[Federal Register Volume 75, Number 235 (Wednesday, December 8, 2010)]
[Proposed Rules]
[Pages 76574-76609]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2010-30476]



[[Page 76573]]

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Part III





Commodity Futures Trading Commission





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17 CFR Part 45



Swap Data Recordkeeping and Reporting Requirements; Proposed Rule

  Federal Register / Vol. 75 , No. 235 / Wednesday, December 8, 2010 / 
Proposed Rules  

[[Page 76574]]


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COMMODITY FUTURES TRADING COMMISSION

17 CFR Part 45

RIN 3038-AD19


Swap Data Recordkeeping and Reporting Requirements

AGENCY: Commodity Futures Trading Commission (CFTC).

ACTION: Proposed Rulemaking.

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SUMMARY: The Commodity Futures Trading Commission (``Commission or 
CFTC'') is proposing rules to implement new statutory provisions 
enacted by Title VII of the Dodd-Frank Wall Street Reform and Consumer 
Protection Act. These proposed rules apply to swap data recordkeeping 
and reporting requirements for swap data repositories, derivatives 
clearing organizations, designated contract markets, swap execution 
facilities, swap dealers, major swap participants, and swap 
counterparties who are neither swap dealers nor major swap participants 
(including counterparties who qualify for the end user exception with 
respect to particular swaps).

DATES: Comments must be received on or before February 7, 2011.

ADDRESSES: You may submit comments, identified by RIN number 3038-AD19, 
by any of the following methods:
     Agency Web site, via its Comments Online process: http://comments.cftc.gov. Follow the instructions for submitting comments 
through the Web site.
     Mail: David A. Stawick, Secretary of the Commission, 
Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st 
Street, NW., Washington, DC 20581.
     Hand Delivery/Courier: Same as mail above.
     Federal eRulemaking Portal: http://www.regulations.gov. 
Follow the instructions for submitting comments.
    All comments must be submitted in English, or must be accompanied 
by an English translation. Contents will be posted as received to 
http://www.cftc.gov. You should submit only information that you wish 
to make available publicly. If you wish the Commission to consider 
information that may be exempt from disclosure under the Freedom of 
Information Act, a petition for confidential treatment of the exempt 
information may be submitted according to the established procedures in 
CFTC Regulation 145.9.\1\
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    \1\ Commission regulations referred to herein are found at 17 
CFR Ch. 1.

FOR FURTHER INFORMATION CONTACT: David Taylor, Special Counsel, 
Division of Market Oversight, 202-418-5488, [email protected], or Irina 
Leonova, Financial Economist, Division of Market Oversight, 202-418-
5646, [email protected]; Commodity Futures Trading Commission, Three 
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Lafayette Centre, 1155 21st Street, NW., Washington, DC 20851.

SUPPLEMENTARY INFORMATION: 

Table of Contents

Supplementary Information
I. Background
    A. Introduction
    B. Swap Data Provisions of the Dodd-Frank Act
    C. International Developments Affecting Swap Data Reporting
     G-20 and FSB
     Standard Setting for Repositories and Data Reporting by 
IOSCO and CPSS
     BIS
     ODRF and ODSG
    D. Regulatory Needs for Swap Data
    E. Existing Trade Repositories
    F. Consultations With Other U.S. Financial Regulators
    G. Consultations With International Regulators
    Data Reporting Approaches
II. Proposed New Regulations, Part 45
    A. Recordkeeping Requirements
    B. Swap Data Reporting
     Swap Creation Data
     Swap Continuation Data
    C. Unique Identifiers
     Need for Unique Identifiers
     Unique Swap Identifiers
     Unique Counterparty Identifiers
     Unique Product Identifiers
    D. Determination of Which Counterparty Must Report
    E. Third Party Facilitation of Swap Data Reporting
    F. Reporting to a Single SDR
    G. Swap Data Reporting for Swaps in Asset Classes Not Accepted 
by Any Swap Data Repository
    H. Required Data Standards
    Reporting of Errors and Omissions in Previously Reported Data
III. Related Matters
    A. Regulatory Flexibility Act
    B. Paperwork Reduction Act
    Cost-Benefit Analysis
Proposed Effective Data
IV. General Solicitation of Comments
Proposed Rules
    Sec.  45.1 Definitions
    Sec.  45.2 Swap Recordkeeping
    Sec.  45.3 Swap Data Reporting
    Sec.  45.4 Unique Identifiers
    Sec.  45.5 Determination of Which Counterparty Must Report
    Sec.  45.6 Third-Party Facilitation of Data Reporting
    Sec.  45.7 Reporting to a Single SDR
    Sec.  45.8 Data Reporting for Swaps in a Swap Asset Class Not 
Accepted by Any SDR
    Sec.  45.9 Required Data Standards
    Sec.  45.10 Reporting of Errors and Omissions in Previously 
Reported Data
Appendix 1 to Part 45--Tables of Minimum Primary Economic Terms Data 
and Minimum Valuation Data
Appendix 2 to Part 45--Master Reference Generic Data Fields List

I. Background

A. Introduction

    On July 21, 2010, President Obama signed into law the Dodd-Frank 
Wall Street Reform and Consumer Protection Act (``Dodd-Frank Act'').\2\ 
Title VII of the Dodd-Frank Act \3\ amended the Commodity Exchange Act 
(``CEA'' or ``Act'') \4\ 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 swap 
dealers (``SDs'') and major swap participants (``MSPs''); imposing 
clearing and trade execution requirements on standardized derivative 
products; creating rigorous recordkeeping and data reporting regimes 
with respect to swaps, including real time reporting; and enhancing the 
Commission's rulemaking and enforcement authorities with respect to, 
among others, all registered entities, intermediaries, and swap 
counterparties subject to the Commission's oversight.
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    \2\ See Dodd-Frank Wall Street Reform and Consumer Protection 
Act, Public Law 111-203, 124 Stat. 1376 (2010). The text of the 
Dodd-Frank Act may be accessed at http://www.cftc.gov./
LawRegulation/OTCDERIVATIVES/index.htm.
    \3\ Pursuant to Section 701 of the Dodd-Frank Act, Title VII may 
be cited as the ``Wall Street Transparency and Accountability Act of 
2010.''
    \4\ 7 U.S.C. 1, et seq.
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B. Swap Data Provisions of the Dodd-Frank Act

    To enhance transparency, promote standardization, and reduce 
systemic risk, Section 728 of the Dodd-Frank Act establishes a newly-
created registered entity--the swap data repository (``SDR'') \5\--to 
collect and maintain data related to swap transactions as prescribed by 
the Commission, and to make such data electronically available to 
regulators.\6\
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    \5\ See also CEA Sec.  1a(40)(E).
    \6\ Regulations governing core principles and registration 
requirements for, and the duties of, SDRs are the subject of a 
separate notice of proposed rulemaking under Part 49 of the 
Commission's regulations.
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    Section 728 directs the Commission to prescribe standards for swap 
data recordkeeping and reporting. Specifically, Section 728 provides 
that:

    The Commission shall prescribe standards that specify the data 
elements for each swap

[[Page 76575]]

that shall be collected and maintained by each registered swap data 
repository.\7\

    \7\ CEA Sec.  21(b)(1)(A).
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These standards are to apply to both registered entities and 
counterparties involved with swaps:

    In carrying out [the duty to prescribe data element standards], 
the Commission shall prescribe consistent data element standards 
applicable to registered entities and reporting counterparties.\8\

    \8\ CEA Sec.  21(b)(1)(B).
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    Section 727 of the Dodd-Frank Act requires that each swap, either 
cleared or uncleared, shall be reported to a registered SDR. That 
Section also amends Section 1(a) of the CEA to add the definition of 
swap data repository:

    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.\9\

    \9\ CEA Sec.  1a(48).
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Section 728 also directs the Commission to regulate data collection and 
maintenance by SDRs.

    The Commission shall prescribe data collection and data 
maintenance standards for swap data repositories.\10\

    \10\ CEA Sec.  21(b)(2).
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These standards are to be comparable to those for clearing 
organizations.

    The [data] standards prescribed by the Commission under this 
subsection shall be comparable to the data standards imposed by the 
Commission on derivatives clearing organizations in connection with 
their clearing of swaps.\11\

    \11\ CEA Sec.  21(b)(3).
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    Section 729 of the Dodd-Frank Act added to the CEA new Section 4r, 
which addresses reporting and recordkeeping requirements for uncleared 
swaps. Pursuant to this section, each swap not accepted for clearing by 
any designated clearing organization (``DCO'') must be reported to an 
SDR (or to the Commission if no repository will accept the swap).
    Section 729 ensures that at least one counterparty to a swap has an 
obligation to report data concerning that swap. The determination of 
this reporting counterparty depends on the status of the counterparties 
involved. If only one counterparty is an SD, the SD is required to 
report the swap. If one counterparty is an MSP, and the other 
counterparty is neither an SD nor an MSP (``non-SD/MSP counterparty''), 
the MSP must report. Where the counterparties have the same status--two 
SDs, two MSPs, or two non-SD-MSP counterparties--the counterparties 
must select a counterparty to report the swap.\12\
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    \12\ See CEA Sec.  4r(a)(3).
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    In addition, Section 729 provides for reporting to the Commission 
of swaps neither cleared nor accepted by any SDR. Under this provision, 
counterparties to such swaps must maintain books and records pertaining 
to their swaps in the manner and for the time required by the 
Commission, and must make these books and records available for 
inspection by the Commission or other specified regulators if requested 
to do so.\13\ It also requires counterparties to such swaps to provide 
reports concerning such swaps to the Commission upon its request, in 
the form and manner specified by the Commission.\14\ Such reports must 
be as comprehensive as the data required to be collected by SDRs.\15\
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    \13\ CEA Sec.  4r(c)(2) requires individuals or entities that 
enter into a swap transaction that is neither cleared nor accepted 
by an SDR to make required books and records open to inspection by 
any representative of the Commission; an appropriate prudential 
regulator; the Securities and Exchange Commission; the Financial 
Stability Oversight Council; and the Department of Justice.
    \14\ CEA Sec.  4r(c).
    \15\ CEA Sec.  4r(d).
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C. International Developments Affecting Swap Data Reporting

    An extensive amount of work has been done in the area of over-the-
counter (``OTC'') derivatives reporting, both internationally and 
domestically. The Commission has reviewed and considered this work in 
preparing these proposed regulations.
    G-20 and FSB. In November 2008, as a response to the global 
economic crisis, the G-20 met in Washington. In September 2009, G-20 
Leaders agreed in Pittsburgh to critical elements relating to the 
reform of OTC oversight, including a provision that all ``OTC 
derivatives contracts should be reported to trade repositories.'' \16\
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    \16\ G-20 Leaders' Statement, The Pittsburg Summit, September 
24-25, 2009.
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    In October 2010, the Financial Stability Board (``FSB'') published 
a report setting out 21 recommendations addressing implementation of G-
20 commitments concerning standardization, central clearing, organized 
platform trading, and reporting to trade repositories (``TRs'').\17\ 
The report stated that regulatory authorities ``must have full and 
timely access to the data needed to carry out their respective 
mandates.'' \18\ It also provided that:

    \17\ Financial Stability Board, Implementing OTC Derivatives 
Market Reforms: Report of the OTC Derivatives Working Group, October 
20, 2010.
    \18\ Id. at 1-2.
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    Authorities with the legal mandate to set requirements for the 
reporting of transactions to trade repositories should consider the 
recommendations set out in the forthcoming report of the FSB Data 
Gaps and Systemic Linkages Group, and consult with the Committee on 
the Global Financial System (CGFS), the Bank for International 
Settlements (BIS), the ODSG and ODRF, to identify the data that 
should be reported to trade repositories to enable authorities to 
carry out their respective tasks . * * * Further, as the data must 
be able to be readily aggregated on a global basis, by end-2011 CPSS 
and IOSCO, in consultation with authorities, and with the ODRF, 
should develop both for market participants reporting to trade 
repositories and for trade repositories reporting to the public and 
to regulators: (i) minimum data reporting requirements and 
standardised formats, and (ii) the methodology and mechanism for the 
aggregation of data on a global basis.\19\
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    \19\ Financial Stability Board, Implementing OTC Derivatives 
Market Reforms: Report of the OTC Derivatives Working Group, October 
20, 2010, at 49.

    Standard-Setting for Repositories and Data Reporting by CPSS and 
IOSCO. To fulfill the mandate from FSB noted above, the Committee on 
Payment and Settlement Systems (``CPSS''), and the International 
Organization of Securities Commissions (``IOSCO''), which is recognized 
as the international standard setting body for securities markets, have 
formed an OTC Derivatives Regulation Task Force (``Task Force''). One 
purpose of the Task Force is ``to take a leading role in coordinating 
securities and futures regulators' efforts to work together in the 
development of supervisory and oversight structures related to 
derivatives markets,'' and ``to coordinate other international 
initiatives relating to OTC derivatives regulation.'' \20\ Regarding 
data reporting, the Task Force will produce a data report, scheduled 
for release in July 2011, which:
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    \20\ IOSCO Technical Committee Task Force On OTC Derivatives 
Regulation, Terms of Reference, at 1-2.

sets out, both for market participants reporting to trade 
repositories and for trade repositories reporting to the public and 
to regulators for the purpose of macro- and micro-surveillance: (1) 
Minimum data reporting requirements and standardised formats; and 
(2) the methodology and mechanism for the aggregation of data on a 
global basis.\21\
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    \21\ Id.

The Commission serves as a Co-Chair of the Task Force, and will 
participate in drafting its data report.
    In May 2010, the IOSCO Technical Committee and CPSS issued a 
consultative report, Considerations for Trade Repositories in OTC 
Derivatives Markets (``CPSS-IOSCO Considerations for Trade 
Repositories''), that identified

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twelve factors for consideration by trade repositories and relevant 
authorities in developing more robust data recordkeeping and reporting 
arrangements for derivatives.\22\ Regarding data reporting and 
recordkeeping, the report emphasizes that:
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    \22\ Committee on Payment and Settlement Systems, and Technical 
Committee of the International Organization of Securities 
Commissions, Considerations for Trade Repositories in OTC 
Derivatives Markets: Consultative Report, May 2010.

    [A] trade repository should promptly record the trade 
information it receives from its participants. To ensure the 
accuracy and currency of data, a trade repository should employ 
timely and efficient record keeping procedures to document changes 
to recorded trade information resulting from subsequent post-trade 
events. Ideally, a trade repository should record to its central 
registry trade information it receives from its participants in 
real-time, and at a minimum, within one business day.\23\
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    \23\ Id. at 11.
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    BIS. The Bank for International Settlements (``BIS'') is an 
international organization that fosters international monetary and 
financial cooperation and serves as a bank for central banks. It is the 
parent organization of CPSS, which is a BIS standing committee. BIS's 
Coordination Group, a senior group of supervisory standard setters 
comprised of the Chairmen and Secretaries of BIS, IOSCO, and the 
International Association of Insurance Supervisors, meets twice 
annually to allow supervisory standard setting organizations to 
exchange views on priorities and key issues. BIS also publishes 
statistics on global banking, securities, foreign exchange and 
derivatives markets. Its Semiannual Over-the-Counter (OTC) Derivatives 
Markets Statistics Report is designed to obtain comprehensive and 
internationally consistent information on the size and structure of 
major derivatives markets, including information on swaps and options 
of foreign exchange, interest rate, equity and commodity derivatives. 
Every three years, this semiannual survey is part of a world-wide 
exercise concerning activity on derivatives markets. For these reasons, 
BIS's expertise is relevant to data recordkeeping and reporting for 
derivatives.
    ODRF and ODSG. The OTC Derivative's Regulators' Forum (``ODRF'') 
brings together representatives from central banks, prudential 
supervisors, securities regulators and market regulators to discuss 
issues of common interest, regarding central clearing parties 
(``CCPs'') and TRs for OTC derivatives.\24\ As part of its support for 
application and implementation of standards, the ODRF has developed an 
outline of trade repository functionality that is desired by its 
members.\25\ The outline is designed to document trade repository 
attributes that will support the market transparency and data 
availability objectives set out in the CPSS-IOSCO Considerations for 
Trade Repositories. The outline addresses types, coverage, quality, and 
frequency of TR data, as well as access to TR data and desirable data 
elements. When discussing the frequency of data reporting to trade 
repositories, the outline suggests that transaction data in trade 
repositories should be updated at least once per day, such that all 
transaction records can be considered reliable as of the previous day. 
The OTC Derivatives Supervisors Group (``ODSG'') brings together the 
prudential supervisors of the major OTC derivatives dealers for 
coordination among them concerning major industry initiatives in the 
OTC derivatives market. The ODSG has worked cooperatively with major 
industry participants concerning establishment of trade repositories 
for several OTC derivatives asset classes.
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    \24\ As the ODRF itself states, ``the Forum is not a legal 
entity in its own right with its own separate and independent 
authority, nor is it a standard setting body.'' Rather, the ODRF 
``provides mutual assistance among the [regulatory] Authorities in 
carrying out their respective responsibilities with respect to OTC 
derivatives CCPs and TRs. In doing so, the Forum acts without 
prejudice to each Authority's statutory duties, and to national and 
otherwise applicable laws.'' While the ODRF seeks to promote 
consistent standards, ``This does not mean that the Forum will 
develop its own standards or provide guidance interpreting 
standards, but rather, the Forum supports the application and 
implementation of standards set by other bodies in the international 
regulatory community.'' OTC Derivatives Regulators' Forum, Scope and 
Relationship with International Bodies, March 23, 2010, at 1.
    \25\ ODRF, Outline of Trade Repository Functionality Being 
Sought by Members of the OTC Derivatives Regulators' Forum (version 
2), August 27, 2010.
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D. Regulatory Needs for Swap Data

    The various parts of the U.S. financial sector are regulated by 
several agencies and institutions: the Commodity Futures Trading 
Commission (``CFTC''), Office of the Comptroller of the Currency 
(``OCC''), Federal Deposit Insurance Corporation (``FDIC''), Federal 
Reserve Board of Governors (``FRB''), National Credit Union 
Administration (``NCUA''), and Securities and Exchange Commission 
(``SEC'').
    The CFTC's mission is to protect market users and the public from 
fraud, manipulation, and abusive practices related to the sale of 
commodity and financial futures and options, and to foster open, 
competitive, and financially sound futures and option markets. The 
OCC's primary mission is to charter, regulate, and supervise all 
national banks. The OCC supervises the Federal branches and agencies of 
foreign banks. The OCC's goal in supervising banks is to ensure that 
they operate in a safe and sound manner and in compliance with laws 
requiring fair treatment of their customers and fair access to credit 
and financial products. The FDIC is an independent agency created by 
the Congress to maintain stability and public confidence in the 
nation's financial system by: Insuring deposits, examining and 
supervising financial institutions for safety and soundness and 
consumer protection, and managing receiverships. The Federal Reserve's 
duties fall into four general areas: Conducting the nation's monetary 
policy by influencing the monetary and credit conditions in the economy 
in pursuit of maximum employment, stable prices, and moderate long-term 
interest rates; supervising and regulating banking institutions to 
ensure the safety and soundness of the nation's banking and financial 
system and to protect the credit rights of consumers; maintaining the 
stability of the financial system and containing systemic risk that may 
arise in financial markets; providing financial services to depository 
institutions, the U.S. government, and foreign official institutions, 
including playing a major role in operating the nation's payments 
system. The NCUA is the independent Federal agency that charters and 
supervises Federal credit unions. The mission of the SEC is to protect 
investors, maintain fair, orderly, and efficient markets, and 
facilitate capital formation.
    According to their regulatory mandates, the various U.S. financial 
regulators need different types of financial information to fulfill 
their missions. Systemic risk regulators, among other things, need data 
that will enable them to monitor gross and net counterparty exposures, 
wherever possible, not only on notional volumes for each contract but 
also market values, exposures before collateral, and exposure values 
net of collateral with a full counterparty breakdown. Such data would 
allow for the calculation of measures that capture counterparty risk 
concentrations both for individual risk categories as well as the 
overall market. Market regulators need data that enables them to 
promote market competitiveness and efficiency, protect market 
participants against fraud, manipulation, and abusive trading

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practices, enforce aggregate speculative position limits as adopted, 
and ensure the financial integrity of the clearing process.
    International financial regulators have similarly varied data 
needs. As noted in FSB's Report on Implementing OTC Derivative Market 
Reforms:

    The breadth and depth of information needed by authorities 
varies according to their respective mandates and may continue to 
evolve over time. Such mandates and objectives include, (i) 
assessing systemic risk and financial stability; (ii) conducting 
market surveillance and enforcement; (iii) supervising market 
participants; and (iv) conducting resolution activities.\26\

    \26\ Financial Stability Board, Implementing OTC Derivatives 
Market Reforms: Report of the OTC Derivatives Working Group, October 
20, 2010, at 47.
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    When expanding on the level of data that must be collected to 
satisfy these regulatory functions, the Report addresses both 
transaction level data and portfolio level data. Regarding transaction 
level data, the Report says:

    Authorities must be able to retrieve transaction event (flow) 
data at different levels of granularity, from aggregate statistics 
to transaction level information. TRs must collect and maintain data 
at a high level of details. Transaction event data must preserve 
information on the original terms of the transaction that is 
complete as practical and possible, and includes, for example, 
preserving the underlying reference, trading counterparties, price, 
and the time and date of the original transactions.\27\
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    \27\ Id. at 48.

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    Regarding portfolio level data, the Report states that:

    TRs should collect data to enable monitoring of gross and net 
counterparty exposures where possible, not only on notional volumes 
for each contract but also market values, exposures before 
collateral, and exposure value net of collateral with a full 
counterparty breakdown. This would allow for the calculation of 
measures that capture counterparty risk concentration both for 
individual risk categories as well as the overall market.\28\
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    \28\ Id.

E. Existing Trade Repositories

    Currently there are global trade repositories for credit, interest 
rate, and equity derivatives, in various stages of maturity and 
development.
    Credit Swaps Repository. The oldest and most fully developed of the 
three existing trade repositories is the current repository for credit 
swaps, the Depository Trust & Clearing Corporation's (``DTCC's'') Trade 
Information Warehouse (``DTCC Warehouse'' or ``Warehouse''). It is 
operated by a DTCC subsidiary, The Warehouse Trust Company, LLC, which 
is registered as a bank and regulated as a member of the U.S. Federal 
Reserve System, and as a limited purpose trust company by the New York 
State Banking Department. All G-14 dealers began submitting credit swap 
data to DTCC Warehouse in 2009, after they committed to reporting all 
credit swap trades to a repository.
    In addition to receiving and maintaining swap data, the Warehouse 
is substantially focused on providing a number of other services to 
swap counterparties. It calculates payments on all confirmed CDS 
contracts and creates real-time bilateral nets for each currency.\29\ 
The Warehouse supports trade processing associated with events of 
default, such as bankruptcy, failure to pay and restructuring that may 
trigger pay-outs for the buyer of the credit protection for the 
underlying reference entity of the credit derivative. Its automated 
event processing includes coupon payment recalculations, and 
calculation of credit event recovery and rebate amounts based on 
auction results, automated exit of the transactions for single-named 
trades exhausted by the credit event, factor adjustment and re-
versioning to new identification for affected index transactions.
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    \29\ For currency swaps involving foreign exchange (sometimes 
called FX swaps), DTCC also provides central, automated settlement 
of payments for contracts processed through the Warehouse's Central 
Settlement Service, in partnership with CLS Bank International.
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    Interest Rate Swaps Repository. In January 2010, TriOptima launched 
the Global OTC Derivatives Interest Rate Trade Reporting Repository 
(``TriOptima Interest Rate Repository'' or ``TriOptima IRTRR''), after 
being selected by the Rates Steering Committee of the International 
Swaps and Derivatives Association (``ISDA'') to provide a trade 
repository to collect information on trades in the interest rate 
derivatives market. The TriOptima IRTRR is regulated by the Swedish 
Financial Supervisory Authority. TriOptima is also a provider of post-
trade services for OTC derivatives, including portfolio reconciliation 
and compression.
    Equity Swaps Repository. The newest existing trade repository is 
DTCC's Equity Derivatives Reporting Repository (``EDRR''), launched on 
August 5, 2010. EDRR is designed to hold key position data, including 
product types, notional value, open trade positions, maturity and 
currency denomination for transactions, and counterparty type 
indicators. Equity derivatives that EDRR plans to support initially 
include equity swaps, dividend swaps, variance swaps, portfolio swaps, 
and swaptions, among other categories. DTCC's MarkitSERV subsidiary 
will provide operational support, including account management, client 
sign-up and customer service, and other product management services. 
Derivatives Repository Ltd., the legal company that runs the EDRR 
service, is regulated by the United Kingdom Financial Services 
Authority (``UK FSA'').
    Existing Repository Data Access. Access to data in the existing 
repositories requires a Memorandum of Understanding between the primary 
regulator of a repository and any competent financial regulatory 
authority that requires the data for regulatory purposes.

F. Consultations With Other U.S. Financial Regulators

    In developing the swap data recordkeeping and reporting rule, 
Commission staff has engaged in extensive consultations with U.S. 
domestic financial regulators. The agencies and institutions consulted 
include the Federal Reserve Board of Governors (including the Federal 
Reserve Bank of New York), Federal Deposit Insurance Corporation, 
Office of the Comptroller of Currency, Securities and Exchange 
Commission, and the Department of the Treasury. Commission staff 
welcomes and will continue consultations with these and other U.S. 
agencies and institutions while working on the final version of the 
rule.

G. Consultations With International Financial Regulators

    In developing the swap data recordkeeping and reporting rule, 
Commission staff has had extensive consultations with numerous 
international financial regulators and organizations. The international 
organizations and institutions consulted have included the European 
Commission (``EC''), European Central Bank (``ECB''), Committee of 
European Securities Regulators (``CESR''), FSB Data Gaps and Systemic 
Linkages Group (``DGSLG''), UK FSA, and financial regulators from 
India, Brazil, and Canada, as well as IOSCO and the ODRF. Commission 
staff welcomes and will continue consultations with these and other 
international agencies, institutions and organizations while working on 
the final version of the rule.

H. Data Reporting Approaches

    Two Conceptual Approaches to Swap Data Reporting. Conceptually, 
there are two distinct approaches to swap data reporting. One is 
commonly referred to as a life-cycle or event flow approach,

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and the other is a state or snapshot approach.
    The life cycle approach is focused on managing the flow of an 
information system's data throughout the life cycle of the flow from 
creation and initial storage to the time when it becomes obsolete. 
Sometimes called an event flow approach, the life cycle method records 
the details of a swap at its inception, and thereafter records 
individual events that affect the terms of the swap, when they occur. 
Systems based on the life-cycle data reporting approach typically are 
based on, or interrelated with, operational infrastructure for other 
functions, such as central credit event processing, legal 
recordkeeping, settlement services, etc.
    The state or snapshot approach is based on a report of all of the 
primary economic terms of a swap at its inception, followed by a daily 
update of the current state of the swap which incorporates all the 
changes that have happened to the swap since the previous snapshot. 
This approach also maintains daily synchronization and reconciliation 
of the data in a repository with the data of the reporting swap 
counterparty. Unlike the life cycle approach, the state or snapshot 
approach does not require specifying and prescribing the various events 
that require updating of data in a repository.
    While both approaches are viable methods of data collection, one 
can be more efficient than the other in different assets classes, due 
to differences between asset classes in terms of market structure and 
market processes. While a life-cycle approach is an efficient and 
effective method of data processing for credit swaps, and may also be 
suitable for equity swaps, a state or snapshot approach maybe more 
appropriate for interest rate swaps, commodity swaps, and currency 
swaps.
    Illustration of the Life Cycle Approach. The DTCC Warehouse, 
currently the only centralized global repository for OTC credit 
derivatives contracts, follows the life cycle approach to data 
reporting. The Warehouse supports the trade processing associated with 
events of default, including bankruptcy, failure to pay, restructuring, 
and other life cycle credit events which may trigger payouts for the 
buyer of credit protection for the underlying reference entity that is 
the subject of the credit swap.
    DTCC cites several benefits of using a life cycle approach for 
credit swaps. These benefits include greater control over payment 
processing, by providing an automated way for participants to start or 
stop automatic calculation of coupon payments for a specific trade; 
minimization of time and cost by automating payment calculations and 
providing bilateral netting of payments for firms participating in the 
Warehouse; increased efficiency through streamlining of the trade 
adherence process for life cycle events; and reduction of risk by 
handling all credit events and successor events identically for each 
participant, in the same time frame and with the same deadlines.
    DTCC itself recognizes that the life cycle approach is not the 
optimum approach for all asset classes, and that it often involves 
ancillary services not part of the core function of a repository. In 
responding to the CPSS-IOSCO Considerations for Trade Repositories, 
DTCC agreed with comments made by a European Commission staff working 
paper that highlighted the different fundamental natures of the OTC 
derivatives asset classes.\30\ Due to these fundamental asset class 
differences, DTCC said, it should be recognized that:

    \30\ European Commission Staff Working Paper Accompanying the 
Commission Communication ``Ensuring Efficient, Safe and Sound 
Derivatives Markets (SEC 2009) 905 final, 3 July 2009).*COM019*

    Therefore, for other asset classes (such as interest rates, 
equity derivatives, commodities, etc.) the nature of the products 
will dictate the overall operational infrastructure. For example, 
life cycle credit events are only relevant to CDSs.
    DTCC therefore agrees that repository services that fall broadly 
under (1) position recording, (2) data cleansing, [and] (3) 
reporting to regulators, the public and participant firms should be 
provided on a global basis for each OTC asset class. The stated 
goals of a repository--``to foster transparency, thus supporting the 
efficiency, stability of and orderly functioning (i.e. avoidance of 
abusive behavior) of financial markets''--are readily achieved 
through these services.
    However, DTCC does not believe it is appropriate to extend the 
definition of a repository to encompass the aspects of Asset 
Services (including legal record keeping) and Settlement Services 
that the TIW (Trade Information Warehouse) provides to the CDS 
market. These additional services are provided in addition to the 
trade repository and are complementary to it, as opposed to being an 
integral part.\31\
---------------------------------------------------------------------------

    \31\ Depository Trust & Clearing Corporation, Response by The 
Depository Trust & Clearing Corporation to the CPSS-IOSCO 
Consultative Report, June 22, 2010, at 8.

    In contrast to the DTCC Warehouse, which offers a full suite of 
repository and life cycle event processing services, the DTCC Equity 
Derivatives Reporting Repository offers only position recording and 
reporting services. This aligns with the industry's primary focus in 
developing this repository.
    Illustration of the State or Snapshot Approach. The TriOptima 
Interest Rate Repository, currently the only centralized, global 
repository for OTC interest rate derivatives contracts, uses the state 
or snapshot approach to data reporting for interest rate swaps. The 
TriOptima IRTRR collects transaction data on interest rate derivatives 
from market participants and provides regulators with monthly reports 
summarizing outstanding trade volumes and gross notionals as well as 
currency breakdown and maturity profiles by product type. It holds 
information for all types of both cleared and non-cleared OTC 
derivatives interest rate transactions.
    TriOptima cites a number of benefits of using the state or snapshot 
approach for interest rate swaps. One is that this approach allows the 
repository to have complete and up-to-date records at all times for all 
live contracts to which the counterparties are legally bound (whether 
or not full legal confirmation--which can take weeks--has occurred). 
Such swap data comprehensiveness is a key consideration for systemic 
risk monitoring. Another is that the state or snapshot approach avoids 
a need to specify and prescribe all of the events that would need to be 
recorded by a repository. TriOptima notes that this would be extremely 
difficult for interest rate swaps--in contrast to credit swaps where 
the list of life cycle events is clearly established--due to the wide 
variety of different types of interest rate swaps, including 
``bespoke'' swaps tailored to the specific needs of non-SD/MSP 
counterparties (including end users), and to ongoing interest rate swap 
product innovation. Provision of a daily snapshot also ensures that the 
swap data in the repository is reconciled and synchronized each day 
with the reporting counterparty's internal systems, which improves the 
quality of data in the repository through interfacing with the 
reporting counterparty's risk management systems.\32\
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    \32\ See TriOptima Letter to the Commodity Futures Trading 
Commission, October 26, 2010.
---------------------------------------------------------------------------

II. Proposed New Regulations, Part 45

A. Recordkeeping Requirements

    The Commission's existing requirements for recordkeeping with 
respect to futures and options are found in Sections 5(b) and 5(d) of 
the CEA; Sec. Sec.  1.31 and 1.35 of the Commission's Regulations; 
Appendix B to Part 38 of the Commission's Regulations, Core Principle 
17, Recordkeeping; and Appendix A to Part 39 of the

[[Page 76579]]

Commission's Regulations, Core Principle K, Recordkeeping. 
Collectively, these provisions establish recordkeeping requirements for 
all designated contract markets (``DCMs''), DCOs, futures commission 
merchants (``FCMs''), introducing brokers (``IBs''), and members of 
contract markets. Each such entity or person is generally required to 
keep full and complete records, together with all pertinent data and 
memoranda, of all activities relating to the business of the entity or 
person that is subject to the Commission's authority. All such records 
must be kept for a period of five years from the date of the record, 
and must be readily accessible during the first two years of the five-
year period. Copies of all such records must be provided, at the 
expense of the person required to keep the records, upon request by any 
representative of the Commission or the Department of Justice.
    The Commission believes that the rationale for requiring Commission 
registrants to keep all records relating to the business involved must 
also govern recordkeeping with respect to swaps by registered entities 
and swap counterparties. Such records are essential to carrying out the 
regulatory functions of not only the Commission but all other financial 
regulators, and for appropriate risk management by registered entities 
and swap counterparties themselves. The need for such records is also 
recognized internationally. As CPSS has noted:

    [I]t should be clear that the data recorded in a TR [trade 
repository] cannot be a substitute for the records of transactions 
at original counterparties. Therefore, it is important that even 
where TRs have been established and used, market participants 
maintain their own records of the transactions that they are a 
counterparty to and reconcile them with their counterparties or TRs 
on an ongoing basis (including for their own risk management 
purposes).\33\
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    \33\ Committee on Payment and Settlement Systems, Considerations 
for Trade Repositories in OTC Derivatives Markets, May 2010, at 1.

    A swap can continue to exist for a substantial period of time prior 
to its final termination or expiration. During this time, which in some 
cases can extend for many years, the key economic terms of the swap can 
change. Thus, recordkeeping requirements with respect to a swap must 
necessarily cover the entire period of time during which the swap 
exists, as well as an appropriate period following final termination or 
expiration of the swap.
    Accordingly, the Commission's proposed regulations establishing 
general swap recordkeeping requirements would require that all DCOs, 
DCMs, swap execution facilities (``SEFs''), SDs, and MSPs must keep 
full, complete, and systematic records, together with all pertinent 
data and memoranda, of all activities relating to the business of such 
entities or persons with respect to swaps. For all such entities and 
swap counterparties, these requirements would include, without 
limitation, records of all data required to be reported in connection 
with any swap.
    The proposed regulations would require that all records required to 
be kept by DCOs, DCMs, SEFs, SDs, MSPs, and non-SD/MSP counterparties 
must be kept throughout the existence of the swap and for five years 
following final termination of the swap.\34\ Records required to be 
kept by DCOs, DCMs, SEFs, SDs, and MSPs would be required to be readily 
accessible by the registered entity or person in question via real time 
electronic access throughout the life of the swap and for two years 
following the final termination of the swap, and retrievable within 
three business days through the remainder of the required retention 
period.
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    \34\ The Commission is aware that the European Commission's 
Proposal for a REGULATION OF THE EUROPEAN PARLIAMENT AND OF THE 
COUNCIL on OTC derivatives, central counterparties, and trade 
repositories, SEC(2010) 1058 and 1059, September 15, 2010, would 
require retention of records concerning swaps for ten years 
following final termination of a swap. The Commission is proposing 
to require record retention for five years following final 
termination of a swap because it believes that a ten-year post-
termination retention period may not be necessary for regulatory 
purposes, and could possibly impose an undue burden and costs on 
registered entities and swap counterparties. The Commission requests 
comment concerning the appropriate length of the required post-
termination retention period.
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    Non-SD/MSP counterparties, including counterparties who qualify as 
end users counterparties pursuant to Section 2(h)(7) of the CEA with 
respect to particular swaps, would be required to keep full, complete, 
and systematic records, including all pertinent data and memoranda, 
with respect to each swap in which they are a counterparty. Each such 
record would be required to be retrievable by the counterparty within 
three business days during the required retention period.
    The proposed rules would place lesser recordkeeping requirements on 
non-SD/MSP counterparties than on SD or MSP counterparties or 
registered entities because the Commission understands that non-SD/MSP 
counterparties are less likely than other counterparties or registered 
entities to have appropriate systems in place for this purpose, and 
that the number of swaps in which they are counterparties is likely to 
be smaller than the corresponding number for SDs or MSPs. The 
Commission believes that this approach also effectuates a policy choice 
made by Congress in Dodd-Frank to place lesser burdens on non-SD/MSP 
counterparties to swaps, where this can be done without damage to the 
fundamental systemic risk mitigation, transparency, standardization, 
and market integrity purposes of the legislation. The Commission 
requests comment concerning whether it should adopt a phase-in approach 
for recordkeeping requirements by non-SD/MSP counterparties.
    Because of the importance of swap data held in SDRs to all of the 
various regulatory functions of financial regulators across the U.S. 
financial sector and internationally, the proposed regulations would 
require that all records required to be kept by SDRs must be kept by 
the SDR both: (a) Throughout the existence of the swap and for five 
years following final termination or expiration of the swap, during 
which time the records must be readily accessible by the SDR and 
available to the Commission via real time electronic access; and (b) 
thereafter, for a period determined by the Commission, in archival 
storage from which they are retrievable by the SDR within three 
business days. The Commission believes that SDR records must be readily 
accessible via real time electronic access throughout the existence of 
the swap and for five years following final termination or expiration 
of the swap in order to make effective the statutory mandate that SDRs 
must ``provide direct electronic access to the Commission (or any 
designee of the Commission including another registered entity.'' \35\ 
Regarding the length of the additional period, commencing five years 
after final termination or expiration of a swap, during which an SDR 
must keep swap records in archival storage, the Commission notes that 
the ODRF has called for trade repositories to ``retain historical data 
for an indefinite period.'' \36\ The Commission seeks comment 
concerning whether SDRs should be required to keep swap data in 
archival storage in perpetuity, or whether a limited term in years 
should be required, and, if so, what archival storage period should be 
required.
---------------------------------------------------------------------------

    \35\ Dodd-Frank Sec.  728, CEA Sec.  21(c)(4)(A).
    \36\ ODRF, Outline of Trade Repository Functionality Being 
Sought by Members of the OTC Derivatives Regulators' Forum (version 
2), August 27, 2010, at 2.
---------------------------------------------------------------------------

    The proposed regulations would also require that all records 
required to be kept pursuant to the regulations must be

[[Page 76580]]

open to inspection upon request by any representative of the 
Commission, the Department of Justice, or the SEC, or by any 
representative of a prudential regulator as authorized by the 
Commission. The registered entity or swap counterparty involved would 
be required to provide copies to the Commission, at the expense of the 
registered entity or swap counterparty involved, either by electronic 
means, in hard copy, or both, as requested by the Commission.
    As referenced in the proposed regulations, in addition to the 
general recordkeeping requirements discussed above, specific 
recordkeeping requirements are being proposed in the Commission's other 
proposed rulemakings concerning SDRs, DCOs, DCMs, SEFs, SDs, MSPs, and 
non-SD/MSP counterparties.
    The Commission requests comment on all aspects of the proposed 
recordkeeping requirements. The Commission specifically requests 
comment on the following aspects of the requirements:

     The necessity, for risk management and other business 
purposes, of the records required to be kept;
     The length of time the records are required to be kept 
by DCOs, DCMs, SEFs, SDs, MSPs, and non-SD/MSP counterparties; the 
technology with which the records can be kept, any burden created by 
this requirement, and the usefulness of the records in question over 
the time required;
     The length of time the records are required to be kept 
by SDRs, the technology with which the records would be kept, any 
burden created by this requirement, and the usefulness of the 
records in question over the time required;
     Whether records should be required to be kept by DCOs, 
DCMs, SEFs, SDs, MSPs, and non-SD/MSP counterparties for ten years 
following final termination of a swap rather than five years; and
     The requirement that records be accessible in real time 
for the periods required in the proposed regulation.
     Whether the Commission should adopt a phase-in approach 
to recordkeeping requirements for non-SD/MSP counterparties.

B. Swap Data Reporting

    Swap Data Reporting from Two Stages of a Swap's Existence. The 
Commission believes that it is important for fulfillment of the 
purposes of Dodd-Frank to ensure that complete data concerning swaps is 
maintained in SDRs and available to regulators.\37\ Accordingly, the 
Commission believes that swap data reporting should include data from 
each of two important stages of the existence of a swap: The creation 
of the swap, and the continuation of the swap over its existence until 
its final termination or expiration.\38\
---------------------------------------------------------------------------

    \37\ It is important to note that the reporting requirements 
addressed in this proposed rulemaking are separate from the public 
reporting of swap transactions requirements found in CEA Sec.  
2(a)(13)(A) through (F), commonly called real time reporting. Real 
time reporting requires swap data to be publicly disseminated in a 
manner that protects anonymity. See CEA Sec. Sec.  2(a)(13)(C)(iii) 
and 2(a)(13)(E)(i).
    It is also important to note that the Commission intends to 
establish data recordkeeping and reporting requirements for 
``transitional swaps'' in a separate rulemaking. ``Transitional 
swap'' means a swap executed on or after the date of enactment of 
the Dodd-Frank Act (i.e., July 21, 2010) and before the effective 
date of the final rule issued pursuant to this present rulemaking. 
CEA Section 2(h)(5) Reporting Transition Rules provides that ``Swaps 
entered into on or after [the] date of enactment [of the Dodd-Frank 
Act] shall be reported to a registered swap data repository or the 
Commission no later than the later of (i) 90 days after [the] 
effective date [of Section 2(h)(5)] or (ii) such other time after 
entering into the swap as the Commission may prescribe by rule or 
regulation.'' The Commission anticipates that the rulemaking for 
transitional swaps will address the records, information and data 
regarding transitional swaps that must be retained and the timeframe 
for reporting such information to the SDR or the Commission.
    \38\ The proposed regulation uses the terms ``swap creation 
data'' and ``swap continuation data'' to refer to these two stages 
in the life of a swap, instead of referring to these stages as, for 
example, the ``execution'' and ``life cycle'' of a swap, in order to 
avoid the confusion that could result from the fact that those and 
other commonly used terms do not have universally accepted 
definitions and are used in different ways by different people in 
the derivatives marketplace.
---------------------------------------------------------------------------

    Swap Creation Data Reporting: Two Sets of Data. With regard to the 
creation of a swap, the proposed regulation calls for reporting of two 
sets of data generated in connection with creation of the swap: Primary 
economic terms data, and confirmation data.
    Primary Economic Terms Data. The primary economic terms of a swap 
include all of the terms of the swap verified or matched by the 
counterparties at or shortly after the execution of the swap. Such 
terms can differ not only for swaps in different swap asset classes, 
but also for standardized versus non-standardized swaps. For swaps 
executed on a SEF or DCM, the primary economic terms will be those 
specified in the contract listed on the platform in question. For non-
standardized or bespoke swaps executed bilaterally, primary economic 
terms are typically far less standardized. However, counterparties 
verify the primary or essential economic terms of their swap with each 
other in some fashion following execution in the case of every 
swap.\39\ The industry does not have a single agreed-upon term for this 
verification process, which is variously called affirmation, matching, 
or confirmation of primary economic terms. By whatever name, the 
proposed regulation would require that all of the terms of the swap 
thus verified by the counterparties be reported to an SDR.
---------------------------------------------------------------------------

    \39\ For example, in the case of a swap involving an SD, the 
SD's front office is where the trade starts. The order is placed, 
and the SD will price the swap and give the quote to the 
counterparty. If the counterparty agrees to the details of the trade 
and is willing to enter into the deal, the trade is executed. 
Typically, the trade is then captured by the SD's deal capture 
system, which will validate all the necessary trade economics. An 
acknowledgement is sent to the counterparty with the trade details, 
and the counterparty either agrees or disagrees with those details.
---------------------------------------------------------------------------

    Minimum primary economic terms data. In order to ensure that the 
array of primary economic terms reported to an SDR for a swap is 
sufficient in each case for regulatory purposes, the proposed 
regulations would require that the primary economic terms reported must 
include, at a minimum, all of the data elements listed by the 
Commission in the table of data elements for a swap of the asset class 
involved, found in Appendix 1 to Part 45.\40\ The tables in Appendix 1 
to Part 45 are designed to include data elements that reflect generic 
economic terms and conditions common to most standardized products in 
the asset class in question.\41\ They reflect the focus of required 
reporting of primary economic terms data on the basic nature and 
essential economic terms of the product involved, and are provided in 
order to ensure to the extent possible that most such essential terms 
are included when required primary economic terms are reported for each 
swap. The proposed regulations are designed to capture the additional,

[[Page 76581]]

unique features of particular swaps in the asset class in question 
through required reporting of confirmation data, which will include 
reporting of all terms of each swap.
---------------------------------------------------------------------------

    \40\ When the final regulations are published, the Commission 
intends to publish such tables in a separate Federal Register 
release, which will be referenced in the final regulations. This 
procedure is intended to allow the Commission to update the tables 
from time to time, in response to swap market developments, without 
a need to issue new regulations. The Commission requests comment 
concerning this approach, including comments on its possible 
utility, benefits, or drawbacks; on whether the data tables should 
instead be published as an Appendix to the final regulations; and on 
whether the data tables should be published in some other fashion.
    \41\ On December 22, 2008, the FDIC published in the Federal 
Register a final rule, effective January 21, 2009, that established 
recordkeeping requirements for ``qualified financial contracts'' 
held by insured depository institutions in a ``troubled condition.'' 
Recordkeeping Requirements for Qualified Financial Contracts, 12 CFR 
part 371, RIN 3064-AD30, December 22, 2008. Both terms are defined 
in the rule. Upon written notification by FDIC, such an institution 
is required by the rule to produce certain data required by the FDIC 
over a period specified by the FDIC. The Commission requests comment 
on whether it should incorporate the recordkeeping and data 
reporting requirements in this FDIC rule in its final data reporting 
rules, in its internal business conduct rules, or in other rules 
swap-related rules promulgated by the Commission, and, if so, on how 
such requirements should be incorporated.
---------------------------------------------------------------------------

    In addition to the tables included in Appendix 1 to Part 45, 
Appendix 2 to Part 45 contains a Master Reference Generic Data Fields 
List, which includes data elements that the Commission believes could 
be relevant for standardized swaps in some or all swap asset classes. 
The Commission requests comment on whether any of the data fields in 
this Master Reference Generic Data Fields List should be included in 
one or more of the Tables of Required Minimum Primary Economic Terms 
Data for specific swap asset classes, or in the Minimum Valuation Data 
table, that are included in Appendix 1 to Part 45.
    The minimum primary economic terms data elements listed in the 
tables in Appendix 1 to Part 45 include futures contract equivalent 
data fields. The rationale for including those fields is the statutory 
mandate to the Commission to promulgate regulations to limit the amount 
of positions, other than bona fide hedge positions, that may be held by 
any person with respect to commodity futures and option contracts in 
exempt and agricultural commodities. The Commission would require 
position data for not only futures and option contracts but also for 
economically equivalent swaps, if the Commission's proposed rules 
titled ``Position Reports for Physical Commodity Swaps'' become 
final.\42\ In order to decrease potential burdens on persons that could 
be subject to the requirement to file position reports under those 
proposed rules (should they become final), the Commission requests 
comment on whether certain aspects of the proposed position reports 
should be a part of data reporting to SDRs.
---------------------------------------------------------------------------

    \42\ 75 FR 67258 (November 2, 2010).
---------------------------------------------------------------------------

    Confirmation data. The second set of data generated in connection 
with the creation of a swap and required by the proposed regulations to 
be reported is confirmation data. The proposed rulemaking defines 
``confirmation'' as the full, signed, legal confirmation by the 
counterparties of all of the terms of a swap, and defines 
``confirmation data'' as all of the terms of a swap matched and agreed 
upon by the counterparties in confirming the swap. The proposed 
regulations would require reporting of confirmation data, in addition 
to the earlier reporting of primary economic terms data, in order to 
help ensure the completeness and accuracy of the data maintained in an 
SDR with respect to a swap. Reporting of the terms of the confirmation, 
which has the assent of both counterparties, provides a means of 
fulfilling the statutory directive that an SDR ``shall confirm with 
both counterparties to the swap the accuracy of the data that was 
submitted.'' \43\ The goal of ensuring the highest possible degree of 
swap data accuracy is shared internationally, as noted in the statement 
included in the FSB Report Implementing OTC Derivatives Market Reforms 
that ``authorities should ensure that market participants report and 
TRs collect and provide data of the highest reliability practicable * * 
*'' \44\
---------------------------------------------------------------------------

    \43\ CEA Sec.  21(c)(2).
    \44\ FSB, Implementing OTC Derivatives Market Reforms: Report of 
the OTC Derivatives Working Group, October 20, 2010, at 47.
---------------------------------------------------------------------------

    Who Reports Swap Creation Data. Under the proposed regulations, 
determination of who must report required swap creation data is based 
on two criteria. The first criterion is whether the swap is (1) 
executed on a SEF or DCM and cleared on a DCO; (2) executed on a SEF or 
DCM but not cleared; (3) not executed on a SEF or DCM but cleared on a 
DCO; or (4) not executed on a SEF or DCM and not cleared. The second 
criterion is whether the reporting counterparty (as determined 
according to Sec.  45.5) is an SD or MSP, or instead is a non-SD/MSP 
counterparty. Using these two criteria to determine who reports is 
intended to streamline and simplify the data reporting approach, by 
calling for reporting of each set of swap creation data by the 
registered entity or counterparty that has the easiest, fastest, and 
cheapest access to the set of data in question. The results of this 
approach are shown in the following table:

                                         Reporting of Swap Creation Data
----------------------------------------------------------------------------------------------------------------
                                     Executed on a       Executed on a     Not executed on a   Not executed on a
     Reporting counterparty          platform and      platform and not      platform and      platform and not
                                        cleared             cleared             cleared             cleared
----------------------------------------------------------------------------------------------------------------
SD or MSP.......................  SEF/DCM (primary    SEF (primary        SD/MSP (primary     SD/MSP (primary
                                   economic terms).    economic terms).    economic terms).    economic terms).
                                  DCO (confirmation)  SD/MSP              DCO (confirmation)  SD/MSP
                                                       (confirmation).                         (confirmation).
Non-SD/MSP Counterparty.........  SEF/DCM (primary    SEF (primary        Non-SD/MSP          Non-SD/MSP
                                   economic terms).    economic terms).    (primary economic   (primary economic
                                                                           terms).             terms).
                                  DCO (confirmation)  Non-SD/MSP          DCO (confirmation)  Non-SD/MSP
                                                       (confirmation).                         (confirmation).
----------------------------------------------------------------------------------------------------------------

    Who Reports Primary Economic Terms Data. For a swap executed on a 
SEF or DCM, the Commission anticipates that the swap contract 
certification process conducted by the SEF or DCM will define all or 
most of the primary economic terms of the swap, and that all or most of 
the required primary economic terms data for the swap will be created, 
in electronic form, on the electronic platform by virtue of execution 
of the swap contract offered by the SEF or DCM. The proposed 
regulations therefore call for the SEF or DCM to report the required 
primary economic terms data for the swap to an SDR in electronic 
form.\45\ In the case of a swap not executed on a SEF or DCM, primary 
economic terms data will be created by the counterparties' verification 
of the primary economic terms of the swap. The proposed regulations 
therefore call for the reporting counterparty (as defined in the 
proposed regulations) to report the required primary economic terms 
data for the swap to an SDR in electronic form.
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    \45\ To ensure that no required primary economic terms data goes 
unreported in any circumstance, the proposed regulations also 
contain a ``catch-all'' clause requiring the reporting counterparty 
to report any required primary economic terms data not reported by 
the SEF or DCM.
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    Who Reports Confirmation Data. For cleared swaps, confirmation data 
will be generated by DCOs in the course of the normal clearing process. 
The proposed regulations thus call for DCOs to report confirmation data 
for all cleared swaps to the appropriate SDR in electronic form. For 
non-cleared swaps, confirmation will be done by the counterparties, in 
many cases with the assistance of a third-party confirmation

[[Page 76582]]

service provider. The proposed regulations therefore would require the 
reporting counterparty to report confirmation data for each uncleared 
swap.
    Time of Reporting for Primary Economic Terms Data. Dodd-Frank does 
not specify the timeframes for reporting of swap data to SDRs for 
regulatory purposes (as opposed to real time reporting). However, to 
further the objectives of Dodd-Frank regarding systemic risk 
mitigation, transparency of the entire swaps market to regulators, and 
enhanced market surveillance and position limit monitoring, the 
Commission believes it is important that swap data be reported to SDRs 
either immediately following execution of the swap--the point of time 
at which the counterparties become irrevocably bound by contract under 
applicable law--or within a short but reasonable time following 
execution, rather than waiting until the time that full, signed, legal 
confirmation by the counterparties of all terms (not just the primary 
economic terms) of the swap is completed.\46\ Requiring reporting only 
at or after the time when full legal confirmation is completed, rather 
than at the time (shortly after execution) when verification of the 
primary economic terms of the swap occurs, could encourage 
counterparties to delay full legal confirmation in order to delay the 
reporting of a swap. In addition, the Commission has been informed by 
various existing trade repositories, third party service providers, and 
swap counterparties (notably including non-SD/MSP counterparties) that 
full legal confirmation of a swap currently can take weeks or even 
months in an appreciable number of cases.
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    \46\ Proposed Sec.  45.1(c) defines ``confirmation'' as the 
full, signed, legal confirmation by the counterparties of all of the 
terms of a swap.
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    Allowing the first report of swap data concerning a swap to come 
from a DCO following clearing, or from a counterparty following full 
legal confirmation, would result in reporting delays that the 
Commission does not believe are desirable. Without reporting of primary 
economic terms data shortly following execution of a swap, regulators 
examining SDR data for regulatory purposes in many cases would not see 
the swap in question for hours or in some cases nearly an entire day 
(if initial reporting followed clearing), or even for days or weeks (if 
initial reporting followed full legal confirmation). This lack of 
complete swap data would frustrate fundamental purposes of financial 
reform, recognized not only by Congress in passing Dodd-Frank, but 
internationally. As the FSB Report Implementing OTC Derivatives Market 
Reforms states:

    [A]uthorities (i) should ensure that TRs are established to 
collect and maintain comprehensive OTC derivative transaction data; 
and (ii) must require market participants to report all OTC 
transactions, both centrally cleared and non-centrally cleared 
accurately and in a timely manner to TRs (or in exceptional 
circumstances, to relevant authorities). Where transactions are 
centrally cleared or otherwise terminated early, reporting to TRs 
also must capture and preserve information on the original terms of 
the transaction.\47\
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    \47\ FSB, Implementing OTC Derivatives Market Reforms: Report of 
the OTC Derivatives Working Group, October 20, 2010, at 44 (emphasis 
added).

    It would also be undesirable to have all reporting of required swap 
creation data for cleared swaps done by DCOs, because such a limitation 
could have anti-competitive effects. Dodd-Frank explicitly permits DCOs 
to register as SDRs.\48\ However, the statute does not limit SDR 
registration to DCOs, and it contemplates free market competition 
between registered SDRs on a level playing field (as the existence of 
its antitrust provisions makes clear).\49\ If Commission regulations 
directed that all reporting of swap creation data for cleared swaps was 
to be done by DCOs, this could give DCOs a competitive advantage in 
comparison with other non-DCO SDRs, since non-DCO SDRs would not be 
able to offer data reporting to an SDR as part of a possible bundling 
of services to customers. The proposed regulations are designed to 
ensure fair competition in the provision of SDR services.
---------------------------------------------------------------------------

    \48\ Dodd-Frank Sec.  728, CEA Sec.  21(a)(1)(B).
    \49\ See CEA Sec.  21(f)(1).
---------------------------------------------------------------------------

    Primary Economic Terms Reporting Time for Swaps Executed on a SEF 
or DCM. In the case of swaps executed on a SEF or DCM, where the 
platform possess the necessary primary economic terms data in 
electronic form at the time of execution, the Commission believes that 
required primary execution data should be reported to an SDR by the SEF 
or DCM electronically, as soon as technologically practicable following 
execution of the swap.
    Primary Economic Terms Reporting Time for Swaps Not Executed on a 
SEF or DCM. With respect to swaps not executed on a SEF or DCM, where 
reporting of required primary economic terms data will be done by the 
reporting counterparty, the Commission recognizes that the amount of 
time needed for reporting could vary depending on, among other things, 
the extent to which the swap is standardized, and whether execution of 
the swap and verification by the parties of the primary economic terms 
of the swap occur electronically or manually.
    Based on discussions with industry participants, the Commission 
believes that required primary economic terms data would be available 
relatively quickly for a swap for which execution and verification of 
primary economic terms occur electronically, because in many cases all 
of the required data would already be in an electronic format. The 
Commission understands that the majority of swaps, which are likely to 
have an SD or MSP as the reporting counterparty, are likely to fall 
into this category.
    Conversely, the Commission is aware that, where execution and 
verification of primary economic terms do not occur electronically--a 
situation which may occur more frequently for the relatively small 
number of swaps between non-SD/MSP counterparties, including end 
users--additional time may be needed to put the required data into an 
electronic format.
    Accordingly, the proposed regulation would require reporting 
counterparty to report required primary economic terms data promptly, 
but in no event later than:

     15 minutes after execution of a swap for which 
execution and verification of primary economic terms occur 
electronically;
     30 minutes after execution of a swap which is not 
executed electronically but for which verification of primary 
economic terms occurs electronically; or
     In the case of a swap for which neither execution nor 
verification of primary economic terms occurs electronically, within 
a time after execution of the swap to be determined by the 
Commission prior to promulgation of its final data reporting 
regulations.\50\
---------------------------------------------------------------------------

    \50\ The Commission requests comment concerning the appropriate 
deadline for reporting of required primary economic terms data in 
the case of a swap for which neither execution nor verification of 
primary economic terms occurs electronically.

    The Commission believes that requiring reporting of required 
primary economic terms data by a reporting counterparty within 15 
minutes of a swap's execution would be appropriate for a swap for which 
execution and verification of primary economic terms occur 
electronically, because data for such a swap could easily be put into 
the necessary electronic format if it is not in such a format already.
    The Commission also believes that, for a swap which is not executed 
electronically but for which verification of primary economic terms 
occurs electronically, the reporting counterparty could need additional 
time for reporting. The Commission believes that 30 minutes would be a 
sufficient

[[Page 76583]]

amount of time, because the required primary economic terms data for 
such a swap would have been put into electronic form for verification 
of primary economic terms, which would not require a significant amount 
of manual intervention.
    Finally, since required primary economic terms data with respect to 
a swap for which neither execution nor verification of primary economic 
terms occurs electronically would not likely be already in electronic 
format, and could require a significant amount of manual intervention, 
the Commission believes that additional time would be needed for 
reporting. The Commission believes that 24 hours would be a sufficient 
amount of time to enable such reporting while still making data for the 
swap available to regulators without undue delay, based on 
conversations with industry representatives.
    Time of Reporting for Confirmation Data. The proposed regulations 
follow similar principles for the reporting of required confirmation 
data. For swaps cleared on a DCO, where the DCO possesses the necessary 
confirmation data in electronic form at the time the swap is cleared, 
the Commission believes that required confirmation data should be 
reported to an SDR by the DCO electronically, as soon as 
technologically practicable following the clearing of the swap. With 
respect to swaps not cleared on a DCO, where reporting of required 
confirmation data will be done by the reporting counterparty, the 
Commission recognizes that the amount of time needed for reporting 
could vary, depending on whether the reporting counterparty is an SD or 
MSP or conversely is a non-SD/MSP counterparty, and depending on 
whether confirmation is done electronically (via the automated systems 
of a third-party confirmation service provider or of an SD or MSP 
counterparty), or is done manually with a resulting need to put the 
confirmation terms into an electronic format for confirmation reporting 
purposes.
    Accordingly, the proposed regulations would require a DCO to report 
required confirmation data for a cleared swap electronically, as soon 
as technologically practicable following clearing of the swap. In the 
case of an uncleared swap, the proposed regulations would require the 
reporting counterparty to report required confirmation data 
electronically, making such a report promptly following confirmation, 
but in no event later than:
     15 minutes after confirmation of a swap for which 
confirmation occurs electronically; or
     In the case of a swap for which confirmation was done 
manually rather than electronically, within a time to be determined by 
the Commission prior to promulgation of its final data reporting 
regulations.\51\
---------------------------------------------------------------------------

    \51\ The Commission requests comment concerning the appropriate 
deadline for reporting of required confirmation data in the case of 
a swap for which confirmation was done manually rather than 
electronically.
---------------------------------------------------------------------------

    Swap Continuation Data Reporting. As noted earlier, the Commission 
believes that it is important to fulfilling the purposes of Dodd-Frank 
to ensure that complete data concerning swaps is maintained in SDRs and 
available to regulators. This requires reporting of data from the 
continuation of a swap over its existence from the time it is created 
until its final termination or expiration.
    Two Approaches to Swap Continuation Data Reporting. Swap 
continuation data reporting can follow either of the two conceptual 
approaches to data reporting discussed above: the life cycle or event 
flow approach, or the state or snapshot approach. As previously noted, 
while both approaches are viable methods of data collection, one can be 
more efficient than the other in different assets classes, due to 
differences between asset classes in terms of market structure and 
market processes. With respect to swap continuation data reporting, the 
life cycle approach involves managing the flow of an information 
system's data throughout the data's life cycle from creation and 
initial storage to the time when it becomes obsolete, while the state 
or snapshot approach involves a daily update of the current state of 
the swap which incorporates all the changes that have happened to the 
swap since the previous snapshot.
    Life Cycle Approach for Credit Swap and Equity Swap Asset Classes. 
The proposed regulations define the swap continuation data required to 
be reported for credit and equity swaps in terms of the life cycle 
approach, in part because the Commission understands that the life 
cycle approach is likely to be followed in the SEC's proposed 
regulations concerning swap data reporting for security-based swaps in 
these asset classes. The Commission believes that, to the extent 
possible, a unified approach to the reporting of swap data over the 
existence of swaps in asset classes where the SEC and the Commission 
share jurisdiction may serve the public interest, by avoiding 
imposition of differing reporting requirements for security-based and 
non-security-based swaps in the same asset class, and thus avoiding 
imposition of an undue burden on swap market participants. The 
Commission is also aware of the work already done by the industry with 
respect to credit swap data reporting using the life cycle approach, 
and of the fact that the existing global trade repository for credit 
swaps, the DTCC Warehouse, uses the life cycle approach. The Commission 
believes that the life cycle approach may be appropriate for the credit 
swap asset class, and to an extent for the equity swap asset class, due 
to their market structure, market processes, and present degree of 
product standardization.
    State or Snapshot Approach for Interest Rate Swap, Currency Swap, 
and Other Commodity Swap Asset Classes. In light of the work already 
done by the industry with respect to data reporting in the other swap 
asset classes--notably the interest rate swap asset class--using the 
state or snapshot approach, and in light of the fact that the existing 
global trade repository for interest rate swaps, the TriOptima Interest 
Rate Repository, uses the state or snapshot approach, the proposed 
regulations define the swap continuation data required to be reported 
for interest rate swaps, currency swaps, and other commodity swaps in 
terms of the state or snapshot approach. The Commission believes that 
this approach may be better suited to these asset classes, due to their 
market structure, market processes, and present degree of product 
standardization.
    One reason for this is that the Commission understands that the 
interest rate swap, currency swap, and other commodity swap asset 
classes involve numerous and widely varying types of derivatives 
products and a considerable degree of innovation and change with regard 
to instrument types. Swaps in these asset classes are often tailored to 
the specific needs of non-SD/MSP counterparties including end users. 
Thus, it would be very difficult, if not impossible, to enumerate all 
of the events that would need to be reported during the continuation of 
such swaps. This situation contrasts, for example, with the situation 
prevailing in the credit swap asset class, where a greater degree of 
standardization exists.
    Another reason why the state or snapshot approach may be better 
suited to the interest rate swap, currency swap, and other commodity 
swap asset classes is that in the life cycle or event flow approach, 
reporting counterparties must be able to generate messages to the SDR 
not only for all relevant life cycle events, but also for correction of 
errors and omissions in previously submitted data. Such messages must 
be tracked between reporting counterparties and

[[Page 76584]]

the SDR. This can create a need for manual intervention and produce 
information backlog. It also creates a need to reconcile data between 
the SDR and the reporting counterparty's internal systems to ensure 
that all events have been captured correctly in the SDR's data. These 
problems are exacerbated in the case of asset classes with relatively 
less standardization of swap terms. By contrast, the state or snapshot 
approach eliminates the need to specify and require reporting of all of 
the individual life cycle events that require updating of SDR data, 
since the current state of all of the primary economic terms of all 
existing swaps is submitted daily to the SDR. This daily snapshot 
ensures that SDR data is reconciled with a reporting counterparty's 
internal systems on a daily basis, and provides automatic daily 
corrections of errors and omissions in previously submitted data.
    The daily snapshot also ensures that SDR data is continually 
refreshed by the data contained in the risk management systems of 
reporting counterparties, who for business reasons normally devote 
considerable resources to ensuring data correctness. Leveraging the 
data quality assurance processes of reporting counterparties in this 
way can provide significant benefits in terms of the accuracy of swap 
data resident in SDRs.
    Finally, the state or snapshot approach eliminates the need for a 
complex array of exception management messages, and reduces the 
reporting burden for reporting counterparties by permitting the systems 
of reporting counterparties to submit one basic type of message, the 
daily snapshot of updated primary economic terms. The greater 
technological simplicity thus permitted can be a significant benefit 
where non-SD/MSP counterparties (including end users) are concerned.
    Four Sets of Swap Continuation Data. For the above reasons, with 
regard to the continuation of a swap, the proposed regulations would 
call for reporting of four sets of data generated in connection with 
the continuation of the swap: (1) Life cycle data for credit swaps and 
equity swaps; (2) contract-intrinsic data for credit swaps and equity 
swaps; (3) daily state data for interest rate swaps, currency swaps, 
and other commodity swaps; and (4) valuation data for swaps in all five 
swap asset classes.
    Life Cycle Event Data Reporting for Credit Swaps and Equity Swaps. 
For the purpose of required continuation data reporting for credit 
swaps and equity swaps, the proposed regulations require reporting, 
throughout the existence of a swap until its final termination or 
expiration, of ``life cycle event data'', defined as all of the data 
elements necessary to fully report any life cycle event, or any 
adjustment due to a life cycle event, that results in a change to data 
previously reported for the swap in question. The proposed regulations 
define ``life cycle event'' to mean any event that would result in a 
change in the data previously reported to an SDR in connection with the 
swap, including, without limitation, a counterparty change resulting 
from an assignment or novation; a partial or full termination of the 
swap; a change in the cash flows originally reported; for a credit swap 
or equity swap that is not cleared, any change to the collateral 
agreement; or a corporate action affecting a security or securities on 
which the swap is based (e.g., a merger, dividend, stock split, or 
bankruptcy).
    Contract-Intrinsic Data Reporting for Credit Swaps and Equity 
Swaps. For the purpose of required continuation data reporting for 
credit swaps and equity swaps, the proposed regulations would also 
require reporting, throughout the existence of a swap until its final 
termination or expiration, of ``contract-intrinsic event data,'' 
defined as all of the data elements necessary to fully report any 
contract-intrinsic event with respect to the swap in question. The 
proposed regulations define ``contract-intrinsic event'' to mean a 
scheduled, anticipated event occurring during the existence of a swap 
that does not result in any change to the contractual terms of the 
swap, including, without limitation, the scheduled expiration of a 
swap, or a previously described and anticipated interest rate 
adjustment.
    State Data Snapshot Reporting for Interest Rate Swaps, Currency 
Swaps, and Other Commodity Swaps. For the purpose of required 
continuation data reporting for interest rate swaps, currency swaps, 
and other commodity swaps, the proposed regulations would require 
reporting of all ``state data'' for the swap, reported daily throughout 
the existence of the swap until its final termination or expiration. 
The proposed regulations define ``state data'' to mean all of the data 
elements necessary to provide a snapshot view, on a daily basis, of all 
of the primary economic terms of a swap, including any changes to such 
terms since the last snapshot. The proposed regulations also require 
that, at a minimum, this data must include all of the economic terms 
reflected in the appropriate table of data elements for a swap of the 
asset class involved. These tables can be found in Appendix 1 to Part 
45.
    Valuation Data Reporting for Swaps in All Swap Asset Classes. 
Valuation data is defined in the proposed regulations to mean all of 
the data elements necessary for a person to determine the current 
market value of a swap, including, without limitation, daily margin, 
daily mark-to-market, and other measures of valuation to be determined 
by the Commission prior to promulgation of its final swap data 
reporting regulations. Swap valuation data is essential to a variety of 
the regulatory functions of many financial regulators, and is crucial 
to fulfillment of fundamental purposes of Dodd-Frank, including 
systemic risk reduction and increased transparency of the derivatives 
marketplace to regulators. The Commission and other regulators would 
use valuation information regarding swaps reported to SDRs for 
prudential oversight, to monitor potential systemic risk, and to 
monitor compliance with regulatory requirements for SDs and MSPs. The 
importance of reporting swap valuation data to SDRs is recognized 
internationally. The FSB Report Implementing OTC Derivatives Market 
Reforms provides that:

    TRs should collect data to enable monitoring of gross and net 
counterparty exposures, wherever possible, not only on notional 
volumes for each contract but also market values, exposures before 
collateral, and exposure value net of collateral with a full 
counterparty breakdown. This would allow for the calculation of 
measures that capture counterparty risk concentrations both for 
individual risk categories as well as for the overall market.\52\
---------------------------------------------------------------------------

    \52\ FSB, Implementing OTC Derivatives Market Reforms: Report of 
the OTC Derivatives Working Group, October 20, 2010, at 48.

    Accordingly, the proposed regulations would require reporting of 
valuation data for swaps in all five asset classes.
    Who Reports Swap Continuation Data. Under the proposed regulations, 
determination of who must report required swap continuation data is 
based on two criteria. The first criterion is whether or not the swap 
is cleared on a DCO. The second criterion is whether the reporting 
counterparty (as provided in the proposed regulations) is an SD or MSP, 
or instead is a non-SD/MSP counterparty. Using these two criteria to 
determine who reports is intended to streamline and simplify the data 
reporting approach, by calling for reporting of each set of swap

[[Page 76585]]

continuation data by the registered entity or counterparty that has the 
easiest, fastest, and cheapest access to the set of data in question. 
The results of this approach are shown in the following table:

                                       Reporting of Swap Continuation Data
----------------------------------------------------------------------------------------------------------------
                                   Credit and equity asset classes        Interest rate, currency, and other
                               --------------------------------------           commodity asset classes
    Reporting counterparty                                           -------------------------------------------
                                     Cleared          Not cleared          Cleared             Not cleared
----------------------------------------------------------------------------------------------------------------
SD or MSP.....................  DCO (life-cycle    SD/MSP (life-      SD/MSP (state      SD/MSP (state snapshot
                                 data).             cycle data).       snapshot data).    data).
                                SD/MSP (intrinsic  SD/MSP (intrinsic  DCO and SD/MSP     SD/MSP (valuation
                                 data).             data).             (valuation data).  data).
                                DCO and SD/MSP     SD/MSP (valuation
                                 (valuation data).  data).
Non-SD/MSP Counterparty.......  DCO (life-cycle    Non-SD/MSP (life-  Non-SD/MSP (state  Non-SD/MSP (state
                                 data).             cycle data).       snapshot data).    snapshot data).
                                Non-SD/MSP         Non-SD/MSP
                                 (intrinsic data).  (intrinsic data).
                                DCO (valuation     Non-SD/MSP         DCO (valuation     Non-SD/MSP (valuation
                                 data).             (valuation data).  data).             data).
----------------------------------------------------------------------------------------------------------------

    Who Reports Life Cycle Event Data and Contract-Intrinsic Event 
Data. For a credit swap or equity swap cleared on a DCO, the Commission 
understands that the DCO will possess information in electronic form 
concerning some life cycle events required to be reported over the 
existence of the swap, due to its status as a central counterparty, 
while the swap counterparty (as defined in the proposed regulations) 
will possess information concerning other life cycle events. The 
proposed regulations therefore call for the DCO to report required life 
cycle event data in its possession, and for the reporting counterparty 
to report life cycle event data in its possession. For a credit swap or 
equity swap that is not cleared, the proposed regulations call for the 
reporting counterparty to report all required life cycle event data and 
all contract-intrinsic event data.
    The Commission understands that contract-intrinsic event data, 
which involves anticipated events such as scheduled adjustments, will 
be available to, and known in advance by, the reporting counterparty. 
The proposed regulations thus require the reporting counterparty to 
report all required contract-intrinsic event data for all credit swaps 
or equity swaps.
    Who Reports a Daily Snapshot of State Data. For an interest rate 
swap, currency swap, or other commodity swap cleared on a DCO, the 
proposed regulations require the reporting counterparty to report all 
required state data, on a daily basis.
    Who Reports Valuation Data. For cleared swaps in all five swap 
assets classes, both the DCO and the reporting counterparty may possess 
different types of valuation data.\53\ Therefore, for each cleared 
swap, the proposed regulations would call for both the DCO and the 
reporting counterparty to report valuation data. For uncleared swaps in 
all five swap asset classes, the only source of valuation data will be 
a counterparty. Accordingly, for each uncleared swap, the proposed 
regulations would call for the reporting counterparty to report 
valuation data.
---------------------------------------------------------------------------

    \53\ As noted earlier, the proposed regulations define 
``valuation data'' as including ``other measures of valuation as 
determined by the Commission'' in addition to specified valuation 
measures. The Commission is requesting comment concerning what other 
measures of valuation of a swap should be required to be reported to 
an SDR. The Commission's eventual determination as to what other 
measures of valuation should be required may affect what valuation 
data must be reported by a DCO or by a reporting counterparty.
---------------------------------------------------------------------------

    Time of Reporting for Life Cycle and Contract-Intrinsic Event Data. 
For credit swaps and equity swaps, whether cleared or uncleared, the 
proposed regulations would require that life cycle event data must be 
reported on the same day in which any life cycle event occurs, while 
contract-intrinsic event data must be reported on the same day in which 
any contract-intrinsic event occurs.
    Time of Reporting for a Daily Snapshot of State Data. For interest 
rate swaps, currency swaps, and other commodity swaps, whether cleared 
or uncleared, the proposed regulations would require that all required 
state data for the swap be reported daily through the existence of the 
swap until its final termination or expiration.
    Time of Reporting for Valuation Data. For each swap (regardless of 
asset class) cleared on a DCO, the proposed regulations would require 
the DCO to report all valuation data in its possession on a daily 
basis. Where the reporting counterparty for such a swap is an SD or 
MSP, the proposed regulations would require the SD or MSP to report all 
valuation data in its possession on a daily basis. The Commission 
understands that DCOs and SD or MSP reporting counterparties are likely 
to have the automated system capacity necessary for such daily 
reporting. The Commission also understands that, as of the effective 
date of the final swap data reporting regulations, non-SD/MSP reporting 
counterparties may not have a comparable level of automated system 
capacity. Accordingly, where the reporting counterparty for such a swap 
is a non-SD/MSP counterparty, the proposed regulations would call for 
the reporting counterparty to report all valuation data in its 
possession at times to be determined by the Commission prior to its 
adoption of final swap data reporting regulations. The Commission 
requests comment concerning the time intervals necessary and 
appropriate for reporting of valuation data by non-SD/MSP 
counterparties, and concerning whether the Commission should adopt a 
phase-in approach to valuation data reporting by non-SD/MSP 
counterparties.
    Swap Asset Classes and Other Swap Classifications. For the purpose 
of the proposed regulations, a swap would be classified as belonging to 
one of five swap asset classes, including: (1) Credit swaps; (2) 
currency swaps (including FX swaps and their variations); (3) equity 
swaps; (4) interest rate swaps; and (5) other commodity swaps. The 
proposed regulations would define these swap asset classes as follows.

[[Page 76586]]

    ``Credit swap'' means any swap that is primarily based on 
instruments of indebtedness, including, without limitation: Any swap 
primarily based on one or more broad-based indices related to 
instruments of indebtedness: Any swap that is an index credit swap or 
total return swap on one or more indices of debt instruments.
    ``Currency swap'' means any swap which is primarily based on rates 
of exchange between different currencies, changes in such rates, or 
other aspects of such rates. This category includes foreign exchange 
swaps as defined in CEA Section 1a(25).\54\
---------------------------------------------------------------------------

    \54\ CEA Sec.  1a(25) provides that: ``The term `foreign 
exchange swap' means a transaction that solely involves--(A) an 
exchange of 2 [sic] different currencies on a specific date at a 
fixed rate that is agreed upon on the inception of the contract 
covering the exchange; and (B) a reverse exchange of the 2 [sic] 
currencies described in subparagraph (A) at a later date and at a 
fixed rate that is agreed upon on the inception of the contract 
covering the exchange.''
---------------------------------------------------------------------------

    ``Equity swap'' means any swap that is primarily based on equity 
securities, including, without limitation: any swap primarily based on 
one or more broad-based indices of equity securities; any total return 
swap on one or more equity indices.
    ``Interest rate swap'' means any swap which is primarily based on 
one or more reference rates, such as swaps of payments determined by 
fixed and floating rates.
    ``Other commodity swap'' means any swap not included in the credit 
swap, currency swap, equity swap, or interest rate swap categories, 
including, without limitation, any swap for which the primary 
underlying item is a physical commodity or the price or any other 
aspect of a physical commodity.
    ``Asset class'' means the particular broad category of goods, 
services or commodities underlying a swap. The asset classes include 
interest rate, currency, credit, equity, other commodity, and such 
other asset classes as may be determined by the Commission.
    In addition, the Commission anticipates that some swaps subject to 
its jurisdiction may belong to two other swap categories: mixed swaps, 
and multi-asset swaps. Generally, a mixed swap is in part a security-
based swap subject to the jurisdiction of the SEC and in part a swap 
belonging to one of the swap asset classes subject to the jurisdiction 
of the Commission.\55\ Multi-asset swaps are those that do not have one 
easily identifiable primary underlying notional item within the 
Commission's jurisdiction. The Commission requests comment concerning 
how such swaps should be treated with respect to swap data reporting, 
and concerning the category or categories under which swap data for 
such swaps should be reported to SDRs and maintained by SDRs.
---------------------------------------------------------------------------

    \55\ Dodd-Frank defines ``mixed swap'' as follows: ``The term 
`security-based swap' includes any agreement, contract, or 
transaction that is as described in section 3(a)(68)(A) of the 
Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(68)(A)) and is 
also based on the value of 1 [sic] or more interest or other rates, 
currencies, commodities, instruments of indebtedness, indices, 
quantitative measures, other financial or economic interest or 
property of any kind (other than a single security or a narrow-based 
security index), or the occurrence, non-occurrence, or the extent of 
the occurrence of an event or contingency associated with a 
potential financial, economic, or commercial consequence (other than 
an event described in subparagraph (A)(iii).'' Dodd-Frank Sec.  
721(21), CEA Sec.  1a(47)(D).
---------------------------------------------------------------------------

    Requests for Comment. The Commission requests comment on all 
aspects of the proposed data reporting regulation and the definitions 
associated with it. The Commission specifically requests comment on the 
following questions relating to this proposed regulation.
     Is the separation of reporting counterparties into two 
categories (SD or MSP, versus non-SD/MSP counterparty) appropriate, and 
does it further the purposes described?
     Is the second criterion for swap creation data--division 
of swaps into four categories depending on whether they are platform 
executed and cleared or not--appropriate?
     Should the Commission take the internal recordkeeping 
systems of SDs and MSPs into account as it does in the proposed 
regulation?
     Is the concept of primary economic terms data, as defined, 
inclusive enough to capture all of the primary economic terms of a swap 
upon execution?
     What are the benefits or drawbacks of required reporting 
of primary economic terms data? Will such reporting serve to verify the 
accuracy of swap execution data?
     Will the required reporting of confirmation data to an 
SDR, after the reporting of primary economic terms data to the SDR, 
help enable the SDR to satisfy the statutory requirement to confirm 
with both counterparties to the swap the accuracy of the data and 
information submitted?
     Should back-office confirmation be an acceptable means of 
confirming a swap?
     What is the proper way to report bunched (block) orders 
that are allocated to ultimate owners after execution?
     What is the appropriate time delay for reporting of 
primary economic terms by (1) SDs, (2) MSPs, and (3) non-SD/MSP 
counterparties? Should the time required differ according to these 
categories?
     What is the appropriate time delay for reporting of 
confirmation terms by (1) SDs, (2) MSPs, and (3) non-SD/MSP 
counterparties? Should the time required differ according to these 
categories?
     Is there sufficient industry infrastructure in place to 
support the life cycle data reporting approach for credit and equity 
swaps?
     Is it appropriate to use the life cycle approach to swap 
data reporting for credit swaps, or for equity swaps? Why or why not?
     Is it appropriate to use the daily snapshot of state data 
approach to swap data reporting for interest rate, currency and 
commodity swaps? Why or why not?
     Is there currently infrastructure in place to support 
alternative approaches for data reporting for credit, equity, interest 
rate, currency and commodity swaps?
     Is the definition of ``multi-asset swap'' appropriate? Why 
or why not?
     For the purposes of the data recordkeeping and reporting 
rule, should a multi-asset swap be reported within any of the following 
categories: credit swaps, equity swaps, currency swaps, commodity 
swaps, or interest rate swaps? What criteria should govern this 
determination?
     Should a separate procedure be established for reporting 
of multi-asset swaps?
     Should the Commission require that, for multi-asset swaps, 
reporting counterparties must report all required swap data in each 
asset class involved?
     Should a separate procedure be established for reporting 
of mixed swaps?
     Is the list of swap asset classes all-inclusive and 
appropriately defined? Why or why not?
     Should a phase-in approach be used for the time of 
reporting of confirmation by non-SD/MSP counterparties?
     Should a separate collateral warehouse system be 
established as part of an SDR to enable systemic risk and prudential 
regulators to monitor collateral management and gross exposure on a 
portfolio level for swap participants? How should this be done?
     Should a separate master agreement library system be 
established as part of an SDR? How should this be done?
     In what asset class should cross-currency swaps be 
reported? Should this be done in the interest rate swap asset class, or 
in the currency swap asset class?
     For multi-asset class swaps, should the swap data required 
to be reported

[[Page 76587]]

include all required primary economic terms data for each asset class 
involved in any leg or part of the swap?
     How should asset class classification be done for the 
purpose of data reporting? What should be the criteria to classify a 
swap within a certain asset class?
     Should foreign exchange swaps be included in the currency 
swap asset class, or should they be treated separately for data 
reporting purposes? A foreign exchange swap is usually defined as a 
financial transaction whereby two parties exchange agreed-upon amounts 
of two currencies as a spot transaction, simultaneously agreeing to 
unwind the exchange at a future date, based on a rule that reflects 
both interest and principal payments.

C. Unique Identifiers

    Need for Unique Identifiers. Over the course of the last decade, 
virtually all stakeholders in the financial sector have come to 
recognize the need for universal, accurate, and trusted methods of 
identifying particular financial transactions, the legal entities that 
are parties to financial transactions, and the product type involved in 
particular financial transactions. Such identifiers will be crucial 
tools for financial regulators tasked with measuring and monitoring 
systemic risk, preventing fraud and market manipulation, conducting 
market and trade practice surveillance, enforcing position limits, and 
exercising resolution authority. Without such unique identifiers, and 
the ability to aggregate data across multiple markets, entities, and 
transactions that they would provide, the enhanced monitoring of 
systemic risk and greater market transparency that are fundamental 
goals of Dodd-Frank cannot be fully achieved. Such identifiers would 
also have great benefits for financial transaction processing, internal 
recordkeeping, compliance, due diligence, and risk management by 
financial entities. The Commission believes, in light of recent 
economic events, that the need for unique identifiers that are based on 
open standards and are capable of international adoption is now urgent, 
and that their creation has become essential.
    The Commission understands that this conceptual approach is 
supported by the SEC. Commission staff have consulted closely with SEC 
staff concerning the unique ID provisions of these regulations. The 
Commission anticipates that proposed regulations issued by SEC with 
respect to swap data recordkeeping and reporting will follow the same 
principles with respect to unique ID that are included in the unique ID 
provisions of the Commission's proposed regulations. The Commission 
understands, from discussions with staff of the Department of the 
Treasury, that this conceptual approach could also be followed by the 
Office of Financial Research (``OFR''), created in the Department of 
the Treasury by the Dodd-Frank Act \56\ in part for the purposes of 
standardizing the types and formats of data reported and collected by 
the OFR with regard to swaps, and of assisting agencies that are 
members of the Financial Stability Oversight Council (``FSOC'') in 
determining the types and formats of data they will collect, as 
required by Dodd-Frank.\57\
---------------------------------------------------------------------------

    \56\ See Dodd-Frank Act Title 1, Subtitle B, Sections 151 
through 156.
    \57\ Dodd-Frank Act, Title 1, Sections 153(2) and 153(7).
---------------------------------------------------------------------------

    The Commission's own need for unique identifiers for swap 
transactions, counterparties, and products arises from a need to 
aggregate and track information on swap transactions efficiently across 
a diverse array of market participants, trading venues, and product 
classes. Unlike centralized futures markets where standardized 
contracts are traded among participants in a fairly closed system, 
swaps have been and will continue to be offered in a variety of forms 
and market venues. There is a close relationship between the swap 
markets and the underlying cash and futures markets that typically 
provide the basis for the price references and benchmark prices. In 
addition, because swaps can serve as a substitute for a transaction in 
the underlying reference market, market participants are often free to 
transact in the market of their choice, meaning that an entity may hold 
positions, for example, in both the futures market and in swaps that 
reference the futures market price.
    With respect to futures markets futures commission merchants, 
clearing members, and foreign brokers are required to file reports on 
the positions of large traders (as defined by the Commission), and in 
doing so to aggregate the positions of traders that may be held in 
various accounts at the firm, and to report them under a single, 
unique, identifying account number. Thus, at least with respect to 
reporting by a single reporting firm, the Commission is able to see the 
total position of a trader in a particular futures or option contract 
offered at an exchange. By contrast, swap counterparties will not 
necessarily conduct their trading through a single entity or trading 
venue that could easily aggregate an entity's position. Instead, swaps 
having similar underlying product characteristics may be entered into 
through a variety of dealers or MSPs, on different DCMs or SEFs, or in 
bilateral trades. In addition, because each swap contract potentially 
has a unique set of terms and conditions, as opposed to the common set 
of terms and conditions that define an exchange-traded futures 
contract, defining a position or transaction in a particular contract 
can be complicated.
    Unique identifiers would also serve the important goal of enabling 
the Commission to link together all of the various types of data that 
it collects in fulfilling its regulatory missions, including data 
concerning swaps, futures, and large traders. This would enhance the 
effectiveness of the Commission's various market monitoring tools, and 
improve its ability to detect and respond to market risks. The ability 
of unique identifiers to serve as a data linchpin will also be of great 
benefit to other financial regulators with respect to the different 
types of data they collect.
    Accordingly, the Commission is proposing to require use of unique 
identifiers designed to ensure the Commission's ability to aggregate 
transaction and position data for the purpose of conducting market and 
financial risk surveillance, enforcing position limits, analyzing 
market data, enforcing Commission regulations, monitoring systemic 
risk, and improving market transparency. Such unique identifiers will 
better enable the Commission to ascertain the overall positions and 
activity of traders in and across markets, track activity over the life 
of individual transactions, and determine overall activity in 
particular product classes.
    Unique Swap Identifiers. The Unique Swap Identifier (``USI'') 
called for by the proposed rules would be created and assigned to a 
swap at the time it is executed, and used to identify that particular 
swap transaction throughout its existence. Swaps will typically have a 
number of events associated with them over their lifetime, often 
referred to as life cycle events. These can include economic revisions, 
counterparty changes, early partial or full terminations, normal 
terminations, option exercises, credit events, servicing events and 
cash flow settlements. Because a swap might have a life that extends 
over many years, it is important that the Commission be able to 
identify the origins of the transaction as well as events related to 
that swap over its lifetime. Without the ability to track transactions 
through the use of a unique

[[Page 76588]]

identifier, it would be difficult for the Commission to separate new 
transactions from existing ones and to identify changes that have 
occurred to a specific swap contract. Use of USIs is also essential to 
collating swap creation data, swap continuation data, and error 
corrections reported by execution platforms, clearing houses, and 
counterparties concerning a single swap into a single, accurate data 
record that tracks the swap over its duration.
    The Commission believes that workable USIs for all swaps under its 
jurisdiction can be created via a ``first-touch'' approach. For a swap 
executed on a trading platform, the USI would be created and assigned 
by the SEF or DCM involved. For a swap executed bilaterally, the USI 
would be created and assigned by the SD or MSP required to report 
concerning the swap, or in the case of a swap between non-SD/MSP 
counterparties would be created by the SDR to which the swap is 
reported.
    The proposed rules would ensure the uniqueness of each USI by 
specifying that the USI must include two components. The first 
component would be the unique, extensible, alphanumeric code assigned 
by the Commission to each registered entity required by the proposed 
regulations to create USIs, at the time of its registration, for the 
purpose of identifying that entity in the context of USI creation. The 
second component would be an extensible, alphanumeric code generated 
and assigned by the automated systems of the registered entity that 
must be unique with respect to all such codes generated and assigned by 
the entity.
    The registered entity creating the USI would be required to 
transmit the USI to all other registered entities and swap 
counterparties involved with the swap, as soon as technologically 
practicable after its creation and assignment. Thereafter, all 
registered entities and swap counterparties would be required to 
include the USI in all records and all swap data reporting concerning 
that swap, throughout the existence of the swap and for as long as any 
records are required to be kept concerning that swap.
BILLING CODE 6351-01-P

[[Page 76589]]

[GRAPHIC] [TIFF OMITTED] TP08DE10.008

BILLING CODE 6351-01-C
    The required use of USIs would not prohibit the additional use or 
reporting of other identifiers internally generated by the automated 
systems of registered entities or counterparties.
    The Commission seeks comment concerning the required use of USIs; 
the benefits or burdens that required use of USIs would create; the 
practicability of the Commission's proposed method of creating USIs; 
other possible methods of creating USIs; and possible transmission 
methods for USIs among registered entities and reporting parties.
    Unique Counterparty Identifiers. The Unique Counterparty Identifier 
(``UCI'') called for by the proposed rules would be used for precise, 
reliable, and unique identification of each counterparty to any swap 
subject to the Commission's jurisdiction, in all recordkeeping and data 
reporting concerning swaps. The Commission believes that full 
realization of the systemic risk mitigation and transparency purposes 
of Dodd-Frank cannot be fully achieved without mandatory use of UCIs. 
To assess systemic risk, it is essential to understand how individual 
financial firms are exposed to specific risks across all their 
activities, and the interconnectedness between firms. The way that 
financial firms are identified is critical to understanding those 
issues. With such identifiers, regulators will be able to aggregate 
exposures consistently and accurately across the financial system. As 
noted in February 2010 by Daniel K. Tarullo, member of the Board of 
Governors of the Federal Reserve System, in testimony before the U.S. 
Senate:

    Clearly, the [recent financial] crisis exposed the need for a 
regulatory mechanism that will provide real time analysis across 
multiple financial markets to identify systemic risk and stresses in 
market conditions before they occur. A unique entity identifier for 
data sharing and use in data collections between the Federal 
financial regulatory agencies is the critical missing component for 
this analysis.\58\

    \58\ Daniel K. Tarullo, Member, Board of Governors of the 
Federal Reserve System, Equipping Financial Regulators With the 
Tools Necessary to Monitor Systemic Risk, before the Subcommittee on 
Security and International Trade and Finance, Committee on Banking, 
Housing, and Urban Affairs, U.S. Senate, Washington, DC, February 
12, 2010.

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[[Page 76590]]

    An important purpose of the UCI required by the proposed rules 
would be to enable effective assessment of counterparty positions and 
aggregation of swap data across asset classes, markets, and related 
legal entities, in order to effectuate the systemic risk prevention and 
transparency purposes of Dodd-Frank.
    Policy analysis by financial regulators employs legal entity 
reference data as the basic infrastructure for identifying, describing, 
classifying, labeling, organizing, and using other information. Such 
reference data allows identification of interconnections between firms.
    In the business world, legal entity reference data can support 
communication between systems, facilitate transaction processing, and 
allow for accurate aggregation of positions vis-[agrave]-vis individual 
counterparties or classes of counterparties, something necessary for 
effective risk management and calculation of margin. Sales, compliance, 
and due diligence functions also rely on entity identifiers, and would 
benefit from availability of unique entity identifiers.
    Today, there is no universal legal entity identification system 
available to serve the financial sector and regulatory community.\59\ 
In the absence of such a universal system, private firms and regulators 
have created a variety of identifiers. This creates inefficiencies for 
firms, and presents obstacles to regulators and policymakers.
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    \59\ Discussions of the concept of a universal legal entity 
identification system for financial firms of all types often refer 
to a legal entity identifier or ``LEI.'' This is the same concept 
addressed by the proposed rule. The proposal refers to the 
identifier as a UCI, rather than an LEI, because in the context of 
this rule it would be used to identify the legal entities who are 
counterparties to a swap. The Commission recognizes that identifiers 
provided by a universal legal identification system through an 
international consensus process could appropriately be used to 
identify legal entities in various other contexts across the 
financial sector.
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    At private firms, because there is no industry-wide legal entity 
identification standard, tracking counterparties and calculating 
exposures across multiple data systems is complicated, expensive, and 
can result in costly errors. For example, maintaining internal 
identifier databases and reconciling entity identification with 
counterparties is expensive for large firms and disproportionately so 
for small firms. In the worst case scenario, identification problems 
can lead to transactions that are broken or fail to settle.
    The lack of a universal identification standard also creates 
problems for financial regulators. Precise identification of financial 
firms is necessary to understand systemic risk, which involves entities 
operating across a range of industries. The problems that firms face in 
aggregating exposure are magnified in measuring risk across the system. 
In addition, futures and securities regulators must often identify 
parents and affiliates of futures commission merchants or broker-
dealers manually and by name. Multiple and generally different 
identifiers for participants can make it difficult to create a 
consolidated order audit trail.
    It is worth noting in this context that leaders in the information 
technology industry have stated that data standardization is a 
significant obstacle to using technology to further the needs of 
private industry and regulators. Complete automation of back-office 
activities and ``straight through processing'' remain elusive, in part 
because of the lack of a universal identifier for legal entities.
    The vendor community has attempted to provide solutions for these 
private and public challenges. However, none is sufficiently robust, 
comprehensive, and open to serve as an industry-wide standard. Indeed, 
most of the solutions offered by vendors are proprietary and restricted 
in use and redistribution. In addition, current identifiers are not 
sufficiently unique or persistent. Current vendor identifiers that are 
unique and unrestricted with respect to use and redistribution are 
limited in scope; for example, limited to institutions engaged in 
payment activities.
    All of these challenges are magnified in the international context. 
Many in industry and the world regulatory community have recognized the 
potential benefit of a universal standard for legal entity 
identification for years. For example, the ODRF has stated that:

    A number of key data items related to registered OTC derivatives 
transactions span OTC derivative asset classes--for example, entity 
representation. * * * In order to ensure consistency across asset 
classes, infrastructure platforms and services should model these 
items in a consistent manner, preferably through the development of 
open standards in industry forums.\60\
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    \60\ OTC Derivatives Regulators' Forum, Prioritization and 
Communication of Regulatory Data Requests: Consolidated Report and 
Recommendations, 10 November 2009, at 5 (emphasis added).

ODRF's Outline of Trade Repository Functionality states that trade 
---------------------------------------------------------------------------
repository data:

should represent the counterparties of the transaction records it 
maintains as precise legal entities, enriched with further 
counterparty information including affiliate relationships, sector 
and geography. Affiliate relationship data should enable the 
analysis of aggregated transaction records in terms of netting, 
guaranty, and credit support arrangements.\61\
---------------------------------------------------------------------------

    \61\ ODRF Outline of Trade Repository Functionality Being Sought 
by Members of the OTC Derivatives Regulators' Forum, August 27, 2010 
(revision 2), at 3.

Efforts have been made to create such a standard through domestic and 
international processes. Heretofore, a lack of focus, funding and 
investment issues, and competing priorities have prevented consensus 
and implementation.
    However, circumstances have changed. The financial crisis has 
focused both industry and regulators on this issue. Dodd-Frank's 
mandate to the Commission and the SEC to promulgate regulations for 
swap data reporting has created a window of opportunity for the world 
financial sector to come together in creation of a universal, 
internationally accepted standard for legal entity identification. The 
Commission believes that the data reporting regulations to be issued 
simultaneously by the Commission and the SEC pursuant to Dodd-Frank can 
and should provide the necessary impetus for achieving this long-sought 
goal.
    The proposed regulations would mandate that each counterparty in 
any swap subject to the Commission's jurisdiction and executed after 
the effective date of the Commission's final swap data reporting 
regulations must be identified in all recordkeeping and reporting by 
means of a single UCI having the characteristics specified by the 
Commission.
    It should be noted that the UCI requirement included in the 
proposed regulations differs markedly from the concept of identifying 
the ultimate beneficial owners of particular futures and options 
accounts, a subject addressed in a previous Commission proposed 
rulemaking.\62\ Unlike identification of the ownership and control of 
existing accounts, use of UCIs for swap data reporting would not 
require modification of existing systems or alteration of existing 
data. The UCI requirement would only apply prospectively to new swap 
transactions executed following the effective date of the Commission's 
final swap data reporting regulations. No substantial alteration of 
system architecture would be required; instead, only a single data

[[Page 76591]]

field would need to be added to the information submitted with an order 
for a swap transaction or with a report of swap data to an SDR. Where 
compiling the information necessary to create the type of account 
ownership and control report addressed in the Commission's proposed 
ownership and control rule would depend on collecting data points not 
in the possession of any single entity, by contrast, once a legal 
entity that intends to be a swap counterparty has obtained an UCI--
something it would only need to do once--it would possess all the 
information required for its subsequent use.
---------------------------------------------------------------------------

    \62\ CFTC, Account Ownership and Control Report, 17 CFR Part 16, 
September 9, 2010.
---------------------------------------------------------------------------

    Information concerning a counterparty's affiliations must be 
available in conjunction with UCIs in order to enable regulators to 
aggregate data across entities and markets for the purpose of effective 
monitoring of systemic risk. For this purpose, regulators need to be 
able to identify all swap positions within the same ownership group. 
Accordingly, the proposed regulations would require each swap 
counterparty to report all of its corporate affiliations into a 
confidential, non-public corporate affiliations reference database, 
maintained and located as determined by the Commission. Data contained 
in the corporate affiliations reference database would be available 
only to the Commission, and to other financial regulators via the same 
data access procedures applicable to data in SDRs, for regulatory 
purposes. For these purposes, ``corporate affiliations'' would mean the 
identity of all legal entities that own the counterparty, that are 
under common ownership with the counterparty, or that are owned by the 
counterparty. The corporate affiliation information reported would be 
required to be sufficient to disclose parent-subsidiary and affiliate 
relationships, such that each legal entity within or affiliated with 
the corporate hierarchy or ownership group to which the counterparty 
belongs would be separately identified. Each counterparty would also be 
required to report to the corporate affiliations reference database all 
changes to the information previously reported concerning the 
counterparty's corporate affiliations, so as to ensure that the 
corporate affiliation information recorded in the corporate 
affiliations reference database remains current and accurate at all 
times.
    The corporate affiliations reference database would need to be 
accessible to both national and international financial regulators in 
order to make the identification system involving UCIs fully effective 
for regulatory purposes. To ensure the availability of comprehensive 
and accurate information, it would therefore appear to be optimal that 
there be a single corporate affiliations reference database, maintained 
by a single organization in a single location. The Commission seeks 
comment on where and by what organization the corporate affiliations 
database would best be maintained: whether by an international 
voluntary consensus standards body (discussed below); by a self-
regulatory organization; by the Commission; by the OFR; or by some 
other organization.
    The Commission understands that, while a single identifier 
satisfying the requirements included in the proposed regulations is not 
currently published by any standard-setting body, market participants 
have been working diligently to solve practical issues that stand in 
the way of such publication.
    The Commission believes, and understands that the SEC and the OFR 
also believe, that optimum effectiveness of UCIs for achieving the 
systemic risk protection and transparency goals of Dodd-Frank--goals 
shared by financial regulators world-wide--would come from creation of 
an identification system, including UCIs, on an international basis, 
through an international ``voluntary consensus standards body'' as 
defined in Office of Management and Budget (``OMB'') Circular No. A-119 
Revised. The National Technology Transfer and Advancement Act of 1995 
codified OMB Circular No. A-119, and directs Federal agencies to use 
voluntary consensus standards in lieu of government-unique standards 
except where inconsistent with law or otherwise impractical.\63\ This 
provision's intent is to eliminate the cost to the government of 
developing its own standards, decrease the burden of complying with 
agency regulations, provide incentives and opportunities to establish 
standards that serve national needs, encourage long-term growth for 
U.S. enterprises, promote efficiency and economic competition through 
harmonization of standards, and further the policy of reliance upon the 
private sector to supply government needs for goods and services. 
Further, to promote trade and implement the provisions of international 
treaty agreements, the provision requires Federal agencies to consider 
international standards in procurement and regulatory applications.
---------------------------------------------------------------------------

    \63\ Public Law 104-113, Sec.  12(d).
---------------------------------------------------------------------------

    As defined in OMB Circular A-119, ``voluntary consensus standards'' 
are standards developed or adopted by voluntary consensus standards 
bodies, both domestic and international. These standards include 
provisions requiring that owners of relevant intellectual property have 
agreed to make that intellectual property available on a non-
discriminatory, royalty-free or reasonable royalty basis to all 
interested parties. ``Voluntary consensus standards bodies'' are 
domestic or international organizations that plan, develop, establish, 
or coordinate voluntary consensus standards using agreed-upon 
procedures.
    For the reasons set forth above, the Commission proposes to use its 
rulemaking authority to require the use of UCIs in all swap data 
reporting subject to its jurisdiction. The Commission prefers to have 
its swap data reporting regulations prescribe use of a universally-
available UCI that is part of an identification system created on an 
international basis through an international ``voluntary consensus 
standards body,'' and intends to promulgate final regulations to that 
effect if such an identification is available sufficiently prior to the 
implementation date included in the Commission's final swap data 
reporting regulations. However, the Commission will prescribe its own 
method for creation of UCIs to be used in swap data reporting subject 
to the Commission's regulations if no such internationally-accepted 
identification system acceptable to the Commission is available prior 
to the implementation date of the final regulations.
    The Commission anticipates that a system for publication of UCIs 
meeting the requirements of the proposed regulations may be developed 
through an international voluntary consensus body and be available as 
of the implementation date for the UCI requirement. Dodd-Frank 
explicitly permits the Commission to ``take into consideration any 
evolving standard of the United States or the international 
community.'' \64\
---------------------------------------------------------------------------

    \64\ CEA Sec.  21(f)(4)(B).
---------------------------------------------------------------------------

    Accordingly, the proposed regulations set forth principles that the 
Commission believes must govern the identification system used to 
establish UCIs for swap counterparties, among other purposes. Under 
these principles, the identification system must:

     Result in a unique identifier format that is capable of 
becoming the single international standard for unique identification 
of legal entities in the financial sector on a global basis.
     Be developed via an international ``voluntary consensus 
standards body'' as defined in OMB Circular No. A-119 Revised, such 
as the International Organization for

[[Page 76592]]

Standardization (``ISO''), and must be maintained by such a body and 
an associated Registration Authority. Both the standards body and 
Registration Authority must have a formally documented governance 
structure acceptable to the Commission.
     Be available to all interested parties on a non-
discriminatory, royalty-free or reasonable royalty basis. While 
reasonable initial and annual fees would be appropriate to cover the 
cost of issuance, maintenance, and initial and ongoing verification 
of unique identifiers, fees must not be charged for redistribution, 
publication or other use by the counterparty identified or any other 
entity or person, and the identification system must be operated on 
a non-profit basis. Information concerning the issuance process for 
new identifiers and a comprehensive, current directory of the UCIs 
issued by the identification system (but not the entity relationship 
or affiliation information reported by counterparties), must be 
available publicly and free of charge.
     Be supported by a trusted and auditable method of 
verifying the identity of each legal entity receiving a UCI, both 
initially and at appropriate intervals thereafter. The Registration 
Authority must maintain reference data sufficient to verify that a 
user has been correctly identified as an entity. Issuance of 
identifiers must be speedy and unbiased.
     Maintain robust quality assurance practices and system 
safeguards acceptable to the Commission.
     Be sufficiently extensible to cover all existing and 
potential future legal entities of all types that are or may become 
swap counterparties, are or may become involved in any aspect of the 
financial issuance and transactions process, or may be subject to 
required due diligence by financial sector entities.
     Assign only one unique identifier to any legal entity.
     Have a unique identifier format consisting of a single 
data field, and contain either no embedded intelligence or as little 
embedded intelligence as practicable.
     Persist despite all corporate events.

    In the event that an identification system satisfying these 
principles is not available as of the effective date of the proposed 
regulations, the proposed regulations provide that a UCI for each swap 
counterparty must be created and assigned by an SDR, using the method 
specified for this purpose in the proposed regulations.
    The Commission seeks comment concerning the required use of UCIs; 
concerning the benefits that required use of UCIs would create; 
concerning the required reporting of affiliation information by swap 
counterparties and the scope of affiliation information necessary to 
achieve regulatory purposes; concerning the principles set forth in the 
proposed regulations for development of an identification system 
including UCIs; concerning possible means of achieving international 
adoption of a suitable identification system for financial sector legal 
entities that involves UCIs; and concerning what international 
voluntary consensus standards body can best provide the needed 
identification standard including UCIs, and what advantages are offered 
by the standards body recommended by the commenter.
    Unique Product Identifiers. The Unique Product Identifier (``UPI'') 
called for by the proposed rules would be used for categorization of 
swaps with respect to the underlying products referenced in them. While 
the UPI would be assigned to a particular level of the taxonomy of the 
asset class or sub-asset class in question, its existence would enable 
the Commission and other regulators to aggregate transactions at 
various taxonomy levels based on the type of product underlying the 
swap. For example, a UPI might identify a swap referencing the NYMEX 
futures price for light, sweet crude oil as a NYMEX WTI crude oil 
futures price swap. The taxonomy associated with the UPI would enable 
regulators to identify the product underlying the swap as a commodity, 
an energy product, a petroleum product, a crude oil product, or 
ultimately the NYMEX crude oil futures price, as desired.
    The ability to identify underlying products in a categorical way 
would serve several regulatory purposes. First, it would enhance 
transparency, by allowing the Commission or other regulators to 
aggregate and report swap activity at a variety of product type levels. 
Second, it would enhance position limit enforcement. The Dodd-Frank Act 
requires the Commission to establish position limits for agricultural 
and exempt commodities that would span across the futures, options and 
swap markets. A UPI that provides information indicating what swaps 
need to be aggregated with other contracts would enhance the 
Commission's ability to develop and oversee its position limit 
regulatory program. Third, it would enhance analysis of swap data. For 
example, classification of swaps via UPIs would facilitate examination 
of the activity of market participants at various levels of a product 
class. The Commission is required by Dodd-Frank to prepare semi-annual 
reports regarding swap market activity, and such classification via 
UPIs would be necessary for meaningful evaluation of such activity.
    Effective use of UPIs for regulatory purposes would require a 
robust taxonomy for swaps in each swap asset class, as well as 
decisions concerning what classification scheme to use, and concerning 
the appropriate level for UPI assignment within such taxonomies.
    The Commission seeks comments concerning the most effective 
classification scheme for swap products, and concerning the taxonomy 
level within each swap asset class at which UPIs should be assigned. In 
considering these issues, commenters should take into consideration 
what levels of aggregation are desirable for reporting swap activity. 
The Commission also seeks comment concerning the benefits or burdens 
that required use of UPIs would create, and concerning the optimal 
implementation date for effective adoption and use of UPIs.

D. Determination of Which Counterparty Must Report

    New Section 4r(3) of the CEA specifies the counterparty obligated 
to report a swap transaction to a swap data repository.\65\ 
Specifically, Section 4r(3) provides that:
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    \65\ Dodd-Frank Sec.  729.

    With respect to a swap in which only 1 [sic] counterparty is a 
swap dealer or major swap participant, the swap dealer or major swap 
participant shall report the swap * * * With respect to a swap in 
which 1 [sic] counterparty is a swap dealer and the other a major 
swap participant, the swap dealer shall report the swap. * * * With 
respect to any other swap * * * the counterparties to the swap shall 
---------------------------------------------------------------------------
select a counterparty to report the swap * * *.

The effect of this provision is to establish a hierarchy of 
counterparty types for reporting obligation purposes, in which SDs 
outrank MSPs, who outrank non-SD/MSP counterparties. Where both 
counterparties are at the same hierarchical level, the statute calls 
for them to select the counterparty obligated to report.
    The Commission believes that, regardless of the possible merits of 
swap data reporting by both counterparties to a swap, this statutory 
provision does not permit the Commission by regulation or other 
regulatory action to require swap data reporting by both counterparties 
to a swap. New CEA Section 21 does provide, with respect to the duties 
of an SDR, that an SDR shall ``confirm with both counterparties to the 
swap the accuracy of the data that was submitted.'' \66\ However, the 
obligation to report swap data to an SDR is distinct from the duty of 
the SDR to confirm the accuracy of the reported data. Congress could 
have provided for reporting by both counterparties, but chose instead 
to establish which counterparty bears the obligation to report.\67\ The 
proposed

[[Page 76593]]

regulations require reporting of confirmation data for all swaps as a 
means of verification of the accuracy of the data submitted in 
connection with each swap.
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    \66\ CEA Sec.  21(c)(2).
    \67\ The Commission does not believe that Dodd-Frank precludes 
an SDR from accepting and maintaining swap data from both 
counterparties to a swap. For example, an SDR or its affiliate 
performing the ancillary service of maintaining the single binding 
legal record of a swap, such as the ``gold'' record maintained by 
the Depository Trust & Clearing Corporation (``DTCC'') for credit 
swaps, would not be barred from receiving dual reporting in that 
connection.
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    While Section 4r(a) of the CEA applies explicitly to swaps not 
accepted for clearing by any DCO, the Commission believes, 
preliminarily, that for the sake of uniformity and ease of 
applicability, the duty to report should be borne by the same 
counterparty regardless of whether the swap is cleared or uncleared. 
The Commission also believes it is appropriate for SDs and MSPs to have 
the responsibility of reporting with respect to the majority of swaps, 
because they are more likely than other counterparties to have 
automated systems in place that can facilitate reporting.
    The proposed regulations establish a mechanism for counterparties 
to follow in choosing the counterparty to report in situations where 
both counterparties have the same hierarchical status, in order to 
prevent confusion or delay concerning this choice. Where both 
counterparties are SDs, or both are MSPs, or both are non-SD/MSP 
counterparties, the proposed regulations require the counterparties to 
agree as one term of their swap transaction which counterparty will 
fulfill reporting obligations with respect to that swap.
    The proposed regulations also provide that, where only one 
counterparty to a swap is a U.S. person, the U.S. person should be the 
reporting counterparty. The Commission believes this approach is 
necessary in order to ensure compliance with reporting requirements in 
such situations.
    The Commission requests comment concerning the possible utility of 
some type of swap data reporting by both counterparties, and how such 
dual reporting could be achieved other than by regulations requiring 
such reporting (which regulations appear barred by Dodd-Frank); 
regarding whether reporting of confirmation data is a sufficient means 
of verifying with both parties the accuracy of swap data reported to an 
SDR, and if not, what other means should be employed; on whether 
selection of the reporting counterparty should be the same for cleared 
swaps as for non-cleared swaps, and if not on how the reporting 
counterparty should be selected for cleared swaps; and on the 
mechanisms provided in the proposed regulation for counterparties to 
follow in choosing the counterparty to report in situations where both 
counterparties have the same hierarchical status, and on possible 
alternative mechanisms for this purpose.

E. Third Party Facilitation of Swap Data Reporting

    While the various reporting obligations established in the proposed 
regulations fall explicitly on registered entities and swap 
counterparties, the Commission recognizes that practicality, 
efficiencies, and decreased cost could in some circumstances be gained 
by engaging third parties to facilitate the actual reporting of 
information. The use of such third-party facilitators, however, should 
not allow the counterparty with the obligation to report to avoid its 
responsibility to report swap data in a timely and accurate manner. 
Therefore, the proposed regulations explicitly recognize that 
registered entities and counterparties required to report under 
provisions in Part 45 may contract with third-party service providers 
to facilitate reporting, but, nonetheless, remain fully responsible for 
reporting as required by the regulations.
    The Commission requests comment on the merits of allowing third 
party facilitation of swap data reporting; on appropriate types of 
third party facilitators and functions to be used for this purpose; and 
on the automated system and connectivity technology that may be 
required or should be used in this connection.

F. Reporting to a Single SDR

    The Commission believes that important regulatory purposes of Dodd-
Frank would be frustrated, and that regulators' ability to see 
necessary information concerning swaps could be impeded, if data 
concerning a given swap was spread over multiple SDRs. Accordingly, the 
proposed regulations would require that all swap data for a given swap 
must be reported to a single SDR, which shall be the SDR to which 
required primary economic terms data for that swap is first reported. 
The proposed regulations would also provide that the SDR receiving this 
initial report must transmit its own identity, together with the USI 
for the swap (created as provided in Sec.  45.4) to each counterparty 
to the swap, to the SEF or DCM, if any, on which the swap was executed, 
and to the DCO, if any, to which the swap is submitted for clearing. 
Thereafter, the proposed regulations would require that all data 
reported for the swap by any registered entity or any counterparty to 
the swap, and all corrections of errors and omissions in previously 
reported data, must be reported to that same SDR (or to its successor 
in the event that it ceases to operate).
    Where the initial report of required primary economic terms data is 
made by the SEF or DCM on which a swap is executed, or by an SD or MSP 
counterparty in the case of a swap not executed on a SEF or DCM, the 
proposed regulations would provide that the choice of the SDR to 
receive the initial report shall be made in a manner to be determined 
by the Commission prior to adoption of its final swap data reporting 
regulations. Where the initial report of required primary economic 
terms data is made by a non-SD/MSP counterparty, the proposed 
regulations would provide that the non-SD/MSP counterparty making that 
report shall choose the SDR to which the report is made.
    The Commission requests comment concerning the benefits or 
drawbacks of requiring that all swap data for a given swap should be 
reported to the same SDR; concerning how the choice of the SDR to which 
swap data is to be reported for a swap should be made, and concerning 
what registered entity or swap counterparty should make this choice.

G. Data Reporting for Swaps in Asset Classes Not Accepted by Any Swap 
Data Repository

    Section 4r(a)(1)(B) of the CEA recognizes that in some 
circumstances there may be no SDR that will accept swap data for 
certain swap transactions. This category of swaps should be limited, 
since proposed regulations for SDRs set forth in the Commission's 
separate advance notice of proposed rulemaking regarding SDRs will 
require an SDR that accepts swap data for any swap in an asset class to 
accept data for all swaps in that asset class. However, situations 
could arise where a novel product does not fit into any existing asset 
class, or where no SDR yet accepts swap data for any swap in an 
existing asset class. In such situations, the CEA and the proposed 
regulations would require the reporting counterparty to report to the 
Commission all swap data required by Part 45 to be reported to an SDR 
where one is available. This report would be required to be made at a 
time and in a form and manner determined by the Commission.
    The Commission requests comment on whether SDRs that accept data 
for any swap in a swap asset class should be required to accept data 
for all swaps

[[Page 76594]]

in that asset class; and on the time and the form and manner of 
reporting that the Commission should require with respect to data 
reporting for swaps that must be reported to the Commission because no 
SDR presently accepts swap data for swaps in the asset class involved.

H. Required Data Standards

    Dodd-Frank directs the Commission to ``prescribe data collection 
and data maintenance standards for swap data repositories.'' \68\ It 
also provides that SDRs shall maintain swap data reported to them ``in 
such form, in such manner, and for such period as may be required by 
the Commission,'' and directs SDRs to ``provide direct electronic 
access to the Commission.'' \69\ These requirements are designed to 
effectuate the fundamental purpose for the legislation's swap data 
reporting requirements: making swap data available to the Commission 
and other financial regulators so as to enable them to better fulfill 
their market oversight and other regulatory functions, increase market 
transparency, and mitigate systemic risk. Accordingly, the Commission 
believes that data standards for SDRs must enable them to provide data 
to the Commission in a format that enables its effective and timely use 
for such purposes.
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    \68\ CEA Sec.  21(b)(2).
    \69\ CEA Sec.  21(c)(3) and (4).
---------------------------------------------------------------------------

    The Commission has considered, and will continue to consider, 
whether it would be preferable to require that all swap data reporting 
to SDRs be done in a uniform reporting format or via a single data 
standard. However, the Commission is aware that such a requirement 
would be likely to require changes to the existing automated systems of 
some entities and counterparties that will be required to report swap 
data pursuant to these regulations, and that in some cases such changes 
could impose a substantial burden on such entities and counterparties. 
The Commission has been advised by some existing trade repositories 
that they are able to accept data in multiple formats or data standards 
from different counterparties, and to map the data they receive into a 
common data standard within the repository, without undue difficulty, 
delay, or cost. The Commission understands that automated systems and 
data standards evolve over time, and that it may be desirable for 
regulations concerning data standards to avoid locking reporting 
entities, reporting counterparties, and SDRs into particular data 
standards that could become less appropriate in the future. Dodd-Frank 
explicitly permits the Commission to ``take into consideration any 
evolving standard of the United States or the international 
community.'' \70\
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    \70\ CEA Sec.  21(f)(4)(B).
---------------------------------------------------------------------------

    Finally, the Commission anticipates that the degree of flexibility 
offered by SDRs concerning data standards for swap data reporting could 
become an element of marketplace competition with respect to SDRs.
    Accordingly, the proposed regulations would require an SDR to 
maintain all swap data reported to it in a format acceptable to the 
Commission, and to transmit all swap data requested by the Commission 
to the Commission in an electronic file in a format acceptable to the 
Commission. The proposed regulations would require reporting entities 
and counterparties to use the facilities, methods, or data standards 
provided or required by an SDR to which they report data, but also 
would allow an SDR to permit reporting via various facilities, methods, 
or data standards, provided that its requirements in this regard enable 
it to maintain swap data and transmit it to the Commission as the 
Commission requires. The Commission believes that this approach can 
provide market participants sufficient flexibility and opportunity to 
innovate, while also ensuring that SDRs can meet their legal mandates 
to transmit swap data to the Commission in a timely fashion. Finally, 
the proposed regulations would delegate to the Director of the Division 
of Market Oversight the ability to accommodate the needs of different 
communities of users and to provide the flexibility to adapt to 
changing circumstances and evolving data standards.
    The Commission requests comments concerning the approach to data 
standards taken in the proposed regulation; and concerning the relative 
merits of leaving SDRs free to permit reporting via various facilities, 
methods, or data standards, provided that its requirements in this 
regard enable it to maintain swap data and transmit it to the 
Commission as the Commission requires; concerning whether the 
Commission should require use of a single data standard (e.g., FpML) by 
all reporting entities and counterparties and by all SDRs.

I. Reporting of Errors and Omissions in Previously Reported Data

    Accurate swap data is essential to effective fulfillment of the 
various regulatory functions of financial regulators. To help ensure 
data accuracy, the proposed regulations would require registered 
entities and swap counterparties that report swap data to an SDR or to 
any other registered entity or swap counterparty to report any errors 
or omissions in the data they report, as soon as technologically 
practicable after discovery of any error or omission. Because daily 
snapshot reports of state data by reporting counterparties by their 
nature can correct errors or omissions in previous snapshot reports, 
the proposed regulations provide that for interest rate swaps, 
commodity swaps, and currency swaps, reporting counterparties fulfill 
the requirement to report errors or omissions in state data previously 
reported by making corrections in their next daily report of state 
data. Because Dodd-Frank permits the Commission to require reporting by 
only one swap counterparty, and because error and omission correction 
from non-reporting counterparties is nevertheless desirable to better 
ensure data accuracy, the proposed regulation (a) would require a non-
reporting swap counterparty that discovers any error or omission with 
respect to any swap data reported to an SDR for its swaps to notify the 
reporting counterparty promptly of each such error or omission, and (b) 
would require the reporting counterparty, upon receiving such notice, 
to report a correction of each such error or omission to the SDR, as 
soon as technologically practicable after receiving notice of it from 
the non-reporting counterparty.
    To ensure consistency of data within an SDR with respect to error 
corrections, the proposed regulations would require an entity or 
counterparty correcting an error or omission to do so in the same data 
format it used in making the erroneous report. To similarly ensure 
consistency of data transmitted to the Commission with respect to error 
corrections, the proposed regulations impose the same requirement on 
SDRs with respect to transmission of error corrections.
    The Commission requests comment concerning the requirement that all 
entities and counterparties that report swap data to an SDR or to any 
other registered entity or swap counterparty must report any errors or 
omissions in the data they report, as soon as technologically 
practicable after discovery of any error or omission; concerning the 
mechanism provided in the proposed regulation for reporting of errors 
or omissions discovered by a non-reporting swap counterparty, and 
whether any alternative methods for this purpose would be preferable; 
and

[[Page 76595]]

concerning the requirement for use of the same data format to report 
errors or omissions that was used to report the erroneous data in 
question.

III. Related Matters

A. Regulatory Flexibility Act

    The RFA \71\ requires that agencies consider whether the rules they 
propose will have a significant economic impact on a substantial number 
of small entities and, if so, provide a regulatory flexibility analysis 
respecting the impact.\72\ The rules proposed by the Commission would 
affect SDRs, DCOs, SEFs, DCMs, SDs, MSPs, and non-SD/MSP counterparties 
who are counterparties to one of more swaps and subject to the 
Commission's jurisdiction. The Commission has previously established 
certain definitions of ``small entities'' to be used by the Commission 
in evaluating the impact of its regulations on small entities in 
accordance with the RFA.\73\ In its previous determinations, the 
Commission has concluded that DCMs and DCOs are not small entities for 
the purpose of the RFA.\74\
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    \71\ 5 U.S.C. 601 et seq.
    \72\ 5 U.S.C. 601 et seq.
    \73\ 47 FR 18618 (Apr. 30, 1982).
    \74\ 47 FR 18618, 18619 (April 30, 1982) discussing contract 
markets; and 66 FR 45604, 45609 (August 29, 2001) discussing 
derivatives clearing organizations.
---------------------------------------------------------------------------

    As SDRs, SDs, MSPs and SEFs are new entities to be regulated by the 
Commission pursuant to the Dodd-Frank Act, the Commission has not 
previously determined whether they are small entities for the purpose 
of the RFA. The Commission is proposing to determine that SDRs, SDs, 
MSPs and SEFs covered by these rules, for reasons similar to those 
applicable to DCMs and DCOs, are not small entities for purposes of the 
RFA.
    Specifically, the Commission proposes that SDRs, SDs, MSPs and SEFs 
should not be considered small entities based on, among other things, 
the central role they will play in the national regulatory scheme 
overseeing the trading of swaps. Because they will be required to 
accept swaps across asset classes, SDRs will require significant 
operational resources. With respect to SDs, the Commission previously 
has determined that FCMs should not be considered to be small entities 
for purposes of the RFA.\75\ Like FCMs, SDs will be subject to minimum 
capital and margin requirements, and are expected to comprise the 
largest global financial firms. Additionally, the Commission is 
required to exempt from designation entities that engage in a de 
minimis level of swaps.\76\ Similarly, with respect to MSPs, the 
Commission has also previously determined that large traders are not 
``small entities'' for RFA purposes.\77\ Like large traders, MSPs will 
maintain substantial positions, creating substantial counterparty 
exposure that could have serious adverse effects on the financial 
stability of the United States banking system or financial markets. 
With respect to SEFs, not only will SEFs play a vital role in the 
national economy, but they will be required to operate as self-
regulatory organizations, subject to Commission oversight, with 
statutory duties to enforce the rules adopted by their own governing 
bodies. Most of these entities will not be small entities for RFA 
purposes.
---------------------------------------------------------------------------

    \75\ 47 FR 18618 (Apr. 30, 1982).
    \76\ Id. at 18619.
    \77\ 47 FR at 18620.
---------------------------------------------------------------------------

    The proposed regulations would require reporting by a non-SD/MSP 
counterparty only with respect to swaps in which neither counterparty 
is an SD or MSP. The considerable majority of swaps involve at least 
one SD or MSP. In addition, most end users and other non-SD/MSP 
counterparties who are regulated by the Employee Retirement Income 
Security Act of 1974 (``ERISA''), such as pension funds, which are 
among the most active participants in the swap market, are prohibited 
from transacting directly with other ERISA-regulated participants.\78\ 
Therefore, the Commission does not believe that the reporting 
obligations under this rulemaking will create a significant economic 
impact on a substantial number of small entities.
---------------------------------------------------------------------------

    \78\ 29 U.S.C. 1106
---------------------------------------------------------------------------

    Accordingly, the Chairman, on behalf of the Commission, hereby 
certifies pursuant to 5 U.S.C. 605(b) that the proposed rules will not 
have a significant impact on a substantial number of small entities. 
Nonetheless, the Commission specifically requests comment on the impact 
these proposed rules may have on small entities.

B. Paperwork Reduction Act

    Introduction. Provisions of proposed Commission Regulations 45.2, 
45.3, and 45.4 would result in new collection of information 
requirements within the meaning of the Paperwork Reduction Act 
(``PRA'').\79\ The Commission therefore is submitting this proposal to 
the Office of Management and Budget (OMB) for review in accordance with 
44 U.S.C. 3507(d) and 5 CFR 1320.11. The title for this collection of 
information is ``Regulations 45.2, 45.3, and 45.4--Swap Data 
Recordkeeping and Reporting Requirements,'' OMB control number 3038--
NEW). If adopted, responses to this new collection of information would 
be mandatory. The Commission will protect proprietary information 
according to the Freedom of Information Act and 17 CFR part 145, 
``Commission Records and Information.'' In addition, section 8(a)(1) of 
the Act strictly prohibits the Commission, unless specifically 
authorized by the Act, from making public ``data and information that 
would separately disclose the business transactions or market positions 
of any person and trade secrets or names of customers.'' The Commission 
also is required to protect certain information contained in a 
government system of records according to the Privacy Act of 1974, 5 
U.S.C. 552a.
---------------------------------------------------------------------------

    \79\ 44 U.S.C. 3501 et seq.
---------------------------------------------------------------------------

    Information Provided by Reporting Entities/Persons. Under proposed 
Regulation 45.2, SDRs, SEFs, DCMs, DCOs, SDs, MSPs, and non-SD/MSP 
counterparties--which presently would include an estimated 30,384 
entities or persons \80\--would be required to keep records of all 
activities relating to swaps. Specifically, proposed Regulation 45.2 
would require SDRs, SEFs, DCMs, DCOs, SDs, and MSPs to keep complete 
records of all activities relating to their business with respect to 
swaps. The proposed regulation would require non-SD/MSP counterparties 
to keep complete records with respect to each swap in which they are a 
counterparty. With respect to SDs and MSPs, the Commission has 
determined that proposed Regulation 45.2 will not impose any new 
recordkeeping or information collection requirements, or other 
collections of information that require approval of the Office of 
Management and Budget under the Paperwork Reduction Act. Requirements 
for maintaining and recording swap transaction data by SDs and MSPs 
will be addressed by related rulemakings associated with business 
conduct standards for SDs and MSPs as part of the Commission's overall

[[Page 76596]]

rulemaking initiative implementing the Dodd-Frank Act.\81\ With respect 
to SDRs, SEFs, DCMs, DCOs (an estimated 84 entities or persons), which 
will have higher levels of swap recording activity \82\ than non-SD/MSP 
counterparties, the Commission estimates that there may be 
approximately 40 annual burden hours per entity, excluding customary 
and usual business practices. With respect to non-SD/MSP reporting 
counterparties (an estimated 30,000 entities or persons), who will have 
lower levels of swap recording activity, the Commission estimates that 
there may be approximately 10 annual burden hours per entity, excluding 
customary and usual business practices. Therefore, there are 303,360 
estimated aggregate annual burden hours.
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    \80\ Because SDRs, MSPs, SDs, DCOs, and SEFs are new entities, 
estimates were made by the Commission: 15 SDRs, 50 MSPs, 250 SDs, 12 
DCOs, and 40 SEFs. The number of DCMs was estimated to be 17 DCMs 
based on the current (as of October 18, 2010) number of designated 
DCMs (http://services.cftc.gov/SIRT/SIRT.aspx?Topic=TradingOrganizations&implicit=true&type=DCM&CustomColumnDisplay=TTTTTTTT). Additionally, for purposes of the Paperwork 
Reduction Act, the Commission estimates that there would be 30,000 
non-SD/MSP counterparties who would annually be subject to the 
recordkeeping requirements of proposed Regulation 45.1. Because the 
Commission has not regulated the swap market, it has not collected 
data relevant to this estimate. Therefore, the Commission requests 
comment on this estimate.
    \81\ The Commission invites public comment on the accuracy of 
its estimate that no additional recordkeeping or information 
collection requirements related to SDs and MSP would result from the 
rules proposed herein.
    \82\ For purposes of this Paperwork Reduction Act analysis, the 
Commission estimates that ``high activity'' entities or persons are 
those who process or enter into hundreds or thousands of swaps per 
week that are subject to the jurisdiction of the Commission. Low 
activity users would be those who process or enter into 
substantially fewer than the high activity users. The Commission 
requests comment on its estimate.
---------------------------------------------------------------------------

    Under proposed Regulation 45.3, SEFs, DCMs, DCOs, MSPs, SDs, and 
non-SD/MSP counterparties would be required to provide reports to SDRs 
regarding swap transactions. SEFs and DCMs are required to report 
certain information once at the time of swap execution. DCOs, SDs, 
MSPs, and non-SD/MSP counterparties are required to report certain 
information once, as well as other information on a daily basis. With 
respect to reporting by SDs, MSPs, and non-SD/MSP counterparties, only 
one counterparty to a swap is required to report, typically an SD or an 
MSP as determined by proposed Regulation 45.4. The Commission 
anticipates that the reporting will to a significant extent be 
automatically completed by electronic computer systems; the following 
burden hours are calculated based on the annual burden hours necessary 
to oversee and maintain the reporting functionality.\83\ SEFs, DCMs, 
DCOs, MSPs, and SDs (an estimated 369 entities or persons) are 
anticipated to have high levels of reporting activity; the Commission 
estimates that their average annual burden may be approximately 2,080 
hours.\84\ Non-SD/MSP counterparties who would be required to report--
which presently would include an estimated 1,500 entities \85\--are 
anticipated to have lower levels of activity with respect to reporting; 
the Commission estimates that their annual burden may be approximately 
75 hours. Therefore, there are 880,020 estimated aggregate annual 
burden hours.
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    \83\ Estimated burden hours were obtained in consultation with 
the Commission's information technology staff. The Commission 
requests comment on these estimates.cvvv
    \84\ The Commission estimated 2,080 hours by assuming that a 
significant number of SEFs, DCMs, DCOs, MSP, and SDs will dedicate 
the equivalent of at least one full-time employee to ensuring 
compliance with the reporting obligations of Regulation 45.3 (2,080 
hours = 52 weeks x 5 days x 8 hours). The Commission believes that 
this is a reasonable assumption due to the volume of swap 
transactions that will be processed by these entities, the varied 
nature of the information required to be reported by Regulation 
45.3, and the frequency (daily) with which some reports must be 
made. The Commission requests comment on its estimate.
    \85\ This is the estimated number of non-SD/MSP counterparties 
who would be required to report in a given year. Only one 
counterparty to a swap is required to report, typically an SD or a 
MSP as determined by proposed Regulation 45.4. The Commission 
requests comment on this estimate.
---------------------------------------------------------------------------

    Under proposed Regulation 45.4, SDRs, SEFs, DCMs, SDs, and MSPs 
would be required to report a unique swap identifier to other 
registered entities and swap participants. SEFs and DCMs are 
anticipated to have higher levels of activity than SDRs, SDs, and MSPs 
with respect to unique swap identifier reporting. The Commission 
anticipates that the reporting of the unique swap identifier will be 
automatically completed by electronic computer systems. The following 
burden hours are based on the estimated burden hours necessary to 
oversee and maintain the electronic functionality of unique swap ID 
reporting.\86\ The Commission estimates that SEFs and DCMs (an 
estimated 57 entities or persons) may have approximately 22 annual 
burden hours per entity. The Commission estimates that SDRs, SDs, and 
MSPs (an estimated 315 entities or persons) may have approximately 6 
annual burden hours per entity. Therefore, there are 3,144 estimated 
aggregated annual burden hours.
---------------------------------------------------------------------------

    \86\ Estimated burden hours were obtained in consultation with 
the Commission's information technology staff. The Commission 
requests comment on these estimates.
---------------------------------------------------------------------------

    Additionally under Proposed Regulation 45.4, SDs, MSPs, and non-SD/
MSP counterparties (an estimated 30,300 entities and persons), would be 
required to report into a confidential database their ownership and 
affiliations information (as well as changes to ownership and 
affiliations). The report would be made once at the time of the first 
swap reported to an SDR, and would be made anytime thereafter that the 
entity's legal affiliations change. The estimated number of burden 
hours per report is approximately two hours per entity, excluding 
customary and usual business practices. The number of reports required 
to be made per year is estimated to vary between zero and four, 
depending on the number of changes an entity has in its legal 
affiliations in that year. Thus, the estimated annual burden per entity 
varies between zero and eight burden hours. Therefore, there are 
between 0 and 242,400 estimated aggregate annual burden hours.
    Information Collection Comments. The Commission invites the public 
and other Federal agencies to comment on any aspect of the reporting 
and recordkeeping burdens discussed above. Pursuant to 44 U.S.C. 
3506(c)(2)(B), the Commission solicits comments in order to: (i) 
Evaluate whether the proposed collection of information is necessary 
for the proper performance of the functions of the Commission, 
including whether the information will have practical utility; (ii) 
evaluate the accuracy of the Commission's estimate of the burden of the 
proposed collection of information; (iii) determine whether there are 
ways to enhance the quality, utility, and clarity of the information to 
be collected; and (iv) minimize the burden of the collection of 
information on those who are to respond, including through the use of 
automated collection techniques or other forms of information 
technology.
    Comments may be submitted directly to the Office of Information and 
Regulatory Affairs, by fax at (202) 395-6566 or by e-mail at 
[email protected]. Please provide the Commission with a copy 
of submitted comments so that all comments can be summarized and 
addressed in the final rule preamble. Refer to the Addresses section of 
this notice of proposed rulemaking for comment submission instructions 
to the Commission. A copy of the supporting statements for the 
collections of information discussed above may be obtained by visiting 
RegInfo.gov. OMB is required to make a decision concerning the 
collection of information between 30 and 60 days after publication of 
this release. Consequently, a comment to OMB is most assured of being 
fully effective if received by OMB (and the Commission) within 30 days 
after publication of this notice of proposed rulemaking.

C. Cost-Benefit Analysis

    Introduction. Section 15(a) of the Commodity Exchange Act (``CEA'') 
requires the Commission to consider the costs and benefits of its 
actions before issuing a rulemaking under the Act. By its terms, 
section 15(a) does not require

[[Page 76597]]

the Commission to quantify the costs and benefits of the rulemaking or 
to determine whether the benefits of the rulemaking outweigh its costs; 
rather, it requires that the Commission ``consider'' the costs and 
benefits of its actions. Section 15(a) 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. The Commission may in its 
discretion give greater weight to any one of the five enumerated areas 
and could in its discretion determine that, notwithstanding its costs, 
a particular rule is necessary or appropriate to protect the public 
interest or to effectuate any of the provisions to accomplish any of 
the purposes of the Act.
    Summary of proposed requirements. The proposed Commission 
regulations in Part 45 would provide for certain recordkeeping and data 
reporting requirements for SDRs, SEFs, DCMs, DCOs, SDs, MSPs, and non-
SD/MSP counterparties. The proposed regulations would require SDRs, 
SEFs, DCMs, DCOs, SDs, and MSPs to keep records of all activities 
relating to their business with respect to swaps; non-SD/MSP 
counterparties would be required to keep records with respect to each 
swap in which they are a counterparty. The proposed regulations would 
require SEFs, DCMs, DCOs, SDs, MSPs, and non-SD/MSP counterparties to 
report to SDRs various types of swap data, as defined and required in 
the regulations. Further, in some instances the proposed regulations 
would require SDRs, SEFs, DCMs, SDs, and MSPs to create unique swap 
identifiers and transmit them to other registered entities and swap 
participants. Additionally, the proposed regulations would require SDs, 
MSPs, and non-SD/MSP counterparties to report their ownership and 
affiliations information (as well as changes to ownership and 
affiliations), in a manner to be determined by the Commission prior to 
its adoption of final swap data reporting regulations.
    Costs. With respect to costs, the Commission believes that the 
proposed reporting and recordkeeping requirements could impose 
significant compliance costs on some SDRs, SEFs, DCMs, DCOs, SDs, MSPs, 
and non-SD/MSP counterparties. The proposed regulations could require 
capital expenditures for some such entities that could affect the 
ability of some regulated entities to compete in the global marketplace 
because of reductions in available resources.
    Benefits. Notwithstanding the potential costs that could be 
incurred by SDRs, SEFs, DCMs, DCOs, SDs, MSPs, and non-SD/MSP 
counterparties, the Commission believes that the benefits of the 
proposed regulations are significant and important. Through the 
requirement that swap information be reported to SDRs, the proposed 
regulations will greatly improve the efficiency and transparency of the 
swap market. Through the Commission's access to swap data, market 
participants and the public will be better protected, as the result of 
increased market surveillance and monitoring.
    The Commission believes that the proposed regulations are essential 
to the financial protection of swap market participants and the public. 
With their support for greater transparency and more effective 
oversight, the proposed regulations will help to ensure the efficiency, 
competitiveness, and financial integrity of swap markets. By providing 
regulators data necessary for effective prudential supervision, the 
proposed regulations will enable enhanced protection against systemic 
risk. The proposed regulations will also improve the important function 
of price discovery. For all these reasons, the proposed regulations 
would serve the public interest.
    Public Comment. For the reasons set forth above, the Commission 
believes that the benefits of the proposed regulations outweigh their 
costs, and has decided to issue them. The Commission invites public 
comment on its cost-benefit considerations. Commenters are also invited 
to submit any data or other information that they may have quantifying 
or qualifying the costs and benefits of the Proposal with their comment 
letters.

IV. Proposed Effective Date

    The Commission understands that, after the date on which the 
Commission promulgates its final swap data reporting regulations, the 
industry will need a reasonable period of time to implement the 
requirements of those regulations. Time may be required for entities to 
register as SEFs, DCMs, DCOs, or SDRs (or to update current 
registrations as DCMs or DCOs) pursuant to new Commission regulations 
concerning such entities. Time may also be needed for registered 
entities and potential swap counterparties to adapt or create automated 
systems capable of fulfilling the requirements of Commission 
regulations concerning swap data reporting. Accordingly, it may be 
appropriate for the Commission's final swap data reporting regulations 
to establish an effective date for the requirements contained in those 
regulations that is later than the date of their promulgation.
    The Commission requests comment concerning the need for an 
implementation date for its final swap data reporting regulations that 
is later than the date of their promulgation; concerning the benefits 
or drawbacks of such an approach; concerning the length of time needed 
for registered entities and potential swap counterparties to prepare 
for implementation in the ways discussed above, or otherwise; and 
concerning the implementation date which the Commission should specify 
in its final regulations concerning swap data reporting.

V. General Solicitation of Comments

    The Commission requests comments concerning all aspects of the 
proposed regulations, including, without limitation, all of the aspects 
of the proposed regulations on which comments have been requested 
specifically herein.

Proposed Rules

List of Subjects in 17 CFR Part 45

    Swaps, data recordkeeping requirements and data reporting 
requirements.

    For the reasons set forth in the preamble, the Commodity Futures 
Trading Commission proposes to add a new part 45 to read as follows:

PART 45--SWAP DATA RECORDKEEPING AND REPORTING REQUIREMENTS

Sec.
45.1 Definitions.
45.2 Swap recordkeeping.
45.3 Swap data reporting.
45.4 Unique identifiers.
45.5 Determination of which counterparty must report.
45.6 Third-party facilitation of data reporting.
45.7 Reporting to a single SDR.
45.8 Data reporting for swaps in a swap asset class not accepted by 
any SDR.
45.9 Required data standards.
45.10 Reporting of errors and omissions in previously reported data.
Appendix 1 to Part 45--Tables of minimum primary economic terms data 
and minimum valuation data
Appendix 2 to Part 45--Master reference generic data fields list

    Authority:  7 U.S.C. Sec. Sec.  2(a)(13)(G), 4r, 6s, 7, 7a-1, 
7b-3, 12a and 21(b), as amended by Title VII of the Wall Street 
Reform and Consumer Protection Act of 2010, Public Law 111-203, 124 
Stat. 1376 (2010).

[[Page 76598]]

Sec.  45.1  Definitions.

    As used in this part 45, the following terms shall have the 
definitions set forth below.
    (a) ``Asset class'' means the particular broad category of goods, 
services or commodities underlying a swap. The asset classes include 
interest rate, currency, credit, equity, other commodity, and such 
other asset classes as may be determined by the Commission.
    (b) ``Confirmation'' (``confirming'') means the consummation 
(electronically or otherwise) of legally binding documentation 
(electronic or otherwise) that memorializes the agreement of the 
parties to all terms of a swap. A confirmation must be in writing 
(whether electronic or otherwise) and must legally supersede any 
previous agreement (electronically or otherwise).
    (c) ``Confirmation data'' means all of the terms of a swap matched 
and agreed upon by the counterparties in confirming the swap.
    (d) ``Contract-intrinsic event'' means a scheduled, anticipated 
event occurring during the existence of a swap that does not result in 
any change to the contractual terms of the swap, including, without 
limitation, the scheduled expiration of a swap, or a previously 
described and anticipated interest rate adjustment (e.g., a quarterly 
interest rate adjustment).
    (e) ``Contract-intrinsic event data'' means, with respect to a 
credit swap or equity swap, all of the data elements necessary to fully 
report any contract-intrinsic event with respect to that swap.
    (f) ``Credit swap'' means any swap that is primarily based on 
instruments of indebtedness, including, without limitation: Any swap 
primarily based on one or more broad-based indices related to 
instruments of indebtedness; and any swap that is an index credit swap 
or total return swap on one or more indices of debt instruments.
    (g) ``Currency swap'' means any swap which is primarily based on 
rates of exchange between difference currencies, changes in such rates, 
or other aspects of such rates. This category includes foreign exchange 
swaps as defined in CEA Section 1a(25).
    (h) ``Derivatives Clearing Organization'' or ``DCO'' has the 
meaning set forth in CEA Section 1a(9), and any Commission regulation 
implementing that Section, including, without limitation, Sec.  39.5 of 
this chapter.
    (i) ``Designated Contract Market'' or ``DCM'' has the meaning set 
forth in CEA Section 5, and any Commission regulation implementing that 
Section.
    (j) ``Equity swap'' means any swap that is primarily based on 
equity securities, including, without limitation: Any swap primarily 
based on one or more broad-based indices of equity securities; and any 
total return swap on one or more equity indices.
    (k) ``Interest rate swap'' means any swap which is primarily based 
on one or more interest rates, such as swaps of payments determined by 
fixed and floating interest rates.
    (l) ``Life cycle event'' means, with respect to a credit swap or 
equity swap, any event that would result in a change in the data 
previously reported to an SDR in connection with the swap, including, 
without limitation, a counterparty change resulting from an assignment 
or novation; a partial or full termination of the swap; a change in the 
cash flows originally reported; for a credit swap or equity swap that 
is not cleared, any change to the collateral agreement; or a corporate 
action affecting a security or securities on which the swap is based 
(e.g., a merger, dividend, stock split, or bankruptcy).
    (m) ``Life cycle event data'' means, with respect to a credit swap 
or equity swap, all of the data elements necessary to fully report any 
life cycle event, or any adjustment due to a life cycle event, that 
results in a change to data previously reported with respect to that 
swap.
    (n) ``Major Swap Participant'' or ``MSP'' has the meaning set forth 
in CEA Section 1a(33), and any Commission regulation implementing that 
Section.
    (o) ``Non-SD/MSP counterparty'' means a swap counterparty that is 
neither a Swap Dealer nor a Major Swap Participant.
    (p) ``Other commodity swap'' means any swap not included in the 
credit swap, currency swap, equity swap, or interest rate swap 
categories, including, without limitation, any swap for which the 
primary underlying item is a physical commodity or the price or any 
other aspect of a physical commodity.
    (q) ``Primary economic terms'' for a credit swap or equity swap 
means:
    (1) The Unique Swap Identifier for the swap, pursuant to Sec.  
45.4(a);
    (2) The Unique Counterparty Identifier of each counterparty to the 
swap, pursuant to Sec.  45.4(b);
    (3) The Unique Product Identifier assigned to the swap, pursuant to 
Sec.  45.4(c);
    (4) An indication of the counterparty purchasing protection and of 
the counterparty selling protection;
    (5) Information identifying the reference entity for the swap, in a 
format determined by the Commission;
    (6) An indication of whether or not both counterparties are SDs;
    (7) An indication of whether or not both counterparties are MSPs;
    (8) An indication of whether or not both counterparties are non-SD/
MSP counterparties;
    (9) The date and time of execution, expressed using Coordinated 
Universal time (``UTC'');
    (10) The venue where the swap was executed;
    (11) The effective date;
    (12) The scheduled termination date;
    (13) The price;
    (14) The notional amount, the currency in which the notional amount 
is expressed, and the equivalent notional amount in U.S. dollars;
    (15) The amount and currency or currencies of any up-front payment;
    (16) A description of the payment streams of each counterparty;
    (17) The title of any master agreement incorporated by reference 
and the date of any such agreement;
    (18) If the transaction involved an existing swap, an indication 
that the transaction did not involve an opportunity to negotiate a 
material term of the contract, other than the counterparty;
    (19) The data elements necessary for a person to determine the 
market value of the transaction;
    (20) Whether or not the swap will be cleared by a designated 
clearing organization;
    (21) The name of the designated clearing organization that will 
clear the swap, if any;
    (22) If the swap is not cleared, whether the exception in Sec.  
2(h)(7) (``End User exception'') was invoked;
    (23) If the swap is not cleared, all of the settlement terms, 
including, without limitation, whether the swap is cash-settled or 
physically settled, and the method for determining the settlement 
value; and
    (24) Any other primary economic term(s) of the swap matched by the 
counterparties in verifying the swap.
    (r) ``Primary economic terms'' means, for an interest rate swap, 
other commodity swap, or currency swap, all of the terms of a swap 
matched by the counterparties in verifying the swap, including at a 
minimum each of the terms included in the most recent Federal Register 
release by the Commission listing minimum primary economic terms for 
interest rate swaps, other commodity swaps, or currency swaps. The 
Commission's current lists of minimum primary economic terms for 
interest rate, commodity, and currency swaps are found in Appendix 1 to 
part 45.

[[Page 76599]]

    (s) ``Primary economic terms data'' means 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.
    (t) ``Reporting counterparty'' means the counterparty required to 
report swap data pursuant to Sec.  45.5.
    (u) ``Required swap creation data'' for a credit swap or equity 
swap means:
    (1) All primary economic terms data for a credit swap or equity 
swap; and
    (2) All confirmation data for the swap.
    (v) ``Required swap creation data'' for an interest rate swap, 
commodity swap, or currency swap means:
    (1) All primary economic terms data for an interest rate swap, 
commodity swap, or currency swap, as appropriate; and
    (2) All confirmation data for the swap.
    (w) ``Required swap continuation data'' for a credit swap or equity 
swap means:
    (1) All life cycle event data for the swap;
    (2) All contract-intrinsic event data for the swap; and
    (3) All valuation data for the swap, and all changes to valuation 
data previously reported concerning the swap, reported at intervals to 
be determined by the Commission prior to its adoption of final swap 
data reporting regulations.
    (x) ``Required swap continuation data'' for an interest rate swap, 
other commodity swap, or currency swap means:
    (1) All state data for the swap, reported daily throughout the 
existence of the swap until its final termination; and
    (2) A report at intervals specified by the Commission, throughout 
the existence of the swap until its final termination, of all valuation 
data and all changes to valuation data concerning the swap.
    (y) ``State data'' means all of the data elements necessary to 
provide a snapshot view, on a daily basis, of all of the primary 
economic terms of a swap in the swap asset class of the swap in 
question, including any changes to such terms since the last snapshot. 
At a minimum, state data must include all of the economic terms listed 
in the most recent Federal Register release by the Commission 
concerning minimum primary state data elements for interest rate, 
commodity, or currency swaps. The Commission's current lists of minimum 
primary economic terms for interest rate, commodity, and currency swaps 
are found in Appendix 1 to Part 45.
    (z) ``Swap Data Repository'' or ``SDR'' has the meaning set forth 
in CEA Section 1a(48), and any Commission regulation implementing that 
Section.
    (aa) ``Swap Dealer'' or ``SD'' has the meaning set forth in CEA 
Section 1a(49), and any Commission regulation implementing that 
Section.
    (bb) ``Swap Execution Facility'' or ``SEF'' has the meaning set 
forth in CEA Section 1a(50), and any Commission regulation implementing 
that Section.
    (cc) ``Valuation data'' means all of the data elements necessary 
for a person to determine the current market value of the swap, 
including, without limitation, daily margin, daily mark-to-market, and 
other measures of valuation as determined by the Commission.
    (dd) ``Verification'' (``verify'' or ``verifying'') means the 
matching by the counterparties to a swap of each of the primary 
economic terms of a swap, at or shortly after the time the swap is 
executed.


Sec.  45.2  Swap recordkeeping.

    (a) All DCOs, DCMs, SEFs, SDs, and MSPs who are subject to the 
jurisdiction of the Commission shall keep full, complete, and 
systematic records, together with all pertinent data and memoranda, of 
all activities relating to the business of such entities or persons 
with respect to swaps, as prescribed by the Commission. Such records 
shall include, without limitation, the following:
    (1) For DCOs, all records required by part 39 of this chapter.
    (2) For SEFs, all records required by part 37 of this chapter.
    (3) For DCMs, all records required by part 38 of this chapter.
    (4) For SDs and MSPs, all records required by part 23 of this 
chapter.
    (b) All non-SD/MSP counterparties subject to the jurisdiction of 
the Commission shall keep full, complete, and systematic records, 
together with all pertinent data and memoranda, with respect to each 
swap in which they are a counterparty, including all required swap 
creation data and all required swap continuation data that they are 
required to report pursuant to this part 45, and including all records 
demonstrating that they are entitled, with respect to any swap, to the 
end user exception pursuant to Section 2(h)(7).
    (c) All records required to be kept by DCOs, DCMs, SEFs, SDs, MSPs, 
and non-SD/MSP counterparties pursuant to this Section shall be kept 
with respect to each swap from the date of the creation of the swap 
through the life of the swap and for a period of at least five years 
from the final termination of the swap, in a form and manner acceptable 
to the Commission.
    (d) Records required to be kept by DCOs, DCMs, SEFs, SDs, MSPs, or 
non-SD/MSP counterparties pursuant to this Section shall be retrievable 
as follows:
    (1) Each record required by this Section or any other Section of 
the Act to be kept by an SDR shall be readily accessible via real time 
electronic access by the SDR indefinitely.
    (2) Each record required by this Section or any other Section of 
the Act to be kept by a DCO, DCM, SEF, SD, or MSP shall be readily 
accessible via real time electronic access by the registrant throughout 
the life of the swap and for two years following the final termination 
of the swap, and shall be retrievable by the registrant or its 
affiliates within three business days through the remainder of the 
period following final termination of the swap during which it is 
required to be kept.
    (3) Each record required by this Section or any other Section of 
the Act to be kept by a non-SD/MSP counterparty shall be retrievable by 
that counterparty within three business days throughout the period 
during which it is required to be kept.
    (e) All SDRs registered with the Commission shall keep full, 
complete, and systematic records, together with all pertinent data and 
memoranda, of all activities relating to the business of the SDR and 
all swap data reported to the SDR, as prescribed by the Commission. 
Such records shall include, without limitation, all records required by 
Sec.  45.10 of the Commission's proposed swap data repositories 
regulations.
    (f) All records required to be kept by an SDR pursuant to this 
Sec.  45.2 must be kept by the SDR both:
    (1) Throughout the existence of the swap and for five following 
final termination of the swap, during which time the records must be 
readily accessible by the SDR and available to the Commission via real 
time electronic access; and
    (2) Thereafter, for a period to be determined by the Commission 
prior to promulgation of its final swap data recordkeeping and 
reporting regulations, in archival storage from which they are 
retrievable by the SDR within three business days.
    (g) All records required to be kept pursuant to this Section by any 
registrant or its affiliates or by any non-SD/MSP counterparty shall be 
open to inspection upon request by any representative of the 
Commission, the United States Department of Justice, or the Securities 
and Exchange Commission, or by any representative of a prudential 
regulator as authorized by the Commission. Copies of all such records 
shall be provided, at the

[[Page 76600]]

expense of the entity or person required to keep the record, to any 
representative of the Commission upon request, either by electronic 
means, in hard copy, or both, as requested by the Commission.


Sec.  45.3  Swap data Reporting.

    This Section establishes the general swap data reporting 
obligations of SDs, MSPs, non-SD/MSP counterparties, SEFs, DCMs, and 
DCOs to report swap data to an SDR. In addition to the reporting 
obligations set forth in this Section, SDs, MSPs, and non-SD/MSP 
counterparties are also subject to the reporting obligations with 
respect to corporate affiliations reporting set forth in Sec.  
45.4(b)(2); DCMs, SEFs, SDs, MSPs, 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; and, where applicable, 
SDs, MSPs, 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) Reporting of required swap creation data. Registered entities 
and swap counterparties must report required swap creation data 
electronically to an SDR as set forth in this Section.
    (1) Swaps for which the reporting counterparty is an SD or MSP. For 
all swaps in which the reporting counterparty is an SD or MSP, required 
swap creation data must be reported as follows:
    (i) Swaps executed on a SEF or DCM and cleared on a DCO. (A) The 
SEF or DCM on which the swap is executed must report all primary 
economic terms data for the swap asset class of the swap that is in its 
possession, as soon as technologically practicable following execution 
of the swap.
    (B) The DCO on which the swap is cleared must report all 
confirmation data, as soon as technologically practicable following 
clearing of the swap.
    (C) The reporting counterparty, as determined pursuant to Sec.  
45.5, must report any primary economic terms data for the swap asset 
class of the swap that is not reported by the SEF or DCM. This report 
must be made promptly following verification of the primary economic 
terms by the counterparties with each other at the time of, or 
immediately following, execution of the swap, but in no event later 
than: 15 minutes after execution of the swap if both execution and 
verification of primary economic terms occur electronically; 30 minutes 
after execution of the swap if execution does not occur electronically 
but verification of primary economic terms occurs electronically; or 24 
hours after execution of the swap if neither execution nor verification 
of primary economic terms occurs electronically.
    (ii) Swaps Executed on a SEF but Not Cleared on a DCO. (A) The SEF 
on which the swap is executed must report all primary economic terms 
data for the swap asset class of the swap that is in its possession, as 
soon as technologically practicable following execution of the swap.
    (B) The reporting counterparty, as determined pursuant to Sec.  
45.5, must report any primary economic terms data for the swap that is 
not reported by the SEF. This report must be made promptly following 
verification of the primary economic terms by the counterparties with 
each other at the time of, or immediately following, execution of the 
swap, but in no event later than: 15 minutes after execution of the 
swap if both execution and verification of primary economic terms occur 
electronically; 30 minutes after execution of the swap if execution 
does not occur electronically but verification of primary economic 
terms occurs electronically; or 24 hours after execution of the swap if 
neither execution nor verification of primary economic terms occurs 
electronically.
    (C) The reporting counterparty must report all confirmation data 
for the swap. This report must be made promptly following confirmation 
of the swap, but in no event later than: 15 minutes after confirmation 
of the swap if confirmation occurs electronically, or 24 hours after 
confirmation of the swap if confirmation was done manually rather than 
electronically.
    (iii) Swaps Not Executed on a SEF or DCM but Cleared on a DCO. (A) 
The reporting counterparty, as determined pursuant to Sec.  45.5, must 
report all primary economic terms data for the swap asset class of the 
swap. This report must be made promptly following verification of the 
primary economic terms by the counterparties with each other at or 
immediately following execution of the swap, but in no event later 
than: 30 minutes after execution of the swap if verification of primary 
economic terms occurs electronically; or 24 hours after execution of a 
swap if verification of primary economic terms does not occur 
electronically.
    (B) The DCO on which the swap is cleared must report all 
confirmation data, as soon as technologically practicable following 
clearing of the swap.
    (iv) Swaps Not Executed on a SEF or DCM and Not Cleared on a DCO. 
The reporting counterparty, as determined pursuant to Sec.  45.5, must 
report all primary economic terms data for the swap, and must report 
electronically all confirmation data for the swap. The report of 
primary economic terms data must be made promptly following 
verification of the primary economic terms by the counterparties with 
each other at or immediately following execution of the swap, but in no 
event later than: 30 minutes after execution of the swap if 
verification of primary economic terms occurs electronically; or 24 
hours after execution of a swap if verification of primary economic 
terms does not occur electronically. The report of confirmation data 
must be made promptly following confirmation of the swap, but in no 
event later than: 15 minutes after confirmation of the swap if 
confirmation occurs electronically, or 24 hours after confirmation of 
the swap if confirmation was done manually rather than electronically.
    (2) Swaps for which the reporting counterparty is a non-SD/MSP 
counterparty. For all swaps in which the reporting counterparty is a 
non-SD/MSP counterparty, required swap creation data must be reported 
as set forth in this Section.
    (i) Swaps executed on a SEF or DCM and cleared on a DCO. (A) The 
SEF or DCM on which the swap is executed must report all primary 
economic terms data for the swap asset class of the swap that is in its 
possession, as soon as technologically practicable following execution 
of the swap.
    (B) The DCO on which the swap is cleared must report all 
confirmation data, as soon as technologically practicable following 
clearing of the swap.
    (C) The reporting counterparty, as determined pursuant to Sec.  
45.5, must report any primary economic terms data for the swap asset 
class of the swap that is not reported by the SEF or DCM. This report 
must be made promptly following verification of the primary economic 
terms by the counterparties with each other at the time of, or 
immediately following, execution of the swap, but in no event later 
than: 15 minutes after execution of the swap if both execution and 
verification of primary economic terms occur electronically; 30 minutes 
after execution of the swap if execution does not occur electronically 
but verification of primary economic terms occurs electronically; or 24 
hours after execution of the swap if neither execution nor verification 
of primary economic terms occurs electronically.
    (ii) Swaps Executed on a SEF but Not Cleared on a DCO. (A) The SEF 
on which the swap is executed must report all primary economic terms 
data for the swap asset class of the swap that is in

[[Page 76601]]

its possession, as soon as technologically practicable following 
execution of the swap.
    (B) The reporting counterparty, as determined pursuant to Sec.  
45.5, must report any primary economic terms data for the swap that is 
not reported by the SEF. This report must be made promptly following 
verification of the primary economic terms by the counterparties with 
each other at the time of, or immediately following, execution of the 
swap, but in no event later than: 15 minutes after execution of the 
swap if both execution and verification of primary economic terms occur 
electronically; 30 minutes after execution of the swap if execution 
does not occur electronically but verification of primary economic 
terms occurs electronically; or 24 hours after execution of the swap if 
neither execution nor verification of primary economic terms occurs 
electronically.
    (C) The reporting counterparty must report all confirmation data 
for the swap. This report must be made within a time to be determined 
by the Commission prior to its adoption of final swap data reporting 
regulations.
    (iii) Swaps Not Executed on a SEF or DCM but Cleared on a DCO. (A) 
The reporting counterparty, as determined pursuant to Sec.  45.5, must 
report all primary economic terms data for the swap. This report must 
be made promptly following verification of the primary economic terms 
by the counterparties with each other at the time of, or immediately 
following, execution of the swap, but in no event later than: 30 
minutes after execution of the swap if verification of primary economic 
terms occurs electronically; or 24 hours after execution of the swap if 
verification of primary economic terms does not occur electronically.
    (B) The DCO on which the swap is cleared must report all 
confirmation data, as soon as technologically practicable following 
clearing of the swap.
    (iv) Swaps Not Executed on a SEF or DCM and Not Cleared on a DCO. 
(A) The reporting counterparty, as determined pursuant to Sec.  45.5, 
must report all primary economic terms data for the swap asset class of 
the swap, and must report all confirmation data. The report of primary 
economic terms data must be made promptly following verification of the 
primary economic terms by the counterparties with each other at or 
immediately following execution of the swap, but in no event later 
than: 30 minutes after execution of the swap if verification of primary 
economic terms occurs electronically; or 24 hours after execution of a 
swap if verification of primary economic terms does not occur 
electronically.
    (B) The reporting counterparty must report all confirmation data 
for the swap. This report must be made within a time to be determined 
by the Commission prior to its adoption of final swap data reporting 
regulations.
    (b) Reporting of required swap continuation data. Registered 
entities and swap counterparties must report required swap continuation 
data to an SDR as set forth in this Section.
    (1) Credit swaps and equity swaps. For all credit swaps and equity 
swaps, registered entities and counterparties must report as set forth 
below.
    (i) Swaps for which the reporting counterparty is an SD or MSP. For 
all credit swaps and equity swaps in which the reporting counterparty 
is an SD or MSP, required swap continuation data must be reported as 
follows:
    (A) Swaps cleared on a DCO. (1) The DCO on which the swap is 
cleared must report all life cycle event data, on the same day in which 
any life cycle event occurs; and must report all valuation data in its 
possession, on a daily basis.
    (2) The reporting counterparty must report all valuation data in 
its possession, on a daily basis; and must report all contract-
intrinsic event data, on the same day in which any contract-intrinsic 
event occurs.
    (B) Swaps Not Cleared on a DCO. The reporting counterparty must 
report:
    (1) All life cycle event data, on the same day in which any life 
cycle event occurs;
    (2) All valuation data, on a daily basis; and
    (3) All contract-intrinsic event data, on the same day in which any 
contract-intrinsic event occurs.
    (ii) Swaps for which the reporting counterparty is a non-SD/MSP 
counterparty. For all credit swaps in which the reporting counterparty 
is neither an SD nor MSP, required swap continuation data must be 
reported as follows:
    (A) Swaps cleared on a DCO.
    (1) The DCO on which the swap is cleared must report all life cycle 
event data, on the same day in which any life cycle event occurs; and 
must report all valuation data in its possession, on a daily basis.
    (2) The reporting counterparty must report all valuation data in 
its possession, at times to be determined by the Commission prior to 
its adoption of final swap data reporting regulations; and must report 
all contract-intrinsic event data, on the same day in which any 
contract-intrinsic event occurs.
    (B) Swaps Not Cleared on a DCO. The reporting counterparty must 
report all life cycle event data, on the same day in which any life 
cycle event occurs; all valuation data, at intervals to be determined 
by the Commission prior to its adoption of final swap data reporting 
regulations; and all contract-intrinsic event data, on the same day in 
which any contract-intrinsic event occurs.
    (2) Interest rate swaps, commodity swaps, and currency swaps. For 
all interest rate swaps, commodity swaps, and currency swaps, 
registered entities and counterparties must report as follows:
    (i) Swaps for which the reporting counterparty is an SD or MSP. For 
all interest rate swaps, commodity swaps, and currency swaps in which 
the reporting counterparty is an SD or MSP, required swap continuation 
data must be reported as follows:
    (A) Swaps cleared on a DCO. (1) The reporting counterparty must 
report all required state data, on a daily basis.
    (2) The DCO must report all required valuation data in its 
possession, on a daily basis.
    (3) The reporting counterparty must report all required valuation 
data in its possession, on a daily basis.
    (B) Swaps Not Cleared on a DCO. The reporting counterparty must 
report:
    (1) All required state data, on a daily basis; and
    (2) All required valuation data, on a daily basis.
    (ii) Swaps for which the reporting counterparty is a non-SD/MSP 
counterparty. For all interest rate swaps, commodity swaps, or currency 
swaps in which the reporting counterparty is a non-SD/MSP counterparty, 
required swap continuation data must be reported as follows:
    (A) Swaps cleared on a DCO. (1) The reporting counterparty must 
report all state data, on a daily basis.
    (2) The DCO must report all valuation data in its possession, on a 
daily basis.
    (3) The reporting counterparty must report all valuation data in 
its possession, at intervals to be determined by the Commission prior 
to its adoption of final swap data reporting regulations.
    (B) Swaps Not Cleared on a DCO. The reporting counterparty must 
report:
    (1) All state data, on a daily basis; and
    (2) All valuation data, at intervals to be determined by the 
Commission prior to its adoption of final swap data reporting 
regulations.


Sec.  45.4  Unique identifiers.

    Each swap subject to the jurisdiction of the Commission shall be 
identified in all recordkeeping and all swap data reporting concerning 
that swap by the use of three unique identifiers: A Unique Swap 
Identifier (``USI''), a

[[Page 76602]]

Unique Counterparty Identifier (``UCI''), and a Unique Product 
Identifier (``UPI'').
    (a) Unique Swap Identifiers. (1) Creation and Transmission for 
Swaps Executed on a SEF or DCM. For each swap executed on a SEF or DCM, 
a Unique Swap Identifier shall be created and transmitted as follows.
    (i) Creation. The SEF or DCM shall generate and assign a Unique 
Swap Identifier at the time of execution of the swap, in the form 
specified by the Commission. The Unique Swap Identifier shall consist 
of a single data field that contains two components:
    (A) The unique, extensible, alphanumeric code assigned to the SEF 
or DCM by the Commission at the time of its registration, for the 
purpose of identifying the SEF or DCM; and
    (B) an extensible, 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.
    (ii) Transmission. The SEF or DCM creating the Unique Swap 
Identifier for the swap shall transmit the identifier electronically as 
follows:
    (A) To each counterparty to the swap, as soon as technologically 
practicable after execution of the swap;
    (B) to the DCO, if any, to which the swap is submitted for 
clearing, simultaneously with the transmission of required swap 
creation data to the DCO for clearing purposes; and
    (C) to the SDR to which the SEF or DCM reports required swap 
creation data for the swap, simultaneously with the transmission by the 
SEF or DCM to the SDR of required swap creation.
    (2) Creation and Transmission for Swaps Not Executed on a SEF or 
DCM. For each swap not executed on a SEF or DCM but rather bilaterally 
by the counterparties, a Unique Swap Identifier shall be created and 
transmitted as follows.
    (i) Creation Where the Reporting Counterparty Is an SD or MSP. If 
the reporting counterparty determined in accordance with Sec.  45.5 is 
an SD or MSP, that counterparty shall generate and assign a Unique Swap 
Identifier at the time of execution of the swap, in the form specified 
by the Commission. The Unique Swap Identifier shall consist of a single 
data field that contains two components:
    (A) The unique, extensible, alphanumeric code assigned to the SD or 
MSP by the Commission at the time of its registration as such, for the 
purpose of identifying the SD or MSP with respect to USI creation; and
    (B) an extensible, 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 
for USI purposes.
    (ii) Transmission Where the Reporting Counterparty Is an SD or MSP. 
The SD or MSP creating the Unique Swap Identifier for the swap shall 
transmit the identifier electronically as follows:
    (A) To the other counterparty to the swap, as soon as 
technologically practicable after execution of the swap;
    (B) to the DCO, if any, to which the swap is submitted for 
clearing, simultaneously with the transmission of required swap 
creation data to the DCO for clearing purposes; and
    (C) to the SDR to which the SD or MSP reports required swap 
creation data for the swap, as part of the report of that data.
    (iii) Creation Where the Reporting Counterparty Is a non-SD-MSP 
Counterparty. If the reporting counterparty determined in accordance 
with Sec.  45.5 is a non-SD/MSP counterparty, the SDR to which the 
reporting counterparty reports required swap creation data shall 
generate and assign a Unique Swap Identifier as soon as technologically 
practicable following receipt of the first report of required swap 
creation data concerning the swap, in the form specified by the 
Commission. The Unique Swap Identifier shall consist of a single data 
field that contains two components:
    (A) The unique, extensible, alphanumeric code assigned to the SDR 
by the Commission at the time of its registration as such, for the 
purpose of identifying the SDR with respect to USI creation; and
    (B) An extensible, 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 for USI 
purposes.
    (iv) Transmission Where the Reporting Counterparty Is a Non-SD/MSP 
counterparty. The SDR creating the Unique Swap Identifier for the swap 
shall transmit the identifier electronically as follows:
    (A) To the counterparties to the swap, as soon as technologically 
practicable following creation of the USI; and
    (B) To the DCO, if any, to which the swap is submitted for 
clearing, as soon as technologically practicable following creation of 
the USI.
    (3) Use. Each registered entity or swap counterparty subject to the 
rules 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 receives the identifier 
throughout the existence of the swap and for as long as any records are 
required by the rules of the Commission to be kept concerning the swap, 
regardless of any changes that may occur from time to time with respect 
to the state of the swap or 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 an SDR or to a regulator of such internally generated 
identifiers in addition to the reporting of the Unique Swap Identifier.
    (b) Unique Counterparty Identifiers. (1) Each counterparty to any 
swap subject to the jurisdiction of the Commission shall be identified 
in all recordkeeping with respect to swaps and in all swap data 
reporting by means of a single, unique counterparty identifier having 
the characteristics specified by the Commission.
    (2) Each counterparty to any swap subject to the jurisdiction of 
the Commission shall report all of its corporate affiliations into a 
confidential, non-public corporate affiliations reference database 
maintained and located as determined by the Commission. Data contained 
in the corporate affiliations reference database shall be available 
only to the Commission, and to other financial regulators via the same 
data access procedures applicable to data in SDRs as provided in part 
49, for regulatory purposes. For purposes of this rule, ``corporate 
affiliations'' means the identity of all legal entities that own the 
counterparty, that are under common ownership with the counterparty, or 
that are owned by the counterparty. This corporate affiliation 
information must be sufficient to disclose parent-subsidiary and 
affiliate relationships, such that each legal entity within or 
affiliated with the corporate hierarchy or ownership group to which the 
counterparty belongs is separately identified. Each counterparty shall 
also report to the corporate affiliations reference database all 
changes to the information previously reported concerning the 
counterparty's corporate affiliations, so as to ensure that the 
corporate affiliation information recorded in the corporate 
affiliations reference database is current and accurate at all times.
    (3) The identification system characteristics required for the 
Commission to approve an internationally-developed UCI as the

[[Page 76603]]

means by which registered entities and swap counterparties must fulfill 
their obligations under Sec.  45.4(b)(1) shall be as follows:
    (i) The identification system must result in a unique identifier 
format that is capable of becoming the single international standard 
for unique identification of legal entities in the financial sector on 
a global basis, if it is adopted world-wide.
    (ii) The identification system must be developed via an 
international ``voluntary consensus standards body'' as defined in 
Office of Management and Budget (``OMB'') Circular No. A-119 Revised, 
such as the International Organization for Standardization, and must be 
maintained by such a body and an associated Registration Authority. The 
standards body and Registration Authority must have a formally 
documented governance structure acceptable to the Commission, and must 
have proven expertise in designing and implementing standards for the 
financial sector. The standards body and Registration Authority must 
coordinate with the Commission, the Securities and Exchange Commission, 
the Office of Financial Research, and other financial regulators.
    (iii) As provided in OMB Circular No. A-119 Revised, the 
identification system must be available to all interested parties on a 
non-discriminatory, royalty-free or reasonable royalty basis.
    (A) Information concerning the issuance process for new identifiers 
must be available publicly and free of charge.
    (B) While reasonable initial registration fees and reasonable 
annual fees would be appropriate for issuance, maintenance, and initial 
and ongoing verification of a unique identifier, fees must not be 
charged for use of unique identifiers provided via the identification 
system, and the identification system must be operated on a non-profit 
basis.
    (C) A comprehensive and reasonably current directory of the Unique 
Counterparty Identifiers issued by the identification system (but not 
the entity relationship information reported by the counterparties to 
the Office of Financial Research or to an SDR as provided above) must 
be made available free of charge over the Internet or by similarly 
convenient means.
    (iv) The identification system must be supported by a trusted and 
auditable method of verifying the identity of each legal entity to whom 
a unique identifier is assigned, both initially and at appropriate 
intervals thereafter.
    (A) The Registration Authority must maintain reference data 
sufficient to verify that a user has been correctly identified as an 
entity. At a minimum, the reference data (though not the identifier 
itself) should include the entity's name and location.
    (B) Issuance of identifiers must be speedy and unbiased. It must 
not materially hinder the normal course of a firm's business. Any 
updates to the reference data must be done with a minimal lag.
    (v) The Registration Authority must establish quality assurance 
practices. The necessary quality assurance processes must ensure that 
duplicate identifiers are not erroneously assigned, and that reference 
data for legal entities is accurate. For this purpose, the Registration 
Authority should accept request for updates or amendments from any 
identification system participant or financial regulator.
    (vi) The Registration Authority must maintain system safeguards 
comparable to those required for SDRs pursuant to part 49 of this 
chapter.
    (vii) The identification system must be sufficiently extensible to 
cover all existing and potential future legal entities of all types 
that are or may become swap counterparties or that are or may become 
involved in any aspect of the financial issuance and transactions 
process, and to cover entities of all types with respect to which 
financial sector entities are required by any financial regulator 
world-wide to perform due diligence for reporting or risk management 
purposes.
    (viii) The identification system must assign only one unique 
identifier to any legal entity.
    (ix) The unique identifier format must consist of a single data 
field, and must contain either no embedded intelligence or as little 
embedded intelligence as practicable.
    (x) The unique identifier assigned must persist despite all 
corporate events. When a corporate event (e.g., a merger or spin-off) 
results in a new entity, the new entity must receive a new identifier, 
while the previous identifier continues to identify the predecessor 
entity.
    (xi) The identification system must use data standards and formats 
that will enable consistency of standards and formats across platforms, 
data repositories, and asset classes, in order to ensure data 
comparability and enable data aggregation and cross-sectional analysis.
    (4) The Commission shall determine, at least 100 days prior to the 
implementation date for its final data reporting regulations, whether 
an identification system that satisfies the requirements set forth in 
Sec.  45.4(b)(3) is available and can provide UCIs for all registered 
entities and swap counterparties required by Sec.  45.4 to use UCIs. If 
the Commission determines that such an identification system is 
available, then:
    (i) The Commission shall publish in the Federal Register and on the 
Web site of the Commission, no later than 90 days prior to the 
implementation date for the Commission's final swap data reporting, the 
name of the identification system approved by the Commission, the name 
and contact information of the Registration Authority through which 
registered entities and swap counterparties can obtain UCIs provided 
through the approved identification system, and information concerning 
the procedure and requirements for obtaining such a UCI; and
    (ii) All registered entities and swap counterparties subject to 
these regulations shall comply with Sec.  45.4(b)(1) by using a UCI 
provided by the identification system approved by the Commission for 
that purpose.
    (5) The Commission may, in its discretion, delegate to the Director 
of the Division of Market Oversight (``Director''), until the 
Commission orders otherwise, the authority to make the determination 
called for by Sec.  45.4(b)(4), to be exercised by the Director or by 
such other employee or employees of the Commission as may be designated 
from time to time by the Director. The Director 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.
    (6) If the Commission, or the Director as provided in Sec.  
45.4(b)(5), determines pursuant to Sec.  45.4(b)(4) that an 
identification system that satisfies the requirements set forth in 
Sec.  45.4(b)(3) is not then available, then until such time as the 
Commission determines that such an identification system has become 
available, registered entities and swap counterparties shall comply 
with Sec.  45.4(b)(1) by using a UCI created and assigned by an SDR as 
follows:
    (i) When a swap involving one or more counterparties for which no 
unique counterparty identifier has yet been created and assigned is 
reported to an SDR, the repository shall create and assign a unique 
counterparty identifier for each such counterparty, in a format 
determined by the Commission, as soon as technologically practicable 
after that swap is first reported to the repository.

[[Page 76604]]

    (ii) Each such repository-created unique identifier shall consist 
of a single data field that contains two components, including:
    (A) The unique, extensible, alphanumeric code assigned to the SDR 
by the Commission at the time of its registration, for the purpose of 
identifying the SDR; and
    (B) An extensible, alphanumeric code generated and assigned to that 
counterparty by the automated systems of the SDR, which shall be unique 
with respect to all such unique counterparty identifier codes generated 
and assigned by that SDR.
    (iii) The SDR shall transmit each unique counterparty identifier 
thus created to each counterparty to the swap, to each other registered 
entity associated with the swap, to each registered entity or swap 
counterparty who has made any report of any swap data to the SDR, and 
to each SDR registered with the Commission, as soon as technologically 
practicable after creation and assignment of the identifier.
    (iv) Once any SDR has created and assigned such a UCI to a swap 
counterparty and has transmitted it as required by Sec.  
45.4(b)(6)(iii), all registered entities and swap counterparties shall 
use that UCI to identify that counterparty in all swap data 
recordkeeping and reporting, until such time as the Commission 
determines that an identification system complying with Sec.  
45.4(b)(3) has become available, and by regulation requires the use of 
a different UCI provided by that identification system.
    (c) Unique Product ID. (1) Each swap subject to the jurisdiction of 
the Commission shall be identified in all recordkeeping with respect to 
swaps and in all swap data reporting by means of a unique product 
identifier, having the characteristics specified by the Commission.
    (2) The unique product identifier shall identify the swap asset 
class to which the swap belongs and the sub-type within that swap asset 
class to which the swap belongs, with sufficient distinctiveness and 
specificity to enable the Commission and other financial regulators to 
fulfill their regulatory responsibilities and to enable real time 
reporting of swaps as provided in the Act and the Commission's 
regulations. The level of distinctiveness and specificity which the 
unique product identifier will provide shall be determined separately 
for each swap asset class.
    (3) The system of swap product classification used by unique 
product identifiers shall be as determined by the Commission.


Sec.  45.5  Determination of which counterparty must report.

    (a) If only one counterparty is an SD, the SD shall fulfill all 
counterparty reporting obligations.
    (b) If neither party is an SD, and only one counterparty is an MSP, 
the MSP shall fulfill all counterparty reporting obligations.
    (c) If both counterparties are SDs, or both counterparties are 
MSPs, or both counterparties are non-SD/MSP counterparties, the 
counterparties shall agree as one term of their swap transaction which 
counterparty shall fulfill reporting obligations with respect to that 
swap; and the counterparty so selected shall fulfill all counterparty 
reporting obligations.
    (d) Notwithstanding the provisions of Sec.  45.5(a) through (c), if 
only one counterparty to a swap is a U.S. person, that counterparty 
shall be the reporting counterparty and shall fulfill all counterparty 
reporting obligations.
    (e) Notwithstanding the provisions of Sec.  45.5(a) through (c), if 
neither counterparty to a swap is a U.S. person, but the swap is 
executed on a SEF or DCM or otherwise executed in the United States, or 
is cleared by a DCO, then:
    (1) The counterparties to the swap shall select one counterparty to 
be the reporting counterparty, making such selection as one term of the 
swap; and
    (2) The counterparty so selected shall be the reporting 
counterparty and shall fulfill all counterparty reporting obligations.
    (f) If a reporting counterparty selected pursuant to Sec.  45.5(a) 
through (f) ceases to be a counterparty to a swap due to an assignment 
or novation, and the new counterparty is a U.S. person, the new 
counterparty shall be the reporting counterparty and fulfill all 
reporting counterparty obligations following such assignment or 
novation. If a new counterparty to a swap due to an assignment or 
novation is not a U.S. person, the counterparty that is a U.S. person 
shall be the reporting counterparty and fulfill all reporting 
counterparty obligations following such assignment or novation.


Sec.  45.6  Third-party facilitation of data reporting.

    Registered entities and counterparties required by this part 45 to 
report required swap creation data or required swap continuation data, 
while remaining fully responsible for reporting as required by this 
part 45, may contract with third-party service providers to facilitate 
reporting.


Sec.  45.7  Reporting to a single SDR.

    (a) A SEF, DCM, SD or MSP that creates the USI for a swap as 
provided in Sec.  45.5 shall report all primary economic terms data 
required to be reported for that swap to a single SDR. The choice of 
the SDR to receive this report shall be made in a manner to be 
determined by the Commission.
    (b) Where a non-SD/MSP counterparty is the reporting counterparty 
pursuant to Section 45.5, that reporting counterparty shall report all 
primary economic terms data required to be reported for that swap to a 
single SDR of its choosing, which SDR shall create the USI for that 
swap as provided in Sec.  45.5.
    (c) When the SDR chosen as provided in Sec.  45.8(a) and (b) 
receives the initial report of primary economic terms data for a swap, 
the SDR shall transmit its own identity, together with the USI for the 
swap, to each counterparty to the swap, to the SEF or DCM, if any, on 
which the swap was executed, and to the DCO, if any, to which the swap 
is submitted for clearing, as soon as technologically practicable 
following the SDR's receipt of the initial report of primary economic 
terms data for the swap.
    (d) Thereafter, all data reported for the swap, and all corrections 
of errors and omissions in previously reported data for the swap, 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 of this chapter).


Sec.  45.8  Data reporting for swaps in a swap asset class not accepted 
by any SDR.

    Should there be a swap asset class for which no SDR currently 
accepts swap data, each registered entity or counterparty required by 
Sec.  45.3 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 at a time and in a form and manner determined by 
the Commission.


Sec.  45.9  Required data standards.

    (a) Data Maintained and Furnished to the Commission by SDRs. An SDR 
shall maintain all swap data reported to it in a format acceptable to 
the Commission, and shall transmit all swap data requested by the 
Commission to the Commission in an electronic file in a format 
acceptable to the Commission.
    (b) Data Reported To SDRs. In reporting swap data to an SDR as 
required by this Part 45, each reporting entity or counterparty shall 
use the facilities, methods, or data standards provided or required by 
the SDR to

[[Page 76605]]

which the entity or counterparty reports the data. SDRs 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 Sec.  45.9(a) with respect 
to maintenance and transmission of swap data.
    (c) 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 (``Director''), until the Commission 
orders otherwise, the authority set forth in this Sec.  45.9(c), to be 
exercised by the Director or by such other employee or employees of the 
Commission as may be designated from time to time by the Director. The 
Director 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 
Director by this Sec.  45.9(c) 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 Sec.  45.9(a).
    (2) 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 other standard), in order to accommodate the needs of different 
communities of users, or to enable SDRs to comply with Sec.  45.9(a).
    (d) The Director shall publish from time to time in the Federal 
Register and on the Web site of the Commission the format, data schema, 
and electronic data transmission methods and procedures acceptable to 
the Commission.


Sec.  45.10  Reporting of errors and omissions in previously reported 
data.

    (a) Each registered entity and swap counterparty required by this 
Part 45 to report swap data to an SDR or to any other registered entity 
or swap counterparty shall report any errors and omissions in the data 
so reported. Corrections of errors or omissions shall be reported as 
soon as technologically practicable after discovery of any such error 
or omission.
    (b) For interest rate swaps, commodity swaps, and currency swaps, 
reporting counterparties fulfill the requirement to report errors or 
omissions in state data previously reported by making appropriate 
corrections in their next daily report of state data as required by 
Sec.  45.3(b)(2).
    (c) Each counterparty to a swap that is not the reporting 
counterparty as determined pursuant to Sec.  45.5, and that discovers 
any error or omission with respect to any swap data reported to an SDR 
for that swap, shall promptly notify the reporting counterparty of each 
such error or omission. Upon receiving such notice, the reporting 
counterparty shall report a correction of each such error or omission 
to the SDR, as provided in Sec.  45.10(a) and (b).
    (d) Unless otherwise approved by the Commission, or by the Director 
of Market Oversight pursuant to Sec.  45.9(c), each registered entity 
or swap counterparty reporting corrections to errors or omissions in 
data previously reported as required by this Section shall report such 
corrections in the same format as it reported the erroneous or omitted 
data. Unless otherwise approved by the Commission, or by the Director 
of Market Oversight pursuant to Sec.  45.9, an SDR shall transmit 
corrections to errors or omission in data previously transmitted to the 
Commission in the same format as it transmitted the erroneous or 
omitted data.

Appendix 1 to Part 45--Tables of Minimum Primary Economic Terms Data 
and Minimum Valuation Data

   Minimum Primary Economic Terms Data--Credit Swaps and Equity Swaps
------------------------------------------------------------------------
            Sample category                          Comment
------------------------------------------------------------------------
The Unique Swap Identifier for the swap  As defined in Sec.   45.4.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the reporting counterparty.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the non-reporting party.
The Unique Product Identifier assigned   As defined in Sec.   45.4.
 to the swap.
An indication of the counterparty        E.g. option buyer and option
 purchasing protection and of the         seller; buyer and seller.
 counterparty selling protection.
Information identifying the reference    The entity that is the subject
 entity.                                  of the protection being
                                          purchased and sold in the
                                          swap.
An indication of whether or not both     ...............................
 counterparties are SDs.
An indication of whether or not both     ...............................
 counterparties are MSPs.
An indication of whether or not either   ...............................
 counterparty is an SD or an MSP.
The date and time of trade, expressed    ...............................
 using Coordinated Universal time
 (``UTC'').
The venue where the swap was executed.   ...............................
The effective date.                      ...............................
The expiration data.                     ...............................
The price..............................  E.g. strike, initial price,
                                          spread, etc.
The notional amount, the currency in     ...............................
 which the notional amount is
 expressed, and the equivalent notional
 amount in U.S. dollars.
The amount and currency or currencies    ...............................
 of any up-front payment.
A description of the payment streams of  E.g. coupon.
 each counterparty.
The title of any master agreement        E.g. annex, credit agreement.
 incorporated by reference and the date
 of any such agreement.
If the transaction involved an existing  E.g. assignment.
 swap, an indication that the
 transaction did not involve an
 opportunity to negotiate a material
 term of the contract, other than the
 counterparty.
The data elements necessary for a        ...............................
 person to determine the market value
 of the transaction.
Whether or not the swap will be cleared  ...............................
 by a designated clearing organization.

[[Page 76606]]

 
The name of the designated clearing      ...............................
 organization that will clear the swap,
 if any.
If the swap is not cleared, whether the  ...............................
 ``End User exception'' was invoked.
If the swap is not cleared, all of the   ...............................
 settlement terms, including, without
 limitation, whether the swap is cash-
 settled or physically settled, and the
 method for determining the settlement
 value.
Any other primary economic term(s) of    ...............................
 the swap matched by the counterparties
 in verifying the swap.
------------------------------------------------------------------------


           Minimum Primary Economic Terms Data--Currency Swaps
------------------------------------------------------------------------
           Sample data fields                        Comments
------------------------------------------------------------------------
The Unique Swap Identifier for the swap  As defined in Sec.   45.4.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the reporting counterparty.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the non-reporting party.
The Unique Product Identifier assigned   As defined in Sec.   45.4.
 to the swap.
Contract type..........................  E.g. swap, swaption, forwards,
                                          options, basis swap, index
                                          swap, basket swap, other.
Execution timestamp....................  Time and date of execution.
Currency 1.............................  ISO Code.
Currency 2.............................  ISO Code.
Notional amount 1......................  For currency one.
Notional amount 2......................  For currency two.
Settlement agent of the reporting        ID of the settlement agent.
 counterparty.
Settlement agent of the non-reporting    ID of the settlement agent.
 counterparty.
Settlement currency....................  If applicable.
Exchange rate 1........................  At the moment of trade/
                                          agreement.
Exchange rate 2........................  At the moment of trade/
                                          agreement, if applicable.
Swap delivery type.....................  Cash or physical.
Expiration date........................  Expiration date of the
                                          contract.
Timestamp for submission to SDR........  Time and date of submission to
                                          the SDR.
Futures contract equivalent............  As defined in part 150.
Futures contract equivalent unit of      As defined in part 150.
 measure.
Any other primary economic term(s) of    ...............................
 the swap matched by the counterparties
 in verifying the swap.
------------------------------------------------------------------------


        Minimum Primary Economic Terms Data--Interest Rate Swaps
------------------------------------------------------------------------
           Sample data field                         Comment
------------------------------------------------------------------------
The Unique Swap Identifier for the swap  As defined in Sec.   45.4.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the reporting counterparty.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the non-reporting party.
The Unique Product Identifier assigned   As defined in Sec.   45.4.
 to the swap.
Contract type..........................  E.g. swap, swaption, option,
                                          basis swap, index swap, etc.
Trade timestamp........................  Time and date of execution.
Swap effective date....................  Effective date of the contract.
Swap end-date..........................  Expiration date of the
                                          contract.
Notional amount one....................  The current active notional in
                                          local currency.
Notional currency one..................  ISO code of the notional
                                          currency.
Notional amount two....................  The second notional amount
                                          (e.g. receiver leg).
Notional currency two..................  ISO code of the notional
                                          currency.
Timestamp for submission to SDR........  Time and date of submission to
                                          the SDR.
Payer (fixed rate).....................  Is the reporting party a fixed
                                          rate payer?
                                         Yes/No/Not applicable.
Fixed leg payment frequency............  How often will the payments on
                                          fixed leg be made.
Direction..............................  For swaps--if the principal is
                                          paying or receiving the fixed
                                          rate. For float-to-float and
                                          fixed-to-fixed swaps, it is
                                          unspecified. For non-swap
                                          instruments and swaptions, the
                                          instrument that was bought or
                                          sold.
Option type............................  E.g. put, call, straddle.
Fixed rate.                              ...............................
Fixed rate day count fraction.           ...............................
Floating rate payment frequency.         ...............................
Floating rate reset frequency.           ...............................
Floating rate index name/rate period.    ...............................

[[Page 76607]]

 
Leg 1..................................  If two floating legs, report
                                          what is paid.
Leg 2..................................  If two floating legs, repot
                                          what is received.
Futures contract equivalent............  As defined in part 150.
Futures contract equivalent unit of      As defined in part 150.
 measure.
Any other primary economic term(s) of    ...............................
 the swap matched by the counterparties
 in verifying the swap.
------------------------------------------------------------------------


       Minimum Primary Economic Terms Data--Other Commodity Swaps
------------------------------------------------------------------------
           Sample data field                         Comment
------------------------------------------------------------------------
The Unique Swap Identifier for the swap  As defined in Sec.   45.4.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the reporting counterparty.
The Unique Counterparty Identifier of    As defined in Sec.   45.4.
 the non-reporting party.
The Unique Product Identifier assigned   As defined in Sec.   45.4.
 to the swap.
Contract type..........................  E.g. swap, swaption, option,
                                          etc.
Execution timestamp....................  Time and date of execution.
Quantity...............................  The Unit of measure applicable
                                          for the quantity on the swap.
Total quantity.........................  The amount of the commodity for
                                          the entire term of the swap.
Settlement method......................  Cash or physical.
Delivery type..........................  For physical delivery.
Start date.............................  Predetermined start date from
                                          which payments will be
                                          exchanged.
End-date...............................  Predetermined end date from
                                          which payments will be
                                          exchanged.
Submission to SDR timestamp............  Time and date of submission to
                                          the SDR.
Averaging method.......................  The type of calendar days used
                                          to calculate price on a
                                          transaction.
Payment calendar.
Buyer pay index........................  The published price as paid by
                                          the buyer.
Seller pay index.......................  The published price as paid by
                                          the seller.
Buyer..................................  Party purchasing product, e.g.
                                          payer of the fixed price (for
                                          swaps), or payer of the
                                          floating price (for put
                                          swaption), or payer of the
                                          fixed price (for call
                                          swaption).
Seller.................................  Party offering product, e.g.
                                          payer of the floating price
                                          (for swaps), payer of the
                                          fixed price (for put
                                          swaption), or payer of the
                                          floating price (for call
                                          swaption).
Price..................................  E.g. fixed price, the heat rate
                                          value, etc.
Price unit.............................  The unit of measure applicable
                                          for the price on the
                                          transaction.
Price currency.........................  E.g. ISO code.
Grade..................................  E.g. the grade of oil or
                                          refined product being
                                          delivered.
Futures contract equivalent............  As defined in part 150.
Futures contract equivalent unit of      As defined in part 150.
 measure.
Any other primary economic term(s) of
 the swap matched by the counterparties
 in verifying the swap.
------------------------------------------------------------------------


                         Minimum Valuation Data
------------------------------------------------------------------------
                           Sample data fields
-------------------------------------------------------------------------
Independent amount.
Independent amount currency.
Independent amount payer.
Independent amount receiver.
Initial margin.
Variation margin.
Mark-to-market.
Non-cash collateral.
Non-cash collateral valuation.
------------------------------------------------------------------------

Appendix 2 to Part 45--Master Reference Generic Data Fields List

    This table includes Master Reference Generic Data Fields that 
the Commission believes could be relevant for standardized swaps in 
some or all swap asset classes. The Commission requests comment on 
whether any of the data fields in this Master Reference Generic Data 
Fields List should be included in one or more of the Tables of 
Required Minimum Primary Economic Terms Data for specific swap asset 
classes, or in the Minimum Valuation Data table, that are included 
in Appendix 1 to Part 45.

------------------------------------------------------------------------
              Data fields                          Description
------------------------------------------------------------------------
                         Potential Initial Data
------------------------------------------------------------------------
Client Name............................  Name of the customer (client).
Counterparty Origin....................  Indicator of whether a swap was
                                          done on behalf of a customer
                                          or house account.
Delivery Type..........................  Deliverable or Non-deliverable.
Effective Date or Start Date...........  The date a swap becomes
                                          effective or starts.
Entity Reporting to SDR................  The entity making a data
                                          report.
Execution Timestamp....................  The time and date a swap was
                                          executed on a platform.

[[Page 76608]]

 
Industrial Sector......................  Industrial sector.
Intermediary...........................  The entity that brings two
                                          parties together for the swap
                                          transaction.
Master Agreement Type..................  The type of master agreement
                                          that was executed.
Maturity, Termination, or End Date.....  The day a swap expires.
Non-Financial Entity...................  Y/N. Are one or more
                                          counterparties to the swap
                                          transaction not a financial
                                          entity?
Order Entry Timestamp..................  The time and date when the
                                          order was entered.
Parent Counterparty....................  The parent company of the
                                          counterparty.
Parent Originator......................  The parent company of the
                                          originator.
Platform/Deal Source...................  Name of the platform or system
                                          on which the swap was
                                          executed.
Registration with the SEC..............  Y/N. This field indicates
                                          whether the exempted
                                          counterparties are registered
                                          with the SEC.
SDR submission date....................  The time and date the swap
                                          transaction was submitted to
                                          the SDR.
Settlement Method......................  The agreed upon way the swap
                                          will settle.
Submission of order entry timestamp....  The time and date when the
                                          order was sent to the platform
                                          to be executed.
------------------------------------------------------------------------
                  Potential Confirmation/Clearance Data
------------------------------------------------------------------------
Board of Directors approval............  Y/N. If the exempted
                                          counterparties are registered
                                          with the SEC did their Board
                                          of Directors (or alternative
                                          governance body for non-
                                          corporate end users) approve
                                          the exemption from clearing?
Call, put or cancellation date.........  Information needed to determine
                                          when a call, put, or
                                          cancellation may occur with
                                          respect to a transaction.
Cleared................................  An indicator of whether a swap
                                          has been cleared.
Clearing Entity........................  Name of the Clearing
                                          Organization where a swap was
                                          cleared.
Clearing Exemption.....................  Y/N. Are one or more
                                          counterparties to the swap
                                          transaction exempted from
                                          clearing?
Clearing Timestamp.....................  The time and date a swap was
                                          cleared.
Confirmed..............................  An indicator of whether a swap
                                          has been confirmed by both
                                          parties.
Master Agreement Date..................  Date of the Master Agreement.
Submission Timestamp for clearing......  The time and date when a swap
                                          was submitted to a clearing
                                          organization.
------------------------------------------------------------------------
                         Potential Position Data
------------------------------------------------------------------------
Exchange Rate/Price Unit...............  Spot rate or price unit used.
Futures Contract Equivalent............  Swap amount divided by the
                                          commodity quantity per futures
                                          contract to give you the total
                                          number of futures contracts.
Futures Contract Equivalent unit of      The unit of measure that was
 measure.                                 used in the future contract
                                          equivalent computation.
Notional (U.S.$ Equiv.)................  U.S.$ equivalent of the
                                          ``Notional Amount or Total
                                          Quantity.''
Notional Amount/Total Notional Quantity  Total currency amount or total
                                          quantity in the unit of
                                          measure of an underlying
                                          commodity.
Notional Currency/Price Currency.......  Notional Currency.
------------------------------------------------------------------------
               Potential Option Instrument Applicable Data
------------------------------------------------------------------------
Lockout Period.........................  Date of first allowable
                                          exercise.
Option Expiration Date.................  Expiration date of the option.
Option Premium.........................  Fixed premium paid by the buyer
                                          to the seller.
Option Premium currency................  The currency used to compute
                                          the premium.
Option Style...........................  American, European, Bermudan,
                                          Asian.
Option Type............................  Call, Put, Straddle, Strangle,
                                          Collar, Butterfly, etc.
Strike Price (Cap/Floor rate)..........  The strike price of the option.
Value for Options......................  This value of the option at the
                                          end of every business day.
------------------------------------------------------------------------
                    Potential Margin/Collateral Data
------------------------------------------------------------------------
Collateral on Deposit..................  The amount of collateral that
                                          has been agreed upon by the
                                          parties to the swap.
Collateral Type........................  The type of collateral that has
                                          been agreed upon.
Credit Support Indicator...............  Y/N. Have the exempt
                                          counterparties given notice to
                                          the CFTC regarding the
                                          exemption and executed a CSA
                                          or other form of credit
                                          support?
Independent Amount.....................  Independent amount.
Independent Amount Currency............  Currency of the independent
                                          amount.
Independent Amount Payer...............  The counterparty that will pay
                                          the independent amount.
Independent Amount Receiver............  The counterparty that will
                                          receive the independent
                                          amount.
Initial Margin Requirement.............  The initial margin requirement
                                          that has been required by the
                                          parties to the swap.
Linked Independent Amount..............  Linked independent amount.
Linked Independent Amount Currency.....  Currency of the linked
                                          independent amount.
Long Option Value......................  The long option value contained
                                          in the maintenance margin
                                          requirement.

[[Page 76609]]

 
Maintenance Margin Requirement.........  The maintenance margin
                                          requirement that has been
                                          required by the parties to the
                                          swap.
Non-Cash Collateral....................  Non-Cash collateral that is
                                          allowed for certain end users.
Short Option Value.....................  The short option value
                                          contained in the maintenance
                                          margin requirement.
Types of Collateral on Deposit.........  List of collateral by asset
                                          type for the collateral on
                                          deposit amount.
Variation Margin.......................  U.S. $ amount that is paid
                                          daily in order to mark to
                                          market the swap transaction.
------------------------------------------------------------------------


    Issued in Washington, DC, on November 19, 2010, by the 
Commission.
David A. Stawick,
Secretary of the Commission.

Statement of Chairman Gary Gensler

Swap Data Recordkeeping and Reporting Requirements

    I support the proposed rulemaking to establish swap data 
recordkeeping and reporting requirements for registered entities and 
counterparties involved in swaps. The proposed rule is intended to 
ensure that complete, timely and accurate data concerning all swaps 
is available to the Commission and other regulators. The proposed 
rule requires that data be consistently maintained and reported to 
swap data repositories by swap dealers, major swap participants, 
designated contract markets, swap execution facilities, derivatives 
clearing organizations and futures commission merchants. As swaps 
exist over a period of days to sometimes years, the proposal 
includes requirement for the reporting of data upon the transaction 
and to continue over the lifecycle of the swap. Another important 
component of the proposed rulemaking is that there will be required 
unique identifiers for swaps, counterparties and products. This will 
enhance operational efficiency for market participants and improve 
market surveillance for regulators.

[FR Doc. 2010-30476 Filed 12-7-10; 8:45 am]
BILLING CODE 6351-01-P