CFTC Final Rule
CFTC Final Rule
81
Monday,
No. 123
Part III
17 CFR Part 45
Amendments to Swap Data Recordkeeping and Reporting Requirements
for Cleared Swaps; Final Rule
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Federal Register / Vol. 81, No. 123 / Monday, June 27, 2016 / Rules and Regulations
Advisor, Division of Market Oversight,
2024185360, okopon@cftc.gov;
Benjamin DeMaria, Special Counsel,
Division of Market Oversight, 202418
5988, bdemaria@cftc.gov; Aaron
Brodsky, Special Counsel, Division of
Market Oversight, 2024185349,
abrodsky@cftc.gov; or Esen Onur,
Economist, Office of the Chief
Economist, 2024186146, eonur@
cftc.gov.
SUPPLEMENTARY INFORMATION:
Table of Contents
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I. Background
A. Introduction
B. Statutory Authority
C. Regulatory HistoryFinal Part 45
Rulemaking
D. Consultation With Other U.S. Financial
Regulators
E. Summary of Proposed Revisions and
Additions to Part 45
II. Revised and New Regulations
A. DefinitionsAmendments to 45.1
B. Swap Data Reporting: Creation Data
Amendments to 45.3
C. Swap Data Reporting: Continuation
DataAmendments to 45.4
D. Unique Swap IdentifiersAmendments
to 45.5
E. Determination of Which Counterparty
Must ReportAmendments to 45.8
F. Reporting to a Single Swap Data
RepositoryAmendments to 45.10
G. Examples of Cleared Swap Reporting
Workflows Under the Adopted Revisions
H. Primary Economic Terms Data
Amendments to Appendix 1 to Part 45
Tables of Minimum Primary Economic
Terms
III. Related Matters
A. Regulatory Flexibility Act
B. Paperwork Reduction Act
C. Cost-Benefit Considerations
D. Antitrust Considerations
IV. Compliance Dates
I. Background
A. Introduction
On July 21, 2010, President Obama
signed into law the Dodd-Frank Act.1
Title VII of the Dodd-Frank Act
amended the CEA 2 to establish a
comprehensive new regulatory
framework for swaps and security-based
swaps. The legislation was enacted to
reduce systemic risk, increase
transparency, and promote market
integrity within the financial system by,
among other things: Providing for the
registration and comprehensive
regulation of SDs and MSPs; imposing
clearing and trade execution
requirements on standardized derivative
1 See Dodd-Frank Wall Street Reform and
Consumer Protection Act, Public Law 111203, 124
Stat. 1376 (2010). The text of the Dodd-Frank Act
may be accessed at http://www.cftc.gov/
LawRegulation/DoddFrankAct/index.htm.
2 7 U.S.C. 1, et seq.
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U.S.C. 2(a)(13)(G).
also 7 U.S.C. 1a(40)(E), 1a(48).
5 Regulations governing core principles and
registration requirements for, and the duties of,
SDRs are the subject of part 49 of this chapter.
6 7 U.S.C. 24a(b).
7 7 U.S.C. 24a(b)(1)(A).
8 7 U.S.C. 24a(b)(3).
9 See Swap Data Recordkeeping and Reporting
Requirements, Final Rule, 77 FR 2136 (Jan. 13,
2012).
10 See 17 CFR 45.1 (defining required swap
creation data as all primary economic terms data
for a swap in the swap asset class in question, and
all confirmation data for the swap.). Primary
economic terms data is defined as all of the data
elements necessary to fully report all of the primary
economic terms of a swap in the swap asset class
of the swap in question, while confirmation data
is defined as all of the terms of a swap matched and
agreed upon by the counterparties in confirming the
swap. Id. For cleared swaps, confirmation data also
4 See
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FR 52544, 5254546.
Regulation SBSRReporting and
Dissemination of Security-Based Swap Information,
80 FR 14740 (Mar. 19, 2015).
23 The Commission is also amending the part 45
authority citation to replace a reference to 7 U.S.C.
24 with a reference to 7 U.S.C. 24a.
22 See
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applicable to DCOs set forth in
39.12(b)(6).30
The Commission proposed to define
original swap as a swap that has been
accepted for clearing by a derivatives
clearing organization and clearing
swap as a swap created pursuant to the
rules of a derivatives clearing
organization that has a derivatives
clearing organization as a counterparty,
including any swap that replaces an
original swap that was extinguished
upon acceptance of such original swap
by the derivatives clearing organization
for clearing.
As noted above, while original swaps
are commonly referred to as alpha
swaps and while the equal and opposite
swaps that replace the original swap are
commonly referred to as beta and
gamma swaps, the Commission will
use the proposed defined terms
original swap and clearing swap
throughout this section of the release.
3. Comments
The Commission received comments
on the proposed definitions from a
variety of market participants. Many
commenters were supportive of the
proposed amendments to the definitions
and the clarification that they provide.
Other commenters supported
clarification of the definitions, but
suggested further modifications to the
proposed definitions.
i. Derivatives Clearing Organization
Both ISDA and FSR commented that
the proposed definition of derivatives
clearing organization should be
expanded to include derivatives
clearing organizations that are exempt
from registering with the Commission.31
These commenters suggested that the
reporting obligations should apply to
the central counterparty regardless of
whether that counterparty is registered
with the Commission. ISDA also
commented that the reporting
obligations should apply to those
derivatives clearing organizations that
are currently in the process of
registering with the Commission.32
80 FR 52544, 52547.
ISDA Oct. 30, 2015 Letter, at 23; FSR Oct.
30, 2015 Letter, at 5.
32 See ISDA Oct. 30, 2015 Letter, at 23.
31 See
Id. at 3.
LCH Oct. 30, 2015 Letter, at 2.
35 See ISDA Oct. 30, 2015 Letter, at 3.
36 See LCH Oct. 30, 2015 Letter, at 2.
37 See CFTC Letter No. 1551 (Sept. 18, 2015).
38 ISDA also commented that it is not clear
whether the associated clearing swaps are publicly
reportable swap transactions for Part 43 purposes.
See ISDA Oct. 30, 2015 Letter, at 3.
39 See EEI/EPSA Oct. 30, 2015 Letter, at 3.
40 As of the date of this final release, the
Commission has issued DCO Exemptive Orders to
ASX Clear (Futures) Pty Ltd. (ASX), Japan
Securities Clearing Corp., Korea Exchange Inc., and
OTC Clear Hong Kong Ltd. (OTC Clear). The
Commission amended ASXs DCO Exemptive Order
on January 28, 2016 to require ASX to report the
termination of any swap accepted for clearing by
34 See
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80 FR 52544, 52548.
80 FR 52544, 5254849.
51 The Commission proposed adding 45.8(i),
which establishes the DCO as the reporting
counterparty for all clearing swaps. This change is
discussed in greater detail in Section II.E. of this
release. The Commission also proposed conforming
amendments to 45.4(b)(1) and (2) to add the
phrase as reporting counterparty after
derivatives clearing organization to make clear
that the DCO will be the reporting counterparty for
purposes of those provisions. See Section II.C.
52 7 U.S.C. 2(a)(13)(G).
50 See
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(whether cleared or uncleared) to be
reported to a registered SDR. Proposed
revisions to paragraphs (a)(d) and new
paragraph (e) of 45.3 will thus cover
creation data reporting requirements for
all swaps: Revised 45.3(a) applies to
each swap executed on or pursuant to
the rules of a SEF or DCM, revised
45.3(b)(d) applies to all off-facility
swaps, and proposed new 45.3(e)
would apply to clearing swaps. The
proposed amendments to 45.3(a)(d)
would thus exclude clearing swaps.
Under the proposed amendments to
45.3, a SEF/DCM or counterparty other
than the DCO will not have swap data
reporting obligations with respect to
clearing swaps. Additionally, revised
45.3(a)(d) will govern the creation
data reporting requirements for swaps,
including swaps commonly known as
alpha swaps, regardless of whether
they later become original swaps by
virtue of their acceptance for clearing.53
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80 FR 52544, 5254950.
Commission also proposed renumbering
45.3 paragraphs (f), (g), and (h) as paragraphs (g),
(h), and (i), respectively.
59 See 80 FR 52544, 52550.
60 See 80 FR 52544, 52550.
58 The
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80 FR 52544, 52550.
requested that the Commission codify no
action relief issued by the Division of Clearing and
Risk and the Division of Market Oversight on April
5, 2013, providing relief to non-SD/MSPs from
reporting requirements for swaps between whollyowned affiliates. See FSR Oct. 30, 2015 Letter, at
5 (referencing CFTC No-Action Letter No. 1309
(Apr. 5, 2013)). This request is beyond the scope of
the NPRM and will not be addressed in this release.
68 See FSR Oct. 30, 2015 Letter, at 2; CMC Oct.
30, 2015 Letter, at 2; ISDA Oct. 30, 2015 Letter, at
4; LCH Oct. 30, 2015 Letter, at 2; DTCC Oct. 30,
2015 Letter, at 3.
69 See FSR Oct. 30, 2015 Letter, at 2; CMC Oct.
30, 2015 Letter, at 2.
70 ISDA also commented that currently not all
DCOs report clearing swaps in a consistent manner
in instances where an affiliate of a clearing member
enters into a swap that is subsequently cleared
through its affiliated clearing member. ISDA
suggested that the Commission make clear that the
submission of a swap for clearing should not result
in a change in the name of the counterparty that is
reported to an SDR and that the report submitted
by the DCO for the clearing swap has to reflect the
relevant affiliate and not the clearing member as the
legal counterparty to the clearing swap with the
derivatives clearing organization. See ISDA Oct. 30,
2015 Letter, at 12. While noting this comment, the
Commission declines to address this as beyond the
scope of the NPRM.
67 FSR
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Some commenters suggested that the
reporting of any creation data for swaps
that will become original swaps is
unnecessary.86 AIMA commented that
eliminating reporting for swaps that are
intended to be cleared at the time of
execution will significantly reduce
complexity in the reporting regime and
streamline the reported data.87 AIMA
also commented that the Commissions
proposed reporting approach for
original swaps will not reduce data
fragmentation.88 Similarly, EEI/EPSA
suggested that there is little to no benefit
to original swap reporting for swaps that
are intended to be cleared at the time of
execution and that counterparties
should not be required to report any
creation data for such swaps.89 Other
commenters, in response to the IDWG
Request for Comment, supported the
continued reporting of creation data for
swaps that will become original
swaps.90
iv. Choice of SDR Provisions
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17 CFR 39.12(b)(6).
105 The Commission notes that this change only
impacts certain confirmation data reporting and
recordkeeping requirements in 45.3, and does not
alter existing obligations to generate or exchange
confirmations under other Commission regulations.
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counterparty has the easiest and fastest
access to initial creation data for swaps
that become original swaps.
As discussed in its Final Part 45
Rulemaking, the Commission believes
that requiring all swaps that become
original swaps to be reported only to
SDRs chosen by the DCO of the
resulting clearing swaps could create an
uneven playing field between DCO
affiliated SDRs and non-DCO affiliated
SDRs.113 Likewise, if the reporting
counterparty or SEF/DCM were to report
creation data, or select the SDR to which
such data is reported, an SDR in which
swap dealers have an ownership interest
may obtain a dominant market position.
This Final Rule avoids injecting the
Commission into a market decision by
maintaining the requirement that
creation data for swaps that become
original swaps is reported by the
reporting counterparty for that swap, or
the SEF/DCM, and the resulting clearing
swaps are reported by the DCO.
The Commission acknowledges the
data fragmentation concerns raised by
those that recommend DCOs report
original swap creation data, however,
the Commission also recognizes that
requiring the DCOs, rather than the
original reporting counterparty, to
report original swap creation data may
also present challenges. For example,
Eurex noted that there could be a
timeliness issue depending on when the
DCO receives necessary information
from counterparties to report creation
data.114 The Commission also is
concerned that, should DCOs report
original swaps, potential delays in
clearing could delay real-time swaps
reporting pursuant to part 43. The
Commission believes that accurate and
timely reporting of the required data
fields by all parties, in particular the
clearing swap PET fields and data
elements specific to terminations of
original swaps, will alleviate data
fragmentation concerns for those
situations where the original swap and
clearing swaps are reported to different
SDRs.
77 FR 2136, 2149.
Eurex Oct. 30, 2015 Letter, at 4.
115 See FSR Oct. 30, 2015 Letter, at 2; LCH Oct.
30, 2015 Letter, at 2; ISDA Oct. 30, 2015 Letter, at
4; CME Oct. 30, 2015 Letter, at 23 (CME also
suggested that the DCO select the SDR to which
114 See
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80 FR 52544, 52551.
80 FR 52544, 5255152.
124 This proposal would codify certain no-action
letters issued by the Commissions Division of
Market Oversight. See CFTC No-Action Letter No.
1255 (Dec. 17, 2012); CFTC No-Action Letter No.
1334 (Jun. 26, 2013); and CFTC No-Action Letter
No. 1490 (Jun. 30, 2014). Staff no-action relief from
the requirements of 45.4(b)(2)(ii) has been in effect
since the initial compliance date for part 45
reporting.
125 See 80 FR 52544, 52552.
123 See
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would apply to a swap that has been
submitted to a DCO for clearing and that
becomes an original swap by virtue of
the DCOs acceptance of such swap for
clearing. The DCOs continuation data
reporting obligations for a swap to
which it is not a counterparty (i.e., for
swaps other than clearing swaps) will
only be triggered if a swap is accepted
for clearing (and thus becomes an
original swap). If a swap is submitted to
a DCO for clearing and is not accepted
for clearing, then the DCO will not have
continuation data reporting obligations
for the swap, because the swap is not an
original swap or a clearing swap.
iv. Proposed Additional Continuation
Data Fields To Be Reported by DCOs
Proposed 45.4(c) would require
DCOs to report additional data fields
when reporting continuation data on
original swaps.129 These fields would be
the LEI of the SDR to which the DCO
reported clearing swaps replacing the
original swap; the USI of the original
swap being replaced; and the USIs of
each clearing swap that is replacing the
original swap. As discussed in the
NPRM,130 the Commission proposed
these additional data fields to enable the
Commission to track the complete life of
a cleared swap transaction. Inclusion of
these data fields in continuation data on
the original swap, taken in conjunction
with existing requirements to reporting
original swap information in reports
clearing swaps, will aid the Commission
in linking the original swap and all
clearing swaps replacing it.
80 FR 52544, 5255253.
80 FR 52544, 5253233.
131 See 80 FR 52544, 52553.
130 See
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to receive messages from the DCO
confirming that the original swap was
accepted for clearing, then translate that
message from the DCO into a
termination message to the SDR. This
may be particularly burdensome for
commercial end-users executing swaps
on SEFs or DCMs who might otherwise
have no reporting obligations and who
may not have the infrastructure in place
to report as quickly or as efficiently as
DCOs.160
On the other hand, requiring DCOs to
report creation and continuation data
for both original and clearing swaps
could slow the reporting of original
swaps for part 43 and part 45 purposes.
DCOs would need to receive messages
from the counterparties, or from the SEF
or DCM where executed on-facility,
with all information necessary to report
the swap that becomes an original swap.
The DCO would then need to transmit
such information to the SDR of its
choice. Introducing an extra step in
reporting would inherently slow
reporting, which must be done as soon
as technologically practicable
particularly for transparency reasons. At
the same time, requiring DCOs to report
original swaps for part 43 and part 45
purposes would require DCOs to obtain
information beyond what would be
needed for clearing purposes, thus
increasing the burden on DCOs.
Finally, the Commission has
considered the alternative proposal that
DCOs be allowed to report an original
swap termination to an SDR other than
that where the original swap was
reported. Adoption of this alternative
approach could result in significant data
fragmentation, as data on a single swap
could be housed at more than one SDR.
Additionally, this alternative approach
would render useless any position
reports generated by an SDR, as the SDR
(or market participant accessing its own
data on an SDR) could not determine if
the swaps it housed are still in effect,
thereby removing a potential validation
tool for market participants.161
Having considered these alternatives
as suggested by commenters, the
160 See
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17 CFR 45.5(a)(c).
168 See, e.g., 17 CFR 45.5(a)(1)(i), (b)(1)(i) and
(c)(1)(i) (the data component of a USI commonly
referred to as a namespace is the unique
alphanumeric code assigned to the registered entity
responsible for generating the USI for the purpose
of identifying such registered entity with respect to
USI creation).
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received were supportive of the
amendment to 45.5(d)(1), which
requires DCOs to generate USIs for
clearing swaps.175
FSR requested that the Commission
adopt ISDA best practices for
identifying international swaps,
including allowing for the use of a USI
as a unique transaction identifier
(UTI) for reporting swaps in other
jurisdictions.176 FSR commented that
adopting the ISDA best practice
concerning USIs would avoid potential
double-counting when an international
swap is reported to two separate SDRs
in two jurisdictions.177
ISDA commented that, in principal
model clearing, the DCO should ensure
that both the DCOs clearing member
and the ultimate counterparty (if not the
clearing member) receive the clearing
swap USIs.178 ISDA further noted that
the current Orders of Exemption issued
to foreign DCOs do not include an
obligation for those exempt DCOs to
generate the USIs for reportable clearing
swaps.179
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80 FR 52544, 5255455.
infra, Section II.H.1.i.
182 See,
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17 CFR 45.10(a).
17 CFR 45.10(b)
194 See 17 CFR 45.10(c).
195 See 80 FR 52544, 5255556.
193 See
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Accordingly, all required creation and
continuation data for all clearing swaps
that can be traced back to the same
original swap (and for all equal and
opposite clearing swaps that are created
upon execution of the same transaction
but that do not replace an original swap)
will be reported to a single SDR.
The Commission noted in its proposal
that by operation of proposed new
45.8(i) and (j) and proposed 45.3(e),
there may be scenarios in which the
SEF/DCM or reporting counterparty
reports required swap creation data for
the swap that became the original swap
to one SDR, and the DCO reports
required swap creation data for the
clearing swaps that replace the original
swap to a different SDR.202 The
Commission proposed to require that all
swap data for the clearing swaps that
can be traced back to the same original
swap be reported to the same SDR, but
did not require that the clearing swaps
be reported to the same SDR as the
original swap.203
The Commission included in the
NPRM the following example to
illustrate the application of proposed
45.10: 204
Swap 1 is intended to be submitted to
a DCO for clearing and executed on or
pursuant to the rules of a SEF. The SEF
reports all required creation data for
such swap to registered SDR A pursuant
to 45.3(a), which was selected by the
SEF pursuant to proposed 45.3(j)(1),
and submits the swap to the DCO for
clearing. Upon acceptance of Swap 1 for
clearing, the DCO extinguishes Swap 1
and replaces it with Swap 2 and Swap
3, both of which are clearing swaps.
Swap 1 is now an original swap.
Proposed 45.4(c) would require the
DCO to report the termination of Swap
1 to SDR A,205 reflecting that Swap 1,
now an original swap, has been
terminated through clearing
novation.206 The DCO would also report
all required swap creation data for
clearing Swap 2 to a single SDR of its
choice (say, for example, SDR B)
pursuant to proposed 45.3(e) and
(j)(2), and 45.10(d).207 Similarly, the
DCO would be required to report all
required swap creation data for clearing
Swap 3 to a single SDR, in this case SDR
202 See
80 FR 52556.
id.
204 See 80 FR 52544, 52556.
205 Pursuant to proposed 45.10(a)(2), (b)(2), and
(c)(3), continuation data for original swaps must be
reported to the SDR where the first report of
required swap creation data was made for the swap.
206 Pursuant to existing 45.13(b), the DCO shall
use the facilities, methods, or data standards
provided or required by SDR A. 17 CFR 45.13(b).
207 The Commission notes that pursuant to
proposed 45.10(a)(d), the DCO in this example
could select an SDR other than SDR A.
203 See
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acceptance for clearing, the USI of each
clearing swap pursuant to 45.5(d)(2)
and the LEI of the SDR to which the
clearing swap was reported pursuant to
45.10(d)(1).
The DCO would have no further
continuation data reporting obligations
with respect to the original swap
thereafter. However, the Commission
notes that pursuant to 45.14, registered
entities and counterparties required to
report swap data to an SDR must report
any known errors and omissions in the
data reported. Additionally, nonreporting counterparties are also
required to notify the reporting
counterparty of such errors or
omissions.221 Finally, pursuant to
49.10(a), SDR A would be required to
accept and record the original swap
termination.
H. Primary Economic Terms Data
Amendments to Appendix 1 to Part
45Tables of Minimum Primary
Economic Terms
The Commissions existing lists of
minimum primary economic terms for
swaps in each swap asset class are
found in tables in Exhibits AD of
appendix 1 to part 45. Those tables
include data elements that reflect
generic economic terms and conditions
common to most standardized products.
They reflect the fact that PET data
captures a swaps basic nature and
essential economic terms, and are
provided in order to ensure to the extent
possible that all such essential terms,
where applicable, are included when
required primary economic terms are
reported for each swap.
1. Proposed Amendments and
Additions to Primary Economic Data
Fields
The Commission proposed the
following revisions to Exhibits AD of
appendix 1, each of which is discussed
in greater detail below: (1)
Modifications to existing PET data
fields; (2) the addition of three new PET
data fields applicable to all reporting
entities for all swaps; and (3) the
addition of a number of new data fields
that must be reported by DCOs for
clearing swaps.222
221 See
222 The
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id. at 8.
id. at 8.
246 See id. at 9.
247 See id. at 9.
248 The Commission has also noted ITVs
comment requesting the addition of an indicator
that a swap was part of a package transaction. See
ITV Oct. 30, 2015 Letter, at 3. While this comment
is beyond the scope of the NPRM, the Commission
would note that the Technical Specifications
Request for Comment solicits input on this topic.
249 See CMC May 27, 2014 Letter, at 3
(recommending that the Commission reduce the
number and complexity of data fields required to
improve data reporting); CME letter at 1719
(providing recommendations on modification for
specific data fields and arguing against requiring
certain additional reporting); DTCC May 27, 2014
Letter, at 3, appendix at 15 (suggesting that the
Commission consider whether requiring fewer data
elements would better enable the Commission and
other regulators to fulfill their regulatory
obligations); International Energy Credit
Association May 27, 2014 Letter, at 56 (arguing
that existing swap data reporting requirements do
not need to be expanded and that data reporting
would be improved by reducing the current
reporting burden); Swiss Re May 27, 2014 Letter, at
5 (describing reporting difficulties for specific data
fields).
245 See
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80 FR 52544, 52559.
80 FR 52544, 52559.
252 See Draft Technical Specifications for Certain
Swap Data Elements, Request for Comment (Dec.
22, 2015), available at http://www.cftc.gov/idc/
groups/public/@newsroom/documents/file/
specificationsswapdata122215.pdf. (Technical
Specifications Request for Comment).
251 See
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5 CFR 1320.3(c)(1).
NPRM improperly cited information
collection 30380089, rather than 30380096, as the
collection relating to swaps reporting under part 45.
However, the NPRMs discussion of what
information is collected and the burden estimates
for swaps reporting under part 45 correctly
described collection 30380096, which is the basis
of this PRA discussion.
264 See Information Collection 30380070; see
also 77 FR 2136, 2174. (The Commission notes,
however, that these burdens should not be
considered additional to the costs of compliance
with part 43, because the basic data reporting
technology, processes, and personnel hours and
expertise needed to fulfill the requirements of part
43 encompass both the data stream necessary for
real-time public reporting and the creation data
stream necessary for regulatory reporting.).
265 The Commission issued a notice of intent to
renew information collection 30380096 on August
7, 2015. See Notice of Intent to Renew Collection
30380096, 80 FR 47477 (Aug. 7, 2015). The
Commission received no comments on this notice
of intent to renew. The comment file is available at
http://comments.cftc.gov/PublicComments/
CommentList.aspx?id=1608. The Office of
Management and Budget approved without change
the renewal of this information collection on
December 21, 2015.
266 Supporting documentation for the renewal of
information collection 30380096 is available at
http://www.reginfo.gov/public/do/
PRAViewDocument?ref_nbr=201508-3038-002.
267 Creation data under 45.3 includes all PET
data fields listed in appendix 1 to part 45, as well
as all confirmation data, which includes all terms
of the swap matched and agreed upon by the
parties. Continuation data reporting under 45.4
requires a reporting entity to ensure that all data on
263 The
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participants and the public; (2)
efficiency, competitiveness, and
financial integrity of futures markets; (3)
price discovery; (4) sound risk
management practices; and (5) other
public interest considerations. The
Commission considers the costs and
benefits resulting from its discretionary
determinations with respect to the
section 15(a) factors.
The Commission is amending and
making additions to 45.1, 45.3, 45.4,
45.5, 45.8, 45.10, and appendix 1 to part
45 in order to provide clarity to
counterparties to a swap and registered
entities regarding their part 45 reporting
obligations with respect to cleared swap
transactions and to improve the
efficiency of data collection and
maintenance associated with the
reporting of the swaps involved in a
cleared swap transaction. The final rule
adopts revisions to part 45 as proposed
in the NPRM.
2. Background
The swap data reporting framework
adopted in the Final Part 45
Rulemaking 273 was largely based on the
mechanisms for the trading and
execution of uncleared swaps. The plain
language of the existing part 45 rules
presumes the existence of a single,
continuous swap both prior to and after
acceptance of a swap for clearing by a
DCO. Under that framework, registered
entities and counterparties would each
report data with respect to a single swap
when such swap is initially executed,
referred to as creation data, and over
the course of the swaps existence,
referred to as continuation data. 274
The Commission has since had
additional opportunities to consult with
industry and with other regulators,
including the SEC,275 and to observe
how the part 45 regulations function in
practice with respect to swaps that are
cleared, including how the
implementation of part 45 interacts with
the implementation of part 39 of the
273 See
77 FR 2136.
45.1 defines required swap creation
data as primary economic terms data and
confirmation data. Section 45.1 defines primary
economic terms data as all of the data elements
necessary to fully report all of the primary
economic terms of a swap in the swap asset class
of the swap in question and defines confirmation
data as all of the terms of a swap matched and
agreed upon by the counterparties in confirming the
swap. 17 CFR 45.1. For cleared swaps, confirmation
data also includes the internal identifiers assigned
by the automated systems of the derivatives clearing
organization to the two transactions resulting from
novation to the clearing house. Id.
275 The SEC proposed certain new rules and rule
amendments to Regulation SBSR governing
reporting in the context of security-based swaps.
See Regulation SBSRReporting and
Dissemination of Security-Based Swap Information,
80 FR 14740 (Mar. 19, 2015).
274 Section
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practice and when helpful for purposes
of clarification.285
The Commission notes that
commenters did not submit any
comments relevant to the costs and
benefits of the proposed amendments to
45.1.
i. Costs
The Commission does not anticipate
that these definitions, in and of
themselves, impose additional costs on
DCOs or market participants. However,
these definitions will be referenced in
other proposed substantive provisions
and the costs and benefits of those
substantive requirements will be
discussed in the relevant sections
below.
ii. Benefits
As discussed earlier in this release,
the plain language of the existing part
45 regulations presumes the existence of
one continuous swap and does not
explicitly acknowledge distinct
reporting requirements for the
individual components (i.e., alphas,
betas, and gammas) of a cleared swap
transaction. However, industry practice
is generally to report part 45 data for
cleared swap transactions in
conformance with the multi-swap
framework described in 39.12(b)(6)
(i.e., to report alphas, betas, and gammas
separately). The definitions of original
and clearing swaps, along with the other
revisions to part 45 covered in this
release, will help align the part 45
regulations with part 39 and with
certain industry practices and will
explicitly delineate the swap data
reporting obligations associated with
each of the swaps involved in a cleared
swap transaction.286
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replace a particular alpha) to a single
SDR, such that all required creation data
and all required continuation data for
all clearing swaps that can be traced
back to the same original swap will be
reported to the same SDR (although not
necessarily the same SDR as the original
swap).
i. Costs
The Commission does not expect
DCOs to incur any new costs associated
with ensuring that clearing swap data is
reported to a single SDR because the
requirements of the adopted rule are, to
the Commissions understanding,
consistent with current DCO reporting
practice.
ii. Benefits
The Commission believes that the
benefit of reporting data associated with
each clearing swap to a single SDR is
that all required creation data, all
required continuation data for related
clearing swaps and, by extension, USIs
linking clearing swaps to the original
swap, will be stored with the same SDR.
This will minimize confusion on the
part of SDRs and regulators regarding
which swaps are still active and which
ones have been terminated. The
Commission notes that the benefits of
reporting all data for clearing swaps to
the same SDR are currently being
realized, as it is current industry
practice for DCOs to report swaps that
will fall under the amended definition
of clearing swaps in conformance with
adopted 45.10(d)(3).
9. PET DataAdopted Amendments to
the Primary Economic Terms Data
Tables
The Commissions current lists of
minimum (required) primary economic
terms for swaps in each swap asset class
are found in tables in Exhibits AD of
appendix 1 to part 45. With this final
release, the Commission has modified
the descriptions of some PET fields
applicable to all swaps, added some
PET fields applicable to all swaps, and
added some PET fields applicable only
to clearing swaps. For PET fields
applicable to clearing swaps, the
Commission is adding several new data
elements under the heading Additional
Data Categories and Fields for Clearing
Swaps to Exhibits AD in order to
more accurately capture the additional,
unique features of clearing swaps that
are not relevant to original swaps or
uncleared swaps. The newly proposed
data fields include: The USI for the
clearing swap; the USI for the original
swap; the SDR to which the original
swap was reported; clearing member
LEI, clearing member client account
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FR 2136, 2188.
at 2189.
338 Id.
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FR 2136, 2137.
FR 2136, 2149.
345 77 FR 2136, 2149.
344 77
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cleared swaps reporting rules.346 In
response to the NPRM, the Commission
received two comments directly
addressing competitive concerns. DTCC
and Markit both commented that
allowing a DCO to select the SDR for
clearing swaps will impact competition
as some DCOs have affiliated SDRs,
which may allow DCOs to bundle
clearing services with SDR services.347
DTCC commented that allowing the
DCO to report to an affiliated SDR,
particularly after the original swap has
already been reported to a different
SDR, will further entrench DCOs
vertical integration in trade execution,
clearing, and data reporting.348 DTCC
argued that this would, in turn, increase
barriers to entry for exchanges,
clearinghouses, and independent SDRs
that are unaffiliated with DCOs.349 As
an alternative, DTCC proposed to grant
the registered entity or reporting
counterparty that is obligated to report
the original swap the ability to select the
SDR to which the clearing swaps must
be reported by the DCO.350
Markit argued that allowing the DCO
to select the SDR to which clearing
swaps are reported would provide
regulatory approval for anticompetitive
tying of clearing and reporting
services.351 Markit contrasted the
current marketplace for clearing services
with what existed in March 2013 when
the Commission approved CME Rule
1001, and alleged that concentration has
increased since 2013.352 In support,
Markit argued that one DCOwhich is
affiliated with an SDRclears 87
percent of global credit index swaps.353
As an alternative to the Commissions
proposal, Markit proposed that the
reporting counterparty for an original
swap be permitted, at its discretion, to
both report the resulting clearing swaps
and select the SDR to which the clearing
swaps are reported. Under Markits
proposal, the reporting counterparty to
the original swap would also be
permitted to delegate this reporting and
SDR selection responsibility to the
DCO.354
The Commission has taken into
consideration the public interest to be
protected by the antitrust laws, and
endeavored to take the least
anticompetitive means of achieving the
objectives of the CEA in adopting this
346 80
FR 52571.
Markit Oct. 30, 2015 Letter, at 35; DTCC
Oct. 30, 2015 Letter, at 7.
348 See DTCC Oct. 30, 2015 Letter, at 7.
349 See DTCC Oct. 30, 2015 Letter, at 7.
350 See DTCC Oct. 30, 2015 Letter, at 7.
351 See Markit Oct. 30, 2015 Letter, at 4.
352 See Markit Oct. 30, 2015 Letter, at 4.
353 See Markit Oct. 30, 2015 Letter, at 45.
354 See Markit Oct. 30, 2015 Letter, at 5.
347 See
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45.1
Definitions.
*
*
*
*
Clearing swap means a swap created
pursuant to the rules of a derivatives
clearing organization that has a
derivatives clearing organization as a
counterparty, including any swap that
replaces an original swap that was
extinguished upon acceptance of such
original swap by the derivatives clearing
organization for clearing.
*
*
*
*
*
Derivatives clearing organization
means a derivatives clearing
organization, as defined by 1.3(d) of
this chapter, that is registered with the
Commission.
*
*
*
*
*
Original swap means a swap that has
been accepted for clearing by a
derivatives clearing organization.
*
*
*
*
*
3. Revise 45.3 to read as follows:
45.3
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reporting obligations of swap dealers,
major swap participants, non-SD/MSP
counterparties, swap execution
facilities, designated contract markets,
and derivatives clearing organizations to
report swap data to a swap data
repository. In addition to the reporting
obligations set forth in this section and
in 45.4, registered entities and swap
counterparties are subject to other
reporting obligations set forth in this
chapter, including, without limitation,
the following: Swap dealers, major swap
participants, and non-SD/MSP
counterparties are also subject to the
reporting obligations with respect to
corporate affiliations reporting set forth
in 45.6; swap execution facilities,
designated contract markets, swap
dealers, major swap participants, and
non-SD/MSP counterparties are subject
to the reporting obligations with respect
to real time reporting of swap data set
forth in part 43 of this chapter;
counterparties to a swap for which an
exception to, or an exemption from, the
clearing requirement has been elected
under part 50 of this chapter are subject
to the reporting obligations set forth in
part 50 of this chapter; and, where
applicable, swap dealers, major swap
participants, and non-SD/MSP
counterparties are subject to the
reporting obligations with respect to
large traders set forth in parts 17 and 18
of this chapter. Paragraphs (a) through
(d) of this section apply to all swaps
except clearing swaps, while paragraph
(e) applies only to clearing swaps.
(a) Swaps executed on or pursuant to
the rules of a swap execution facility or
designated contract market. For each
swap executed on or pursuant to the
rules of a swap execution facility or
designated contract market, the swap
execution facility or designated contract
market must report all primary
economic terms data for the swap, as
defined in 45.1, as soon as
technologically practicable after
execution of the swap. If the swap is not
intended to be submitted to a
derivatives clearing organization for
clearing at the time of execution, the
swap execution facility or designated
contract market must report all
confirmation data for the swap, as
defined in 45.1, as soon as
technologically practicable after
execution of the swap.
(b) Off-facility swaps subject to the
clearing requirement. For all off-facility
swaps subject to the clearing
requirement under part 50 of this
chapter, except for those off-facility
swaps for which an exception to, or
exemption from, the clearing
requirement has been elected under part
50 of this chapter, and those off-facility
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[Amended]
45.4
data.
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to real time reporting of swap data set
forth in part 43 of this chapter; and,
where applicable, swap dealers, major
swap participants, and non-SD/MSP
counterparties are subject to the
reporting obligations with respect to
large traders set forth in parts 17 and 18
of this chapter.
(a) Continuation data reporting
method generally. For each swap,
regardless of asset class, reporting
counterparties and derivatives clearing
organizations required to report swap
continuation data must do so in a
manner sufficient to ensure that all data
in the swap data repository concerning
the swap remains current and accurate,
and includes all changes to the primary
economic terms of the swap occurring
during the existence of the swap.
Reporting entities and counterparties
fulfill this obligation by reporting either
life cycle event data or state data for the
swap within the applicable deadlines
set forth in this section. Reporting
counterparties and derivatives clearing
organizations required to report swap
continuation data for a swap may fulfill
their obligation to report either life cycle
event data or state data by reporting:
(1) Life cycle event data to a swap
data repository that accepts only life
cycle event data reporting;
(2) State data to a swap data
repository that accepts only state data
reporting; or
(3) Either life cycle event data or state
data to a swap data repository that
accepts both life cycle event data and
state data reporting.
(b) Continuation data reporting for
clearing swaps. For all clearing swaps,
required continuation data must be
reported as provided in this section.
(1) Life cycle event data or state data
reporting. The derivatives clearing
organization, as reporting counterparty,
must report to the swap data repository
either:
(i) All life cycle event data for the
swap, reported on the same day that any
life cycle event occurs with respect to
the swap; or
(ii) All state data for the swap,
reported daily.
(2) Valuation data reporting.
Valuation data for the swap must be
reported by the derivatives clearing
organization, as reporting counterparty,
daily.
(c) Continuation data reporting for
original swaps. For all original swaps,
required continuation data, including
terminations, must be reported to the
swap data repository to which the swap
that was accepted for clearing was
reported pursuant to 45.3(a) through
(d) in the manner provided in 45.13(b)
and in this section, and must be
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is submitted for clearing, as part of the
required swap creation data transmitted
to the derivatives clearing organization
for clearing purposes.
(f) Use. Each registered entity or swap
counterparty subject to the jurisdiction
of the Commission shall include the
unique swap identifier for a swap in all
of its records and all of its swap data
reporting concerning that swap, from
the time it creates or receives the unique
swap identifier as provided in this
section, throughout the existence of the
swap and for as long as any records are
required by the CEA or Commission
regulations to be kept by that registered
entity or counterparty concerning the
swap, regardless of any life cycle events
or any changes to state data concerning
the swap, including, without limitation,
any changes with respect to the
counterparties to or the ownership of
the swap. This requirement shall not
prohibit the use by a registered entity or
swap counterparty in its own records of
any additional identifier or identifiers
internally generated by the automated
systems of the registered entity or swap
counterparty, or the reporting to a swap
data repository, the Commission, or
another regulator of such internally
generated identifiers in addition to the
reporting of the unique swap identifier.
7. Revise 45.8 to read as follows:
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41779
EXHIBIT AMINIMUM PRIMARY ECONOMIC TERMS DATACREDIT SWAPS AND EQUITY SWAPS
[Enter N/A for fields that are not applicable]
Data categories and fields for all swaps
Comment
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Yes/No.
Yes/No.
Yes/No.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
As provided in 45.5.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
Yes/No.
Yes/No.
Yes/No.
As provided in 45.7.
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EXHIBIT AMINIMUM PRIMARY ECONOMIC TERMS DATACREDIT SWAPS AND EQUITY SWAPSContinued
[Enter N/A for fields that are not applicable]
Data categories and fields for all swaps
Comment
EXHIBIT AMINIMUM PRIMARY ECONOMIC TERMS DATACREDIT SWAPS AND EQUITY SWAPS
[Enter N/A for fields that are not applicable]
Additional data categories and fields for clearing swaps
Comment
The USIs of each clearing swap that replaces the original swap that
was submitted for clearing to the DCO, other than the USI for which
the PET data is currently being reported (as USI field above).
The USI of the original swap submitted for clearing to the DCO that is
replaced by clearing swaps.
LEI of SDR to which the original swap was reported.
LEI of Clearing member.
Clearing member client account number.
An indication whether the clearing member acted as principal for a
house trade or agent for a customer trade.
The date and time at which the DCO received the original swap for
clearing, expressed using UTC.
The date and time at which the DCO accepted the original swap for
clearing, expressed using UTC.
EXHIBIT BMINIMUM PRIMARY ECONOMIC TERMS DATAFOREIGN EXCHANGE TRANSACTIONS (OTHER THAN CROSSCURRENCY SWAPS)
[Enter N/A for fields that are not applicable]
Comment
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Yes/No.
Yes/No.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
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41781
EXHIBIT BMINIMUM PRIMARY ECONOMIC TERMS DATAFOREIGN EXCHANGE TRANSACTIONS (OTHER THAN CROSSCURRENCY SWAPS)Continued
[Enter N/A for fields that are not applicable]
Data fields for all swaps
Comment
Currency 1 ................................................................................................
Currency 2 ................................................................................................
Notional amount 1 ....................................................................................
Notional amount 2 ....................................................................................
Exchange rate ..........................................................................................
Delivery type .............................................................................................
Settlement or expiration date ...................................................................
Timestamp for submission to swap data repository ................................
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As provided in 45.5.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
Yes/No.
Yes/No.
Yes/No.
As provided in 45.7.
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41782
Federal Register / Vol. 81, No. 123 / Monday, June 27, 2016 / Rules and Regulations
EXHIBIT BMINIMUM PRIMARY ECONOMIC TERMS DATAFOREIGN EXCHANGE TRANSACTIONS (OTHER THAN CROSSCURRENCY SWAPS)
[Enter N/A for fields that are not applicable]
Additional data categories and fields for clearing swaps
Comment
The USIs of each clearing swap that replaces the original swap that
was submitted for clearing to the DCO, other than the USI for which
the PET data is currently being reported (as USI field above).
The USI of the original swap submitted for clearing to the DCO that is
replaced by clearing swaps.
LEI of SDR to which the original swap was reported.
LEI of Clearing member.
Clearing member client account number.
An indication whether the clearing member acted as principal for a
house trade or agent for a customer trade.
The date and time at which the DCO received the original swap for
clearing, expressed using UTC.
The date and time at which the DCO accepted the original swap for
clearing, expressed using UTC.
EXHIBIT CMINIMUM PRIMARY ECONOMIC TERMS DATAINTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY SWAPS)
[Enter N/A for fields that are not applicable]
Comment
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Yes/No.
Yes/No.
Yes/No.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
As provided in 45.5.
Yes/No.
As provided in 45.7.
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41783
EXHIBIT CMINIMUM PRIMARY ECONOMIC TERMS DATAINTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY
SWAPS)Continued
[Enter N/A for fields that are not applicable]
Data fields for all swaps
Comment
For a mixed swap reported to two non-dually-registered swap data repositories, the identity of the other swap data repository (if any) to
which the swap is or will be reported.
Contract type ............................................................................................
Block trade indicator .................................................................................
Field value: LEI of the other SDR to which the swap is or will be reported.
EXHIBIT CMINIMUM PRIMARY ECONOMIC TERMS DATAINTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY SWAPS)
Comment
The USIs of each clearing swap that replaces the original swap that
was submitted for clearing to the DCO, other than the USI for which
the PET data is currently being reported (as USI field above).
The USI of the original swap submitted for clearing to the DCO that is
replaced by clearing swaps.
LEI of SDR to which the original swap was reported.
LEI of Clearing member.
Clearing member client account number.
An indication whether the clearing member acted as principal for a
house trade or agent for a customer trade.
The date and time at which the DCO received the original swap for
clearing, expressed using UTC.
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41784
Federal Register / Vol. 81, No. 123 / Monday, June 27, 2016 / Rules and Regulations
EXHIBIT CMINIMUM PRIMARY ECONOMIC TERMS DATAINTEREST RATE SWAPS (INCLUDING CROSS-CURRENCY
SWAPS)Continued
[Enter N/A for fields that are not applicable]
Additional data categories and fields for clearing swaps
Comment
The date and time at which the DCO accepted the original swap for
clearing, expressed using UTC.
Comment
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Yes/No.
Yes/No.
Yes/No.
As provided in 45.6, or substitute identifier for a natural person.
Yes/No.
As provided in 45.5.
Yes/No.
As provided in 45.7.
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41785
Comment
The swap execution facility or designated contract market on or pursuant to the rules of which the swap was executed. Field values: LEI of
the swap execution facility or designated contract market, or off-facility if not so executed.
Time and date of submission to the swap data repository, expressed
using UTC, as recorded by an automated system where available, or
as recorded manually where an automated system is not available.
The date on which the swap commences or goes into effect (e.g., in
physical oil, the pricing start date).
The date on which the swap expires or ends (e.g., in physical oil, the
pricing end date).
The counterparty purchasing the product: (E.g., the payer of the fixed
price (for a swap), or the payer of the floating price on the underlying
swap (for a put swaption), or the payer of the fixed price on the underlying swap (for a call swaption). Field values: LEI, if available, or
substitute identifier, for a natural person.
The counterparty offering the product: (E.g., the payer of the floating
price (for a swap), the payer of the fixed price on the underlying
swap (for a put swaption), or the payer of the floating price on the
underlying swap (for a call swaption). Field values: LEI, or substitute
identifier, for a natural person.
The unit of measure applicable for the quantity on the swap. E.g., barrels, bushels, gallons, pounds, tons.
The amount of the commodity (the number of quantity units) quoted on
the swap.
The rate at which the quantity is quoted on the swap. E.g., hourly,
daily, weekly, monthly.
The quantity of the commodity for the entire term of the swap.
Physical delivery or cash.
The price of the swap. For options, the strike price.
The unit of measure applicable for the price of the swap.
ISO code.
The published price as paid by the buyer (if applicable). For swaptions,
applies to the underlying swap.
The averaging method used to calculate the index of the buyer pay
index. For swaptions, applies to the underlying swap.
The published price as paid by the seller (if applicable). For swaptions,
applies to the underlying swap.
The averaging method used to calculate the index of the seller pay
index. For swaptions, applies to the underlying swap.
If applicable, the grade of the commodity to be delivered, e.g., the
grade of oil or refined product.
Descriptor for the type of option transaction. E.g., put, call, straddle.
E.g., American, European, European Daily, European Monthly, Asian.
The total amount paid by the option buyer.
For electric power, the hours of the day for which the swap is effective.
For electric power, the time zone prevailing for the hours during which
electricity is transmitted.
For electric power, the profile applicable for the delivery of power.
For electric power, the load profile for the delivery of power.
Yes/No indication of whether the swap will be submitted for clearing to
a derivatives clearing organization.
LEI of the derivatives clearing organization.
Yes/No.
Seller .........................................................................................................
Any other term(s) of the swap matched or affirmed by the counterparties in verifying the swap.
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41786
Federal Register / Vol. 81, No. 123 / Monday, June 27, 2016 / Rules and Regulations
EXHIBIT DMINIMUM PRIMARY ECONOMIC TERMS DATAOTHER COMMODITY SWAPS
[Enter N/A for fields that are not applicable]
Comment
The USIs of each clearing swap that replaces the original swap that
was submitted for clearing to the DCO, other than the USI for which
the PET data is currently being reported (as USI field above).
The USI of the original swap submitted for clearing to the DCO that is
replaced by clearing swaps.
LEI of SDR to which the original swap was reported.
LEI of Clearing member.
Clearing member client account number.
An indication whether the clearing member acted as principal for a
house trade or agent for a customer trade.
The date and time at which the DCO received the original swap for
clearing, expressed using UTC.
The date and time at which the DCO accepted the original swap for
clearing, expressed using UTC.
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