparty shall create a unique transaction

identifier for each such swap as required in § 45.5.

(d) Multi-asset swaps. For each multi-asset 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

reporting required swap creation data pursuant to this section.

(e) Mixed swaps.

(1) For each mixed swap, required swap creation data and required swap

continuation data shall be reported to a swap data repository 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.
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(2) The registered entity or reporting counterparty reporting required swap

creation data pursuant to this section shall ensure that the same unique transaction

identifier is recorded for the swap in both the swap data repository and the security-based

swap data repository.

(f) Choice of swap data repository. 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 § 45.8, shall

choose the swap data repository.

6. Revise § 45.4 to read as follows:

§ 45.4 Swap data reporting: Continuation data.

(a) Continuation data reporting method generally. For each swap, regardless of

asset class, reporting counterparties and derivatives clearing organizations required to

report required swap continuation data shall report life cycle event data for the swap

electronically to a swap data repository in the manner provided in § 45.13(a) within the

applicable deadlines set forth in this section.

(b) Continuation data reporting for original swaps. For each original swap, the

derivatives clearing organization shall report required swap continuation data, including
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terminations, electronically to the swap data repository to which the swap that was

accepted for clearing was reported pursuant to § 45.3 in the manner provided in §

45.13(a) and in this section, and such required swap continuation data shall be accepted

and recorded by such swap data repository as provided in § 49.10 of this chapter.

(1) The derivatives clearing organization that accepted the swap for clearing shall

report all life cycle event data electronically to a swap data repository in the manner

provided in § 45.13(a) not later than 11:59 p.m. eastern time on the next business day

following the day, as determined according to eastern time, that any life cycle event

occurs with respect to the swap.

(2) In addition to all other required swap continuation data, life cycle event data

shall 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(b);

(ii) The unique transaction identifier of the original swap that was replaced by the

clearing swaps; and

(iii) The unique transaction identifier of each clearing swap that replaces a

particular original swap.

(c) Continuation data reporting for swaps other than original swaps. For each

swap that is not an original swap, including clearing swaps and swaps not cleared by a

derivatives clearing organization, the reporting counterparty shall report all required swap

continuation data electronically to a swap data repository in the manner provided in §

45.13(a) as provided in this paragraph (c).
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(1) Life cycle event data reporting.

(i) If the reporting counterparty is a swap dealer, major swap participant, or

derivatives clearing organization, the reporting counterparty shall report life cycle event

data electronically to a swap data repository in the manner provided in § 45.13(a) not

later than 11:59 p.m. eastern time on the next business day following the day, as

determined according to eastern time, that any life cycle event occurred, with the sole

exception that life cycle event data relating to a corporate event of the non-reporting

counterparty shall be reported in the manner provided in § 45.13(a) not later than 11:59

p.m. eastern time on the second business day following the day, as determined according

to eastern time, that such corporate event occurred.

(ii) If the reporting counterparty is a non-SD/MSP/DCO counterparty, the

reporting counterparty shall report life cycle event data electronically to a swap data

repository in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on

the second business day following the day, as determined according to eastern time, that

any life cycle event occurred.

(2) Valuation, margin, and collateral data reporting. If the reporting counterparty

is a swap dealer, major swap participant, or derivatives clearing organization, swap

valuation data and collateral data shall be reported electronically to a swap data

repository in the manner provided in § 45.13(b) each business day.

7. Amend § 45.5 by:

a. Revising paragraphs (a)(1)(i) and (b)(1)(i);

b. Revising the introductory text of paragraph (c) and paragraphs (c)(1) and (c)(1)(i);
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c. Revising the introductory text of paragraph (d) and paragraph (d)(1)(i);

d. Revising paragraph (f); and

e. Adding paragraphs (g) and (h).

The revisions read as follows:

§ 45.5 Unique transaction identifiers.

* * * * *

(a) * * *

(1) * * *

(i) The legal entity identifier of the swap execution facility or designated contract

market; and

* * * * *

(b) * * *

(1) * * *

(i) The legal entity identifier of the reporting counterparty; and

* * * * *

(c) Off-facility swaps with a non-SD/MSP/DCO reporting counterparty that is not

a financial entity. For each off-facility swap for which the reporting counterparty is a

non-SD/MSP/DCO counterparty that is not a financial entity, the reporting counterparty

shall either: (i) create and transmit a unique transaction identifier as provided in

paragraphs (b)(1) and (2) of this section; or (ii) request that the swap data repository to

which required swap creation data will be reported create and transmit a unique

transaction identifier as provided in paragraphs (c)(1) and (2) of this section.
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(1) Creation. The swap data repository shall generate and assign a unique

transaction identifier as soon as technologically practicable following receipt of the

request from the reporting counterparty. The unique transaction identifier shall consist of

a single data element with a maximum length of 52 characters that contains two

components:

(i) The legal entity identifier of the swap data repository; and

* * * * *

(d) Off-facility swaps with a derivatives clearing organization reporting

counterparty. For each off-facility swap where the reporting counterparty is a derivatives

clearing organization, the reporting counterparty shall create and transmit a unique

transaction identifier as provided in paragraphs (d)(1) and (2) of this section.

(1) * * *

(i) The legal entity identifier of the derivatives clearing organization; and

* * * * *

(f) Use. Each registered entity and swap counterparty shall include the unique

transaction 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 transaction identifier

as provided in this section, throughout the existence of the swap and for as long as any

records are required by the Act or Commission regulations to be kept concerning the

swap, regardless of any life cycle events concerning the swap, including, without

limitation, any changes with respect to the counterparties to the swap.

(g) Third-party service provider. If a registered entity or reporting counterparty

required by this part to report required swap creation data or required swap continuation
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data contracts with a third-party service provider to facilitate reporting pursuant to § 45.9,

the registered entity or reporting counterparty shall ensure that such third-party service

provider creates and transmits the unique transaction identifier as otherwise required for

such category of swap by paragraphs (a) through (e) of this section. The unique

transaction identifier shall consist of a single data element with a maximum length of 52

characters that contains two components:

(1) The legal entity identifier of the third-party service provider; and

(2) An alphanumeric code generated and assigned to that swap by the automated

systems of the third-party service provider, which shall be unique with respect to all such

codes generated and assigned by that third-party service provider.

(h) Cross-jurisdictional swaps. Notwithstanding the provisions of paragraphs (a)

through (g) of this section, if a swap is also reportable to one or more other jurisdictions

with a regulatory reporting deadline earlier than the deadline set forth in § 45.3, the same

unique transaction identifier generated according to the rules of the jurisdiction with the

earliest regulatory reporting deadline shall be transmitted pursuant to paragraphs (a)

through (g) of this section and used in all recordkeeping and all swap data reporting

pursuant to this part.

8. Revise § 45.6 to read as follows:

§ 45.6 Legal entity identifiers.

Each swap execution facility, designated contract market, derivatives clearing

organization, swap data repository, entity reporting pursuant to § 45.9, and counterparty

to any swap that is eligible to receive a legal entity identifier shall obtain and be
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identified in all recordkeeping and all swap data reporting pursuant to this part by a single

legal entity identifier as specified in this section.

(a) Definitions. As used in this section:

Local operating unit means an entity authorized under the standards of the Global

Legal Entity Identifier System to issue legal entity identifiers.

Reference data means all identification and relationship information, as set forth

in the standards of the Global Legal Entity Identifier System, of the legal entity or

individual to which a legal entity identifier is assigned.

Self-registration means submission by a legal entity or individual of its own

reference data.

Third-party registration means submission of reference data for a legal entity or

individual that is or may become a swap counterparty, made by an entity or organization

other than the legal entity or individual identified by the submitted reference data.

Examples of third-party registration include, without limitation, submission by a swap

dealer or major swap participant of reference data for its swap counterparties, and

submission by a national numbering agency, national registration agency, or data service

provider of reference data concerning legal entities or individuals with respect to which

the agency or service provider maintains information.

(b) International standard for the legal entity identifier. The legal entity identifier

used in all recordkeeping and all swap data reporting required by this part shall be issued

under, and shall conform to, ISO Standard 17442, Legal Entity Identifier (LEI), issued by

the International Organization for Standardization.
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(c) Reference data reporting. Reference data for each swap execution facility,

designated contract market, derivatives clearing organization, swap data repository, entity

reporting pursuant to § 45.9, and counterparty to any swap shall be reported, by means of

self-registration, third-party registration, or both, to a local operating unit in accordance

with the standards set by the Global Legal Entity Identifier System. All subsequent

changes and corrections to reference data previously reported shall be reported, by means

of self-registration, third-party registration, or both, to a local operating unit as soon as

technologically practicable following occurrence of any such change or discovery of the

need for a correction.

(d) Use of the legal entity identifier.

(1) Each swap execution facility, designated contract market, derivatives clearing

organization, swap data repository, entity reporting pursuant to § 45.9, and swap

counterparty shall use legal entity identifiers to identify itself and swap counterparties in

all recordkeeping and all swap data reporting pursuant to this part. If a swap counterparty

is not eligible to receive a legal entity identifier as determined by the Global Legal Entity

Identifier System, such counterparty shall be identified in all recordkeeping and all swap

data reporting pursuant to this part with an alternate identifier as prescribed by the

Commission pursuant to § 45.13(a).

(2) Each swap dealer, major swap participant, swap execution facility, designated

contract market, derivatives clearing organization, and swap data repository shall

maintain and renew its legal identity identifier in accordance with the standards set by the

Global Legal Entity Identifier System.
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(3) Each derivatives clearing organization and each financial entity reporting

counterparty executing a swap with a counterparty that is eligible to receive a legal entity

identifier, but has not been assigned a legal entity identifier, shall, prior to reporting any

required swap creation data for such swap, cause a legal entity identifier to be assigned to

the counterparty, including if necessary, through third-party registration.

(4) For swaps previously reported pursuant to this part using substitute

counterparty identifiers assigned by a swap data repository prior to Commission

designation of a legal entity identifier system, each swap data repository shall map the

legal entity identifiers for the counterparties to the substitute counterparty identifiers in

the record for each such swap.

9. Amend § 45.8 by revising the introductory text to read as follows:

§ 45.8 Determination of which counterparty shall report.

The determination of which counterparty is the reporting counterparty for each

swap shall be made as provided in this section.

* * * * *

10. Revise § 45.10 to read as follows:

§ 45.10 Reporting to a single swap data repository.

All swap transaction and pricing data and swap data for a given swap shall be

reported to a single swap data repository, which shall be the swap data repository to

which the first report of such data is made, unless the reporting counterparty changes the
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swap data repository to which such data is reported pursuant to paragraph (d) of this

section.

(a) Swaps executed on or pursuant to the rules of a swap execution facility or

designated contract market. To ensure that all swap transaction and pricing data and

swap data 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 shall report all swap

transaction and pricing data and required swap creation data for a swap to a single swap

data repository. As soon as technologically practicable after execution of the swap, 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, the identity of the swap data repository to which such data is reported.

(2) Thereafter, all swap transaction and pricing data, required swap creation data,

and required swap continuation data for the swap shall be reported to that same swap data

repository, unless the reporting counterparty changes the swap data repository to which

such data is reported pursuant to paragraph (d) of this section.

(b) Off-facility swaps that are not clearing swaps. To ensure that all swap

transaction and pricing data and swap data for an off-facility swap that is not a clearing

swap is reported to a single swap data repository:

(1) The reporting counterparty shall report all swap transaction and pricing data

and required swap creation data to a single swap data repository. As soon as

technologically practicable after execution, the reporting counterparty shall transmit to

the other counterparty to the swap, and to the derivatives clearing organization, if any,
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that will clear the swap, the identity of the swap data repository to which such data is

reported.

(2) Thereafter, all swap transaction and pricing data, required swap creation data,

and required swap continuation data for the swap shall be reported to the same swap data

repository, unless the reporting counterparty changes the swap data repository to which

such data is reported pursuant to paragraph (d) of this section.

(c) Clearing swaps. To ensure that all swap transaction and pricing data and swap

data for a given clearing swap, including 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 swap transaction and pricing data and 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 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 identity of the swap data repository

to which such data is reported.

(2) Thereafter, all swap transaction and pricing data, required swap creation data

and required swap continuation data for that clearing swap shall be reported by the

derivatives clearing organization to the same swap data repository to which swap data has

been reported pursuant to paragraph (c)(1) of this section, unless the reporting

counterparty changes the swap data repository to which such data is reported pursuant to

paragraph (d) of this section.
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(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 swap

transaction and pricing data, required swap creation data, and required swap continuation

data for such clearing swaps to a single swap data repository.

(d) Change of swap data repository for swap transaction and pricing data and

swap data reporting. A reporting counterparty may change the swap data repository to

which swap transaction and pricing data and swap data is reported as set forth in this

paragraph.

(1) Notifications. At least five business days prior to changing the swap data

repository to which the reporting counterparty reports swap transaction and pricing data

and swap data for a swap, the reporting counterparty shall provide notice of such change

to the other counterparty to the swap, the swap data repository to which swap transaction

and pricing data and swap data is currently reported, and the swap data repository to

which swap transaction and pricing data and swap data will be reported going forward.

Such notification shall include the unique transaction identifier of the swap and the date

on which the reporting counterparty will begin reporting such swap transaction and

pricing data and swap data to a different swap data repository.

(2) Procedure. After providing the notifications required in paragraph (d)(1) of

this section, the reporting counterparty shall follow paragraphs (d)(2)(i)-(iii) of this

section to complete the change of swap data repository.

(i) The reporting counterparty shall report the change of swap data repository to

the swap data repository to which the reporting counterparty is currently reporting swap
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transaction and pricing data and swap data as a life cycle event for such swap pursuant to

§ 45.4.

(ii) On the same day that the reporting counterparty reports required swap

continuation data as required by paragraph (d)(2)(i) of this section, the reporting

counterparty shall also report the change of swap data repository to the swap data

repository to which swap transaction and pricing data and swap data will be reported

going forward, as a life cycle event for such swap pursuant to § 45.4. The required swap

continuation data report shall identify the swap using the same unique transaction

identifier used to identify the swap at the previous swap data repository.

(iii) Thereafter, all swap transaction and pricing data, required swap creation data,

and required swap continuation data for the swap shall be reported to the same swap data

repository, unless the reporting counterparty for the swap makes another change to the

swap data repository to which such data is reported pursuant to paragraph (d) of this

section.

11. Remove paragraphs (c) and (d) of § 45.11 to read as follows:

§ 45.11 Data reporting for swaps in a swap asset class not accepted by any swap

data repository.

(a) Should there be a swap asset class for which no swap data repository currently 

accepts swap data, each swap execution facility, designated contract market, derivatives 

clearing organization, or reporting counterparty required by this part to report any 

required swap creation data or required swap continuation data with respect to a swap in 

that asset class must report that same data to the Commission. 
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(b) Data reported to the Commission pursuant to this section shall be reported at 

times announced by the Commission and in an electronic file in a format acceptable to 

the Commission. 

12. Remove and reserve § 45.12.

§ 45.12 [Reserved]

13. Revise § 45.13 to read as follows:

§ 45.13 Required data standards.

(a) Data reported to swap data repositories. (1) In reporting required swap

creation data and required swap continuation data to a swap data repository, each

reporting counterparty, swap execution facility, designated contract market, and

derivatives clearing organization, shall report the swap data elements in appendix 1 to

this part in the form and manner provided in the technical specifications published by the

Commission pursuant to § 45.15.

(2) In reporting required swap creation data and required swap continuation data

to a swap data repository, each reporting counterparty, swap execution facility,

designated contract market, and derivatives clearing organization making such report

shall satisfy the swap data validation procedures of the swap data repository.

(3) In reporting swap data to a swap data repository as required by this part, each

reporting counterparty, swap execution facility, designated contract market, and

derivatives clearing organization shall use the facilities, methods, or data standards
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provided or required by the swap data repository to which the entity or counterparty

reports the data.

(b) Data Validation Acceptance Message.

(1) For each required swap creation data or required swap continuation data report

submitted to a swap data repository, a swap data repository shall notify the reporting

counterparty, swap execution facility, designated contract market, derivatives clearing

organization, or third-party service provider submitting the report whether the report

satisfied the swap data validation procedures of the swap data repository. The swap data

repository shall provide such notification as soon as technologically practicable after

accepting the required swap creation data or required swap continuation data report. A

swap data repository may satisfy the requirements of this paragraph by transmitting data

validation acceptance messages as required by § 49.10 of this chapter.

(2) If a required swap creation data or required swap continuation data report to a

swap data repository does not satisfy the data validation procedures of the swap data

repository, the reporting counterparty, swap execution facility, designated contract

market, or derivatives clearing organization, required to submit the report has not yet

satisfied its obligation to report required swap creation or continuation data in the manner

provided by paragraph (a) of this section within the timelines set forth in §§ 45.3 and

45.4. The reporting counterparty, swap execution facility, designated contract market, or

derivatives clearing organization has not satisfied its obligation until it submits the

required swap data report in the manner provided by paragraph (a) of this section, which

includes the requirement to satisfy the data validation procedures of the swap data

repository, within the applicable time deadline set forth in §§ 45.3 and 45.4.
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14. Add § 45.15 to read as follows:

§ 45.15 Delegation of authority.

(a) Delegation of authority to the Chief Information Officer. The Commission

hereby delegates to its chief information officer, until the Commission orders otherwise,

the authority set forth in paragraph (a) of this section, to be exercised by the chief

information officer or by such other employee or employees of the Commission as may

be designated from time to time by the chief information officer. The chief information

officer may submit to the Commission for its consideration any matter which has been

delegated in this paragraph. Nothing in this paragraph prohibits the Commission, at its

election, from exercising the authority delegated in this paragraph. The authority

delegated to the chief information officer by this paragraph (a) shall include:

(1) The authority to determine the manner, format, coding structure, and

electronic data transmission standards and procedures acceptable to the Commission for

the purposes of § 45.11;

(2) The authority to determine whether the Commission may permit or require use

by swap execution facilities, designated contract markets, derivatives clearing

organizations, or reporting counterparties in reporting pursuant to § 45.11 of one or more

particular data standards (such as FIX, FpML, ISO 20022, or some other standard), in

order to accommodate the needs of different communities of users;

(3) The dates and times at which required swap creation data or required swap

continuation data shall be reported pursuant to § 45.11; and
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(4) The chief information officer shall publish from time to time in the Federal

Register and on the website of the Commission the format, data schema, electronic data

transmission methods and procedures, and dates and times for reporting acceptable to the

Commission with respect to swap data reporting pursuant to § 45.11.

(b) Delegation of authority to the Director of the Division of Market Oversight.

The Commission hereby delegates to the Director of the Division of Market Oversight,

until the Commission orders otherwise, the authority set forth in § 45.13(a)(1), to be

exercised by the Director of the Division of Market Oversight or by such other employee

or employees of the Commission as may be designated from time to time by the Director

of the Division of Market Oversight. The Director of the Division of Market Oversight

may submit to the Commission for its consideration any matter which has been delegated

pursuant to this paragraph. Nothing in this paragraph prohibits the Commission, at its

election, from exercising the authority delegated in this paragraph. The authority

delegated to the Director of the Division of Market Oversight by this paragraph (b) shall

include:

(1) The authority to publish the technical specifications providing the form and

manner for reporting the swap data elements in appendix 1 to this part to swap data

repositories as provided in § 45.13(a)(1);

(2) The authority to determine whether the Commission may permit or require use

by swap execution facilities, designated contract markets, derivatives clearing

organizations, or reporting counterparties in reporting pursuant to § 45.13(a)(1) of one or

more particular data standards (such as FIX, FpML, ISO 20022, or some other standard),

in order to accommodate the needs of different communities of users;
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(3) The dates and times at which required swap creation data or required swap

continuation data shall be reported pursuant to § 45.13(a)(1); and

(4) The Director of the Division of Market Oversight shall publish from time to

time in the Federal Register and on the website of the Commission the technical

specifications for swap data reporting pursuant to § 45.13(a)(1).

15. Revise appendix 1 to part 45 to read as follows:

Appendix 1 to Part 45 – Swap Data Elements

Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

Category: Clearing

1 Cleared Indicator of whether the transaction has been cleared, 

or is intended to be cleared, by a central counterparty. 

    

2 Central 

counterparty

Identifier of the central counterparty (CCP) that 

cleared the transaction.

This data element is not applicable if the value of the 

data element “Cleared” is “N” (“No, not centrally 

cleared”) or “I” (“Intent to clear”).

    

3 Clearing account 

origin

Indicator of whether the clearing member acted as 

principal for a house trade or an agent for a customer 

trade.

    

4 Clearing member Identifier of the clearing member through which a 

derivative transaction was cleared at a central 

counterparty.

This data element is applicable to cleared transactions 

under both the agency clearing model and the principal 

clearing model.

• In the case of the principal clearing model, the 

clearing member is identified as clearing member and 

also as a counterparty in both transactions resulting 

from clearing: (i) in the transaction between the central 

counterparty and the clearing member; and (ii) in the 

transaction between the clearing member and the 

counterparty to the original alpha transaction. 

• In the case of the agency clearing model, the clearing 

member is identified as clearing member but not as the 

counterparty to transactions resulting from clearing. 

Under this model, the counterparties are the central 

counterparty and the client.

This data element is not applicable if the value of the 

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

data element “Cleared” is “N” (“No, not centrally 

cleared”) or “I” (“Intent to clear”).

5 Clearing swap 

USIs

The unique swap identifiers (USI) of each clearing 

swap that replaces the original swap that was 

submitted for clearing to the derivatives clearing 

organization, other than the USI for the swap currently 

being reported (as “USI” data element below).

    

6 Clearing swap 

UTIs

The unique transaction identifiers (UTI) of each 

clearing swap that replaces the original swap that was 

submitted for clearing to the derivatives clearing 

organization, other than the UTI for the swap currently 

being reported (as “UTI” data element below).

    

7 Original swap 

USI

The unique swap identifier (USI) of the original swap 

submitted for clearing to the derivatives clearing 

organization that is replaced by clearing swaps.

    

8 Original swap 

UTI

The unique transaction identifier (UTI) of the original 

swap submitted for clearing to the derivatives clearing 

organization that is replaced by clearing swaps.

    

9 Original swap 

SDR identifier

Identifier of the swap data repository (SDR) to which 

the original swap was reported.

    

10 Clearing receipt 

timestamp

The date and time, expressed in UTC, the original 

swap was received by the derivatives clearing 

organization (DCO) for clearing and recorded by the 

DCO’s system.

    

11 Clearing 

exceptions and 

exemptions -

Counterparty 1

Identifies the type of clearing exception or exemption 

that the Counterparty 1 has elected.

All applicable exceptions and exemptions must be 

selected.

The values may be repeated as applicable.

    

12 Clearing 

exceptions and 

exemptions –

Counterparty 2

Identifies the type of the clearing exception or 

exemption that the Counterparty 2 has elected.

All applicable exceptions and exemptions must be 

selected.

The values may be repeated as applicable. 

    

Category: Counterparty

13 Counterparty 1 

(reporting 

counterparty)

Identifier of the counterparty to an OTC derivative 

transaction who is fulfilling its reporting obligation via 

the report in question.

In jurisdictions where both parties must report the 

transaction, the identifier of Counterparty 1 always 

identifies the reporting counterparty.

In the case of an allocated derivative transaction 

executed by a fund manager on behalf of a fund, the 

fund and not the fund manager is reported as the 

counterparty.

    

14 Counterparty 2 Identifier of the second counterparty to an OTC 

derivative transaction.

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

In the case of an allocated derivative transaction 

executed by a fund manager on behalf of a fund, the 

fund and not the fund manager is reported as the 

counterparty.

15 Counterparty 2 

identifier source

Source used to identify the Counterparty 2.     

16 Counterparty 1 

financial entity 

indicator

Indicator of whether Counterparty 1 is a financial 

entity as defined in CEA § 2(h)(7)(C).

    

17 Counterparty 2 

financial entity 

indicator

Indicator of whether Counterparty 2 is a financial 

entity as defined in CEA § 2(h)(7)(C).

    

18 Buyer identifier Identifier of the counterparty that is the buyer, as 

determined at the time of the transaction.

A non-exhaustive list of examples of instruments for 

which this data element could apply are:

• most forwards and forward-like contracts (except for 

foreign exchange forwards and foreign exchange nondeliverable forwards)

• most options and option-like contracts including 

swaptions, caps and floors

• credit default swaps (buyer/seller of protection)

• variance, volatility and correlation swaps

• contracts for difference and spreadbets

This data element is not applicable to instrument types 

covered by data elements Payer identifier and Receiver 

identifier.

    

19 Seller identifier Identifier of the counterparty that is the seller as 

determined at the time of the transaction.

A non-exhaustive list of examples of instruments for 

which this data element could apply are:

• most forwards and forward-like contracts (except for 

foreign exchange forwards and foreign exchange nondeliverable forwards)

• most options and option-like contracts including 

swaptions, caps and floors

• credit default swaps (buyer/seller of protection)

• variance, volatility and correlation swaps

• contracts for difference and spreadbets

This data element is not applicable to instrument types 

covered by data elements Payer identifier and Receiver 

identifier.

    

20 Payer identifier Identifier of the counterparty of the payer leg as 

determined at the time of the transaction.

A non-exhaustive list of examples of instruments for 

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

which this data element could apply are:

• most swaps and swap-like contracts including interest 

rate swaps, credit total return swaps, and equity swaps 

(except for credit default swaps, variance, volatility, 

and correlation swaps)

• foreign exchange swaps, forwards, non-deliverable 

forwards

This data element is not applicable to instrument types 

covered by data elements Buyer identifier and Seller 

identifier.

21 Receiver 

identifier

Identifier of the counterparty of the receiver leg as 

determined at the time of the transaction.

A non-exhaustive list of examples of instruments for 

which this data element could apply are:

• most swaps and swap-like contracts including interest 

rate swaps, credit total return swaps, and equity swaps 

(except for credit default swaps, variance, volatility, 

and correlation swaps)

• foreign exchange swaps, forwards, non-deliverable 

forwards

This data element is not applicable to instrument types 

covered by data elements Buyer identifier and Seller 

identifier.

    

22 Submitter 

identifier

Identifier of the entity submitting the data to the swap 

data repository (SDR).

The Submitter identifier will be the same as the 

reporting counterparty or swap execution facility 

(SEF), unless they use a third-party service provider to 

submit the data to SDR in which case, report the 

identifier of the third-party service provider.

    

Category: Custom baskets

23 Custom basket 

indicator

Indicator that the swap is based on a custom basket.     

Category: Events

24 Action type Type of action taken on the transaction reporting or 

end of day reporting.

New: An action that reports a new swap transaction. It 

applies to the first message relating to a new USI or 

UTI.

Modify: An action that modifies the state of a 

previously submitted transaction (e.g., credit event) or 

changes a term of a previously submitted transaction 

due to a newly negotiated modification (amendment) 

or updates previously missing information (e.g., post 

price swap). It does not include correction of a 

previous transaction.

Correct: An action that corrects erroneous data of a 

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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

previously submitted transaction.

Error: An action of cancellation of a wrongly 

submitted entire transaction in case it never came into 

existence or was not subject to part 43/part 45 

reporting requirements but was reported erroneously.

Terminate: An action that closes an existing 

transaction because of a new event (e.g., Compression, 

Novation). This does not apply to transactions that 

terminate at contractual maturity date.

Port out: An action that transfers swap transaction 

from one SDR to another SDR (change of swap data 

repository).

Valuation: An update to valuation data. There will be 

no corresponding Event type.

Collateral: An update to collateral margin data. There 

will be no corresponding Event type.

Refer to appendix F for event model sample scenarios.

25 Event type Explanation or reason for the action being taken on the 

transaction reporting.

Trade: A creation, modification, or termination of a 

transaction.

Novation: A novation legally moves partial or all of 

the financial risks of a swap from a transferor to a 

transferee and has the effect of terminating/modifying 

the original transaction and creating a new transaction 

to identify the exposure between the 

transferor/transferee and remaining party.

Compression or Risk Reduction Exercise: 

Compressions and risk reduction exercises generally 

have the effect of terminating or modifying (i.e., 

reducing the notional value) a set of existing 

transactions and of creating a set of new transaction(s). 

These processes result in largely the same exposure of 

market risk that existed prior to the event for the 

counterparty.

Early termination: Termination of an existing swap 

transaction prior to scheduled termination or maturity 

date.

Clearing: Central clearing is a process where a 

derivatives clearing organization interposes itself 

between counterparties to contracts, becoming the 

buyer to every seller and the seller to every buyer. It 

has the effect of terminating an existing transaction 

between the buyer and the seller and thereby ensuring 

the performance of open contracts.

Exercise: The process by which a counterparty fully or 

partially exercises their rights specified in the contract 

of an option or a swaption.

Allocation: The process by which an agent, having 

facilitated a single swap transaction on behalf of 

several clients, allocates a portion of the executed swap 

to the clients.

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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

Clearing and Allocation: A simultaneous clearing 

and allocation event in a derivatives clearing 

organization.

CDS Credit: An event or trigger that results in the 

modification of the state of a previously submitted 

credit derivative transaction. Applies only to credit 

derivatives.

Porting: The process by which a swap is transferred to 

another SDR that r has the effect of the closing of the 

swap transaction at one SDR or opening of the same 

swap transaction using the same UTI/USI in a different 

SDR (new).

26 Event identifier Unique identifier to link transactions resulting when 

Event type is either COMP (Compression) or CRDT 

(CDS Credit). The unique identifier may be assigned 

by the reporting counterparty or a service provider.

    

27 Event timestamp Date and time of occurrence of the event as determined 

by the reporting counterparty or a service provider.

In the case of a clearing event, date and time when the 

original swap is accepted by the derivatives clearing 

organization (DCO) for clearing and recorded by the 

DCO’s system should be reported in this data element.

The time element is as specific as technologically 

practicable.

    

Category: Notional amounts and quantities

28 Notional amount For each leg of the transaction, where applicable:

- for OTC derivative transactions negotiated in 

monetary amounts, amount specified in the contract.

- for OTC derivative transactions negotiated in nonmonetary amounts, refer to appendix B for converting 

notional amounts for non-monetary amounts.

In addition:

• For OTC derivative transactions with a notional 

amount schedule, the initial notional amount, agreed 

by the counterparties at the inception of the 

transaction, is reported in this data element.

• For OTC foreign exchange options, in addition to this 

data element, the amounts are reported using the data 

elements Call amount and Put amount. For 

amendments or lifecycle events, the resulting 

outstanding notional amount is reported; (steps in 

notional amount schedules are not considered to be 

amendments or lifecycle events); 

• Where the notional amount is not known when a new 

transaction is reported, the notional amount is updated 

as it becomes available. 

    

29 Notional 

currency

For each leg of the transaction, where applicable: 

currency in which the notional amount is denominated.

    

30 Delta The ratio of the absolute change in price of an OTC     
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

derivative transaction to the change in price of the 

underlier, at the time a new transaction is reported or 

when a change in the notional amount is reported.

31 Call amount For foreign exchange options, the monetary amount 

that the option gives the right to buy.



32 Call currency For foreign exchange options, the currency in which 

the Call amount is denominated.



33 Put amount For foreign exchange options, the monetary amount 

that the option gives the right to sell.



34 Put currency For foreign exchange options, the currency in which 

the Put amount is denominated.



35 Notional 

quantity

For each leg of the transaction, where applicable, for 

swap transactions negotiated in non-monetary amounts 

with fixed notional quantity for each schedule period 

(i.e., 50 barrels per month).

The frequency is reported in Quantity frequency and 

the unit of measure is reported in Quantity unit of 

measure.



36 Quantity 

frequency

The rate at which the quantity is quoted on the swap. 

e.g., hourly, daily, weekly, monthly.



37 Quantity 

frequency 

multiplier

The number of time units for the Quantity frequency 

38 Quantity unit of 

measure

For each leg of the transaction, where applicable: unit 

of measure in which the Total notional quantity and 

Notional quantity are expressed.

 

39 Total notional 

quantity

For each leg of the transaction, where applicable: 

aggregate Notional quantity of the underlying asset for 

the term of the transaction.

Where the Total notional quantity is not known when a 

new transaction is reported, the Total notional quantity 

is updated as it becomes available.

 

Category: Packages

40 Package 

identifier

Identifier (determined by the reporting counterparty) in 

order to connect 

• two or more transactions that are reported separately 

by the reporting counterparty, but that are negotiated 

together as the product of a single economic 

agreement. 

• two or more reports pertaining to the same 

transaction whenever jurisdictional reporting 

requirement does not allow the transaction to be 

reported with a single report to TRs.

A package may include reportable and non-reportable 

transactions. 

This data element is not applicable

• if no package is involved, or 

• to allocations

Where the Package identifier is not known when a new 

transaction is reported, the Package identifier is 

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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

updated as it becomes available.

41 Package 

transaction price

Traded price of the entire package in which the 

reported derivative transaction is a component. 

This data element is not applicable if no package is 

involved.

Prices and related data elements of the transactions 

(Price currency, Price notation, Price unit of measure) 

that represent individual components of the package 

are reported when available. 

The Package transaction price may not be known when 

a new transaction is reported but may be updated later. 

    

42 Package 

transaction price 

currency

Currency in which the Package transaction price is 

denominated.

This data element is not applicable if: 

• no package is involved, or

• Package transaction price notation = 3

    

43 Package 

transaction price 

notation

Manner in which the Package transaction price is 

expressed. 

This data element is not applicable if no package is 

involved

    

Category: Payments

44 Day count 

convention

For each leg of the transaction, where applicable: day 

count convention (often also referred to as day count 

fraction or day count basis or day count method) that 

determines how interest payments are calculated. It is 

used to compute the year fraction of the calculation 

period, and indicates the number of days in the 

calculation period divided by the number of days in the 

year.

    

45 Fixing date Describes the specific date when a non-deliverable 

forward as well as various types of FX OTC options 

such as cash-settled options that will “fix” against a 

particular exchange rate, which will be used to 

compute the ultimate cash settlement.



46 Floating rate 

reset frequency 

period

For each floating leg of the transaction, where 

applicable, time unit associated with the frequency of 

resets, e.g., day, week, month, year or term of the 

stream.

    

47 Floating rate 

reset frequency 

period multiplier

For each floating leg of the transaction, where 

applicable, number of time units (as expressed by the 

Floating rate reset frequency period) that determines 

the frequency at which periodic payment dates for reset 

occur. For example, a transaction with reset payments 

occurring every two months is represented with a 

Floating rate reset frequency period of “MNTH” 

(monthly) and a Floating rate reset frequency period 

multiplier of 2. 

This data element is not applicable if the Floating rate 

reset frequency period is “ADHO.” If Floating rate 

reset frequency period is “TERM,” then the Floating 

rate reset frequency period multiplier is 1. If the reset 

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

frequency period is intraday, then the Floating rate 

reset frequency period is “DAIL” and the Floating rate 

reset frequency period multiplier is 0.

48 Other payment 

type

Type of Other payment amount.

Option premium payment is not included as a payment 

type as premiums for option are reported using the 

option premium dedicated data element.

    

49 Other payment 

amount

Payment amounts with corresponding payment types 

to accommodate requirements of transaction 

descriptions from different asset classes.

    

50 Other payment 

currency

Currency in which Other payment amount is 

denominated.

    

51 Other payment 

date

Unadjusted date on which the Other payment amount 

is paid.

    

52 Other payment 

payer

Identifier of the payer of Other payment amount.     

53 Other payment 

receiver

Identifier of the receiver of Other payment amount.     

54 Payment 

frequency period

For each leg of the transaction, where applicable: time 

unit associated with the frequency of payments, e.g., 

day, week, month, year or term of the stream.

   

55 Payment 

frequency period 

multiplier

For each leg of the transaction, where applicable: 

number of time units (as expressed by the Payment 

frequency period) that determines the frequency at 

which periodic payment dates occur. For example, a 

transaction with payments occurring every two months 

is represented with a Payment frequency period of 

“MNTH” (monthly) and a Payment frequency period 

multiplier of 2.

This data element is not applicable if the Payment 

frequency period is “ADHO.” If Payment frequency 

period is “TERM,” then the Payment frequency period 

multiplier is 1. If the Payment frequency is intraday, 

then the Payment frequency period is “DAIL” and the 

Payment frequency multiplier is 0.

   

Category: Prices

56 Exchange rate Exchange rate between the two different currencies 

specified in the OTC derivative transaction agreed by 

the counterparties at the inception of the transaction, 

expressed as the rate of exchange from converting the 

unit currency into the quoted currency. 

In the example 0.9426 USD/EUR, USD is the unit 

currency and EUR is the quoted currency; USD 1 = 

EUR 0.9426.



57 Exchange rate 

basis

Currency pair and order in which the exchange rate is 

denominated, expressed as unit currency/quoted 

currency. In the example 0.9426 USD/EUR, USD is 

the unit currency and EUR is the quoted currency, 

USD 1 = EUR 0.9426.



58 Fixed rate For each leg of the transaction, where applicable: for 

OTC derivative transactions with periodic payments, 

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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

per annum rate of the fixed leg(s).

59 Post-priced swap 

indicator

An indication of whether a transaction satisfies the 

definition of “post-priced swap” in § 43.2(a) of the 

Commission’s regulations.

    

60 Price Price specified in the OTC derivative transaction. It 

does not include fees, taxes or commissions. 

For commodity fixed/float swaps and similar products 

with periodic payments, this data element refers to the 

fixed price of the fixed leg(s).

For commodity and equity forwards and similar 

products, this data element refers to the forward price 

of the underlying or reference asset.

For equity swaps, portfolios swaps, and similar 

products, this data element refers to the initial price of 

the underlying or reference asset. 

For contracts for difference and similar products, this 

data element refers to the initial price of the underlier.

This data element is not applicable to:

• Interest rate swaps and forward rate agreements, as it 

is understood that the information included in the data 

elements Fixed rate and Spread may be interpreted as 

the price of the transaction.

• Interest rate options and interest rate swaptions as it 

is understood that the information included in the data 

elements Strike price and Option premium may be 

interpreted as the price of the transaction.

• Commodity basis swaps and the floating leg of 

commodity fixed/float swaps as it is understood that 

the information included in the data element Spread 

may be interpreted as the price of the transaction.

• Foreign exchange swaps, forwards and options, as it 

is understood that the information included in the data 

elements Exchange rate, Strike price, and Option 

premium may be interpreted as the price of the 

transaction.

• Equity options as it is understood that the information 

included in the data elements Strike price and Option 

premium may be interpreted as the price of the 

transaction.

• Credit default swaps and credit total return swaps, as 

it is understood that the information included in the 

data elements Fixed rate, Spread and Upfront payment 

(Other payment type: Upfront payment) may be 

interpreted as the price of the transaction.

• Commodity options, as it is understood that the 

information included in the data elements Strike price 

and Option premium may be interpreted as the price of 

the transaction.

Where the price is not known when a new transaction 

is reported, the price is updated as it becomes 

available.

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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

For transactions that are part of a package, this data 

element contains the price of the component 

transaction where applicable. 

61 Price currency Currency in which the price is denominated.

Price currency is only applicable if Price notation = 1.

 

62 Price notation Manner in which the price is expressed.  

63 Price unit of 

measure

Unit of measure in which the price is expressed.  

64 Spread For each leg of the transaction, where applicable: for 

OTC derivative transactions with periodic payments 

(e.g., interest rate fixed/float swaps, interest rate basis 

swaps, commodity swaps), 

• spread on the individual floating leg(s) index 

reference price, in the case where there is a spread on a 

floating leg(s). For example, USD-LIBOR-BBA plus 

.03 or WTI minus USD 14.65; or

• difference between the reference prices of the two 

floating leg indexes. For example, the 9.00 USD 

“Spread” for a WCS vs. WTI basis swap where WCS 

is priced at 43 USD and WTI is priced at 52 USD.

   

65 Spread currency For each leg of the transaction, where applicable: 

currency in which the spread is denominated.

This data element is only applicable if Spread notation 

= 1.

   

66 Spread notation For each leg of the transaction, where applicable: 

manner in which the spread is expressed.

   

67 Strike price • For options other than FX options, swaptions and 

similar products, price at which the owner of an option 

can buy or sell the underlying asset of the option. 

• For foreign exchange options, exchange rate at which 

the option can be exercised, expressed as the rate of 

exchange from converting the unit currency into the 

quoted currency. In the example 0.9426 USD/EUR, 

USD is the unit currency and EUR is the quoted 

currency; USD 1 = EUR 0.9426.

Where the strike price is not known when a new 

transaction is reported, the strike price is updated as it 

becomes available.

• For volatility and variance swaps and similar 

products, the volatility strike price is reported in this 

data element.

    

68 Strike price 

currency/currenc

y pair

For equity options, commodity options, and similar 

products, currency in which the strike price is 

denominated.

For foreign exchange options: Currency pair and order 

in which the strike price is expressed. It is expressed as 

unit currency/quoted currency. In the example 0.9426 

USD/EUR, USD is the unit currency and EUR is the 

quoted currency, USD 1 = EUR 0.9426

Strike price currency/currency pair is only applicable if 

Strike price notation = 1.

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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

69 Strike price 

notation

Manner in which the strike price is expressed.     

70 Option premium 

amount

For options and swaptions of all asset classes, 

monetary amount paid by the option buyer. 

This data element is not applicable if the instrument is 

not an option or does not embed any optionality. 

    

71 Option premium 

currency

For options and swaptions of all asset classes, currency 

in which the option premium amount is denominated. 

This data element is not applicable if the instrument is 

not an option or does not embed any optionality.

    

72 Option premium 

payment date

Unadjusted date on which the option premium is paid.     

73 First exercise 

date

First unadjusted date during the exercise period in 

which an option can be exercised.

For European-style options, this date is same as the 

Expiration date. For American-style options, the first 

possible exercise date is the unadjusted date included 

in the Execution timestamp. 

For knock-in options, where the first exercise date is 

not known when a new transaction is reported, the first 

exercise date is updated as it becomes available.

This data element is not applicable if the instrument is 

not an option or does not embed any optionality.

    

Category: Product

74 CDS index 

attachment point

Defined lower point at which the level of losses in the 

underlying portfolio reduces the notional of a tranche. 

For example, the notional in a tranche with an 

attachment point of 3% will be reduced after 3% of 

losses in the portfolio have occurred. This data element 

is not applicable if the transaction is not a CDS tranche 

transaction (index or custom basket).



75 CDS index 

detachment point

Defined point beyond which losses in the underlying 

portfolio no longer reduce the notional of a tranche. 

For example, the notional in a tranche with an 

attachment point of 3% and a detachment point of 6% 

will be reduced after there have been 3% of losses in 

the portfolio. 6% losses in the portfolio deplete the 

notional of the tranche. This data element is not 

applicable if the transaction is not a CDS tranche 

transaction (index or custom basket).



76 Index factor The index version factor or percent, expressed as a 

decimal value, that multiplied by the Notional amount 

yields the notional amount covered by the seller of 

protection for credit default swap.



77 Embedded 

option type

Type of option or optional provision embedded in a 

contract.

    

78 Unique product 

identifier

A unique set of characters that represents a particular 

OTC derivative.

The Commission will designate a UPI pursuant to §

45.7.

    

Category: Settlement
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

79 Final contractual

settlement date

Unadjusted date as per the contract, by which all 

transfer of cash or assets should take place and the 

counterparties should no longer have any outstanding 

obligations to each other under that contract.

For products that may not have a final contractual 

settlement date (e.g., American options), this data 

element reflects the date by which the transfer of cash 

or asset would take place if termination were to occur 

on the expiration date.

    

80 Settlement 

currency

Currency for the cash settlement of the transaction 

when applicable.

For multi-currency products that do not net, the 

settlement currency of each leg. 

This data element is not applicable for physically 

settled products (e.g., physically settled swaptions). 

    

Category: Transaction related

81 Allocation 

indicator

Indicator of whether the swap transaction is intended 

to be allocated, will not be allocated, or is a post 

allocation transaction. 

    

82 Nonstandardized 

term indicator

Indicator of whether the swap has one or more 

additional term(s) or provision(s), other than those 

disseminated to the public pursuant to part 43, that 

materially affect(s) the price of the swap.

    

83 Block trade 

election indicator

Indicator of whether an election has been made to 

report the swap as a block swap either by the reporting 

counterparty or as calculated by the swap data 

repository acting as a third party for the reporting 

counterparty.

    

84 Effective date Unadjusted date at which obligations under the OTC 

derivative transaction come into effect, as included in 

the confirmation.

    

85 Expiration date Unadjusted date at which obligations under the swap 

transaction stop being effective, as included in the 

confirmation. Early termination does not affect this 

data element. 

    

86 Execution 

timestamp

Date and time a transaction was originally executed, 

resulting in the generation of a new UTI. This data 

element remains unchanged throughout the life of the 

UTI.

    

87 Reporting 

timestamp

Date and time of the submission of the report to the 

trade repository.

    

88 Platform 

identifier

Identifier of the trading facility (e.g., exchange, 

multilateral trading facility, swap execution facility) on 

which the transaction was executed.

    

89 Prime brokerage 

transaction 

identifier

Identifier in order to connect the prime broker 

executing broker (“PB-ED”) swap and the primebroker counterparty(ies) swap(s) (“PB-CP”) in a Prime 

Brokerage transaction.

The reporting counterparty to a PB-CP swap(s) shall 

identify that swap as part of a Prime Brokerage 

transaction by reporting the USI or UTI of the “PB-

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

ED” swap in the Prime brokerage transaction identifier 

data element.

90 Prime brokerage 

transaction 

indicator

Indicator of whether the swap is a Prime Brokerage 

transaction.

    

91 Prior USI (for 

one-to-one and 

one-to-many 

relations 

between 

transactions)

Unique swap identifier (USI) assigned to the 

predecessor transaction that has given rise to the 

reported transaction due to a lifecycle event, in a oneto-one relation between transactions (e.g., in the case 

of a novation, when a transaction is terminated, and a 

new transaction is generated) or in a one-to-many 

relation between transactions (e.g., in clearing or if a 

transaction is split into several different transactions).

This data element is not applicable when reporting 

many-to-one and many-to-many relations between 

transactions (e.g., in the case of a compression).

    

92 Prior UTI (for 

one-to-one and 

one-to-many 

relations 

between 

transactions)

UTI assigned to the predecessor transaction that has 

given rise to the reported transaction due to a lifecycle 

event, in a one-to-one relation between transactions 

(e.g., in the case of a novation, when a transaction is 

terminated, and a new transaction is generated) or in a 

one-to-many relation between transactions (e.g., in 

clearing or if a transaction is split into several different 

transactions).

This data element is not applicable when reporting 

many-to-one and many-to-many relations between 

transactions (e.g., in the case of a compression).

    

93 Unique swap 

identifier (USI)

The USI is a unique identifier assigned to all swap 

transactions which identifies the transaction (the swap 

and its counterparties) uniquely throughout its 

duration. It consists of a namespace and a transaction 

identifier.

    

94 Unique 

transaction 

identifier (UTI)

See Technical Guidance - Harmonisation of the 

Unique Transaction Identifier.

    

95 Jurisdiction 

indicator

The jurisdiction(s) that is requiring the reporting of the 

transaction.

    

Category: Transfer

96 New SDR 

identifier

Identifier of the new swap data repository where the 

transaction is transferred to. 

    

Category: Valuation

97 Last floating 

reference value

The most recent sampling of the value of the floating 

reference for the purposes of determining cashflow. 

Ties to Last floating reference reset date data element.

    

98 Last floating 

reference reset 

date

The date of the most recent sampling of the floating 

reference for the purposes of determining cashflow. 

Ties to Last floating reference value data element.

    

99 Valuation 

amount

Current value of the outstanding contract. 

Valuation amount is expressed as the exit cost of the 

contract or components of the contract, i.e., the price 

that would be received to sell the contract (in the 

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

market in an orderly transaction at the valuation date).

100 Valuation 

currency

Currency in which the valuation amount is 

denominated.

    

101 Valuation 

method

Source and method used for the valuation of the 

transaction by the reporting counterparty.

If at least one valuation input is used that is classified 

as mark-to-model in appendix D, then the whole 

valuation is classified as mark-to-model.

If only inputs are used that are classified as mark-tomarket in appendix D, then the whole valuation is 

classified as mark-to-market.

    

102 Valuation 

timestamp

Date and time of the last valuation marked to market, 

provided by the central counterparty (CCP) or 

calculated using the current or last available market 

price of the inputs.

If for example a currency exchange rate is the basis for 

a transaction’s valuation, then the valuation timestamp 

reflects the moment in time that exchange rate was 

current.

    

Category: Collateral and margins

103 Affiliated 

counterparty for 

margin and 

capital indicator

Indicator of whether the current counterparty is 

deemed an affiliate for the purposes of U.S. margin 

and capital rules (as per § 23.159).

    

104 Collateralisation 

category

Indicator of whether a collateral agreement (or 

collateral agreements) between the counterparties 

exists (uncollateralised/partially collateralised/one-way 

collateralised/fully collateralised). This data element is 

provided for each transaction or each portfolio, 

depending on whether the collateralisation is 

performed at the transaction or portfolio level, and is 

applicable to both cleared and uncleared transactions.

    

105 Collateral 

portfolio code

If collateral is reported on a portfolio basis, unique 

code assigned by the reporting counterparty to the 

portfolio. 

    

106 Portfolio 

containing nonreportable 

component 

indicator

If collateral is reported on a portfolio basis, indicator of 

whether the collateral portfolio includes transactions 

exempt from reporting. 

    

107 Initial margin 

posted by the 

reporting 

counterparty 

(post-haircut)

Monetary value of initial margin that has been posted 

by the reporting counterparty, including any margin 

that is in transit and pending settlement unless 

inclusion of such margin is not allowed under the 

jurisdictional requirements.

If the collateralisation is performed at portfolio level, 

the initial margin posted relates to the whole portfolio; 

if the collateralisation is performed for single 

transactions, the initial margin posted relates to such 

single transaction.

This refers to the total current value of the initial 

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

margin after application of the haircut (if applicable), 

rather than to its daily change.

The data element refers both to uncleared and centrally 

cleared transactions. For centrally cleared transactions, 

the data element does not include default fund 

contributions, nor collateral posted against liquidity 

provisions to the central counterparty, i.e., committed 

credit lines.

If the initial margin posted is denominated in more 

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

108 Initial margin 

posted by the 

reporting 

counterparty 

(pre-haircut)

Monetary value of initial margin that has been posted 

by the reporting counterparty, including any margin 

that is in transit and pending settlement unless 

inclusion of such margin is not allowed under the 

jurisdictional requirements.

If the collateralisation is performed at portfolio level, 

the initial margin posted relates to the whole portfolio; 

if the collateralisation is performed for single 

transactions, the initial margin posted relates to such 

single transaction.

This refers to the total current value of the initial 

margin, rather than to its daily change.

The data element refers both to uncleared and centrally 

cleared transactions.

For centrally cleared transactions, the data element 

does not include default fund contributions, nor 

collateral posted against liquidity provisions to the 

central counterparty, i.e., committed credit lines.

If the initial margin posted is denominated in more 

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

    

109 Currency of 

initial margin 

posted

Currency in which the initial margin posted is 

denominated.

If the initial margin posted is denominated in more 

than one currency, this data element reflects one of 

those currencies into which the reporting counterparty 

has chosen to convert all the values of posted initial 

margins.

    

110 Initial margin 

collected by the 

reporting 

counterparty 

(post-haircut)

Monetary value of initial margin that has been 

collected by the reporting counterparty, including any 

margin that is in transit and pending settlement unless 

inclusion of such margin is not allowed under the 

jurisdictional requirements.

If the collateralisation is performed at portfolio level, 

the initial margin collected relates to the whole 

portfolio; if the collateralisation is performed for single 

transactions, the initial margin collected relates to such 

single transaction.

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

This refers to the total current value of the initial 

margin after application of the haircut (if applicable), 

rather than to its daily change.

The data element refers both to uncleared and centrally 

cleared transactions. For centrally cleared transactions, 

the data element does not include collateral collected 

by the central counterparty as part of its investment 

activity.

If the initial margin collected is denominated in more 

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

111 Initial margin 

collected by the 

reporting 

counterparty 

(pre-haircut)

Monetary value of initial margin that has been 

collected by the reporting counterparty, including any 

margin that is in transit and pending settlement unless 

inclusion of such margin is not allowed under the 

jurisdictional requirements.

If the collateralisation is performed at portfolio level, 

the initial margin collected relates to the whole 

portfolio; if the collateralisation is performed for single 

transactions, the initial margin collected relates to such 

single transaction.

This refers to the total current value of the initial 

margin, rather than to its daily change.

The data element refers both to uncleared and centrally 

cleared transactions. For centrally cleared transactions, 

the data element does not include collateral collected 

by the central counterparty as part of its investment 

activity.

If the initial margin collected is denominated in more 

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

    

112 Currency of 

initial margin 

collected

Currency in which the initial margin collected is 

denominated.

If the initial margin collected is denominated in more 

than one currency, this data element reflects one of 

those currencies into which the reporting counterparty 

has chosen to convert all the values of collected initial 

margins.

    

113 Variation margin 

posted by the 

reporting 

counterparty 

(pre-haircut) 

Monetary value of the variation margin posted by the 

reporting counterparty (including the cash-settled one), 

and including any margin that is in transit and pending 

settlement unless inclusion of such margin is not 

allowed under the jurisdictional requirements.

Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, 

the variation margin posted relates to the whole 

portfolio; if the collateralisation is performed for single 

transactions, the variation margin posted relates to 

such single transaction.

    
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Data Element 

Name Definition for Data Element

Asset Class

CRIRFXEQCO

This data element refers to the total current value of the 

variation margin, cumulated since the first reporting of 

variation margins posted for the portfolio/transaction

If the variation margin posted is denominated in more 

than one currency, those amounts are converted into a 

single currency chosen by the reporting counterparty 

and reported as one total value.

114 Currency of 

variation margin 

posted

Currency in which the variation margin posted is 

denominated.

If the variation margin posted is denominated in more 

than one currency, this data element reflects one of 

those currencies into which the reporting counterparty 

has chosen to convert all the values of posted variation 

margins.

    

115 Variation margin 

collected by the 

reporting 

counterparty 

(pre-haircut) 

Monetary value of the variation margin collected by 

the reporting counterparty (including the cash-settled 

one), and including any margin that is in transit and 

pending settlement unless inclusion of such margin is 

not allowed under the jurisdictional requirements.

Contingent variation margin is not included.

If the collateralisation is performed at portfolio level, 

the variation margin collected relates to the whole 

portfolio; if the collateralisation is performed for single 

transactions, the variation margin collected relates to 

such single transaction.

This refers to the total current value of the variation 

margin, cumulated since the first reporting of collected 

variation margins for the portfolio/ transaction.

If the variation margin collected is denominated in 

more than one currency, those amounts are converted 

into a single currency chosen by the reporting 

counterparty and reported as one total value.

    

116 Currency of 

variation margin 

collected

Currency in which the variation margin collected is 

denominated.

If the variation margin collected is denominated in 

more than one currency, this data element reflects one 

of those currencies into which the reporting 

counterparty has chosen to convert all the values of 

collected variation margins.

    

PART 46 - SWAP DATA RECORDKEEPING AND REPORTING REQUIREMENTS

Authority and Issuance

16. The authority citation for part 46 continues to read as follows:

Authority: Title VII, sections 723 and 729, Pub. L. 111-203, 124 Stat. 1738.
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17. In part 46, remove the phrase “non-SD/MSP” and add in its place “nonSD/MSP/DCO.”

18. In the table below, for each section and paragraph indicated in the left column,

remove the term indicated in the middle column from wherever it appears in the section

or paragraph, and add in its place the term indicated in the right column:

Section Remove Add

46.3(a)(1)(iii)(A)................. counterparty; and counterparty.

46.3(a)(3) ............................ first report of required swap

creation data

first report of such data

46.4 (introductory text) ....... swap data reporting data reporting

46.4(a) ................................. substitute counterparty

identifier as provided in

§45.6(f) of this chapter

substitute counterparty

identifier

46.4(d) ................................ unique swap identifier and

unique product identifier

unique swap identifier,

unique transaction identifier,

and unique product

identifier

46.5(a) ................................. swap data data

46.6 (introductory text) ....... report swap data report data

46.8(a) ................................. accepts swap data accepts data for preenactment and transition

swaps
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46.8(a) ................................. required swap creation data

or required swap

continuation data

such data

46.8(c)(2)(ii) ....................... reporting entities registered entities

46.8(d) ................................ swap data reporting reporting data for preenactment and transition

swaps

46.9(a) ................................. any report of swap data any report of data

46.9(f) ................................. errors in the swap data errors in the data for a preenactment or a transition

swap

46.10 ................................... reporting swap data reporting data for a preenactment or a transition

swap

46.11(a) ............................... report swap data report data for a preenactment or a transition

swap

46.11(b) .............................. any swap data any data for a pre-enactment

or a transition swap

19. Amend § 46.1 by:

a. Adding new paragraphs (a) and (b);

b. Adding the definitions of “historical swaps” and “substitute counterparty identifier;”

c. Revising the definitions of “asset class,” “non-SD/MSP counterparty,” “reporting

counterparty,” “required swap continuation data;” and

d. Removing the definitions of “credit swap,” “foreign exchange forward,” “foreign

exchange instrument,” “foreign exchange swap,” “interest rate swap,” “international
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swap,” “major swap participant,” “other commodity swap,” “swap data repository,” and

“swap dealer.”

The revisions read as follows:

§ 46.1 Definitions.

(a) As used in this part:

Asset class means a broad category of commodities, including, without limitation,

any “excluded commodity” as defined in section 1a(19) of the Act, with common

characteristics underlying a swap. The asset classes include interest rate, foreign

exchange, credit, equity, other commodity, and such other asset classes as may be

determined by the Commission.

* * * * *

Historical swap means pre-enactment swaps and transition swaps.

* * * * *

Non-SD/MSP/DCO counterparty means a swap counterparty that is not a swap

dealer, major swap participant, or derivatives clearing organization.

* * * * *

Reporting counterparty means the counterparty required to report data for a preenactment swap or a transition swap pursuant to this part, selected as provided in § 46.5.

Required swap continuation data means all of the data elements that shall be

reported during the existence of a swap as required by part 45 of this chapter.

Substitute counterparty identifier means a unique alphanumeric code assigned by

a swap data repository to a swap counterparty prior to the Commission designation of a

legal entity identifier system on July 23, 2012.
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* * * * *

(b) Other defined terms. Terms not defined in this part have the meanings

assigned to the terms in § 1.3 of this chapter.

20. Amend § 46.3 by revising paragraph (a)(2) to read as follows:

§ 46.3 Data reporting for pre-enactment swaps and transition swaps.

(a) * * *

(2) Reporting of required swap continuation data. (i) For each uncleared preenactment or transition swap in existence on or after April 25, 2011, throughout the

existence of the swap following the compliance date, the reporting counterparty must

report all required swap continuation data as required by part 45 of this chapter.

* * * * *

21. Amend § 46.10 by adding a sentence to read as follows:

§ 46.10 Required data standards.

* * * * *

In reporting required swap continuation data as required by this part, each reporting

counterparty shall comply with the required data standards set forth in part 45 of this

chapter, including those set forth in § 45.13(a) of this chapter.

22. Amend § 46.11 by removing paragraph (b) and redesignating paragraphs (c) and (d)

as (b) and (c).

§ 46.11 Reporting of errors and omissions in previously reported data.
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* * * * *

(b) Each counterparty to a pre-enactment or transition swap that is not the

reporting counterparty as determined pursuant to section 46.5, and that discovers any

error or omission with respect to any data for a pre-enactment or transition swap reported

to a swap data repository for that swap, shall promptly notify the reporting counterparty

of each such error or omission. As soon as technologically practicable after receiving

such notice, the reporting counterparty shall report a correction of each such error or

omission to the swap data repository.

(c) Each swap counterparty reporting corrections to errors or omissions in data

previously reported as required by this part shall report such corrections in the same

format as it reported the erroneous or omitted data.

PART 49 – SWAP DATA REPOSITORIES

Authority and Issuance

23. The authority citation for part 49 is revised to read as follows:

Authority: 7 U.S.C. 1a, 2(a), 6r, 12a, and 24a, as amended by Title VII of the Wall Street

Reform and Consumer Protection Act, Pub. L. No. 111-203, 124 Stat. 1376 (Jul. 21,

2010), unless otherwise noted.

24. In the table below, for each section and paragraph indicated in the left column,

remove the term indicated in the middle column from wherever it appears in the section

or paragraph, and add in its place the term indicated in the right column:
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Section Remove Add

49.4(a)(1) ............................ registered swap data

repository swap data repository

49.4(a)(1) ............................ registrant swap data repository

49.4(a)(1) ............................ withdrawn, which notice withdrawn. Such

49.4(a)(1) ............................ sixty 60

49.4(a)(1)(i) ........................ registrant swap data repository

49.4(a)(1)(ii) ....................... registrant; swap data repository; and

49.4(a)(1)(iii) ...................... located; and located.

49.4(c) ................................. registered swap data

repository swap data repository

25. Amend § 49.2(a) by adding the definitions of “data validation acceptance message,”

“data validation error,” “data validation error message,” and “data validation procedures”

to read as follows:

§ 49.2 Definitions.

* * * * *

Data validation acceptance message. The term “data validation acceptance

message” means a notification that SDR data satisfied the data validation procedures

applied by a swap data repository.

Data validation error. The term “data validation error” means that a specific data

element of SDR data did not satisfy the data validation procedures applied by a swap data

repository.
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Data validation error message. The term “data validation error message” means a

notification that SDR data contained one or more data validation error(s).

Data validation procedures. The term “data validation procedures” means

procedures established by a swap data repository pursuant to § 49.10 to validate SDR

data reported to the swap data repository.

* * * * *

26. Amend § 49.4 by:

a. Removing paragraph (a)(1)(iv); and

b. Revising paragraph (a)(2).

The amendments read as follows:

§ 49.4 Withdrawal from registration.

* * * * *

(a) * * *

(2) Prior to filing a request to withdraw, a swap data repository shall execute an

agreement with the custodial swap data repository governing the custody of the

withdrawing swap data repository’s data and records. The custodial swap data repository

shall retain such records for at least as long as the remaining period of time the swap data

repository withdrawing from registration would have been required to retain such records

pursuant to this part.

* * * * *
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27. Amend § 49.10 by revising paragraphs (a)-(d) and adding paragraph (f) to read as

follows:

§ 49.10 Acceptance and validation of data.

(a) General requirements.

(1) A swap data repository shall establish, maintain, and enforce policies and

procedures reasonably designed to facilitate the complete and accurate reporting of SDR

data. A swap data repository shall promptly accept, validate, and record SDR data.

(2) Electronic connectivity. For the purpose of accepting SDR data, the swap data

repository shall adopt policies and procedures, including technological protocols, which

provide for electronic connectivity between the swap data repository and designated

contract markets, derivatives clearing organizations, swap execution facilities, swap

dealers, major swap participants and non-SD/MSP/DCO reporting counterparties who

report such data. The technological protocols established by a swap data repository shall

provide for the receipt of SDR data. The swap data repository shall ensure that its

mechanisms for SDR data acceptance are reliable and secure.

(b) Duty to accept SDR data. A swap data repository shall set forth in its

application for registration as described in § 49.3 the specific asset class or classes for

which it will accept SDR data. If a swap data repository accepts SDR data of a particular

asset class, then it shall accept SDR data from all swaps of that asset class, unless

otherwise prescribed by the Commission.

(c) Duty to validate SDR data. A swap data repository shall validate SDR data as

soon as technologically practicable after such data is accepted according to the validation

conditions approved in writing by the Commission. A swap data repository shall validate
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SDR data by providing data validation acceptance messages, data validation messages, as

provided below.

(1) Data validation acceptance message. A swap data repository shall validate

each SDR data report submitted to the swap data repository and notify the reporting

counterparty, swap execution facility, designated contract market, or third party service

provider submitting the report whether the report satisfied the data validation procedures

of the swap data repository as soon as technologically practicable after accepting the

SDR data report.

(2) Data validation error message. If SDR data contains one or more data

validation errors, the swap data repository shall distribute a data validation error message

to the designated contract market, swap execution facility, reporting counterparty, or

third-party service provider that submitted such SDR data as soon as technologically

practicable after acceptance of such data. Each data validation error message shall

indicate which specific data validation error(s) was identified in the SDR data.

(3) Swap transaction and pricing data submitted with swap data. If a swap data

repository allows for the joint submission of swap transaction and pricing data and swap

data, the swap data repository shall validate the swap transaction and pricing data and

swap data separately. Swap transaction and pricing data that satisfies the data validation

procedures applied by a swap data repository shall not be deemed to contain a data

validation error because it was submitted to the swap data repository jointly with swap

data that contained a data validation error.

(d) Policies and procedures to prevent invalidation or modification. A swap data

repository shall establish policies and procedures reasonably designed to prevent any
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provision in a valid swap from being invalidated or modified through the verification or

recording process of the swap data repository. The policies and procedures shall ensure

that the swap data repository’s user agreements are designed to prevent any such

invalidation or modification.

* * * * *

(f) Policies and procedures for resolving disputes regarding data accuracy. A

swap data repository shall establish procedures and provide facilities for effectively

resolving disputes over the accuracy of the SDR data and positions that are recorded in

the swap data repository.

Issued in Washington, DC on __, 2020, by the Commission.

Christopher J. Kirkpatrick

Secretary of the Commission