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SECURITIES AND EXCHANGE COMMISSION

17 CFR Part 240

[Release No. 34-76624; File No. S7-26-15]

RIN 3235-AL72

Establishing the Form and Manner with which Security-Based Swap Data Repositories

Must Make Security-Based Swap Data Available to the Commission

AGENCY: Securities and Exchange Commission.

ACTION: Proposed rule.

SUMMARY: The Securities and Exchange Commission (“SEC” or “Commission”) is

publishing for comment a proposed amendment to specify the form and manner with which

security-based swap data repositories (“SDRs”) will be required to make security-based swap

(“SBS”) data available to the Commission under Exchange Act Rule 13n-4(b)(5). The

Commission is proposing to require SDRs to make these data available according to schemas

that will be published on the Commission’s website and that will reference the international

industry standards Financial products Markup Language (“FpML”) and Financial Information

eXchange Markup Language (“FIXML”).

DATES: Comments should be received on or before February 22, 2016.

ADDRESSES: Comments may be submitted by any of the following methods:

Electronic comments:

•

Use the Commission’s Internet comment form

(http://www.sec.gov/rules/proposed.shtml); or

•

Send an e-mail to rule-comments@sec.gov. Please include File Number S7-26-25 on the

subject line; or

•

Use the Federal eRulemaking Portal (http://www.regulations.gov). Follow the

instructions for submitting comments.

Paper Comments:

•

Send paper comments to Secretary, Securities and Exchange Commission, 100 F Street,

NE, Washington, DC 20549-1090.

All submissions should refer to File Number S7-26-15. This file number should be included on

the subject line if e-mail is used. To help us process and review your comments more efficiently,

please use only one method. The Commission will post all comments on the Commission’s

Internet website (http://www.sec.gov/rules/proposed.shtml). Comments are also available for

website viewing and printing in the Commission’s Public Reference Room, 100 F Street, NE,

Washington, DC 20549 on official business days between the hours of 10:00 a.m. and 3:00 p.m.

All comments received will be posted without change; the Commission does not edit personal

identifying information from submissions. You should submit only information that you wish to

make available publicly.

Studies, memoranda, or other substantive items may be added by the Commission or staff

to the comment file during this rulemaking. A notification of the inclusion in the comment file

of any such materials will be made available on the SEC’s website. To ensure direct electronic

receipt of such notifications, sign up through the “Stay Connected” option at www.sec.gov to

receive notifications by e-mail.

FOR FURTHER INFORMATION CONTACT: Narahari Phatak, Branch Chief, at (202)551-6693; Walter Hamscher, IT Project Manager, at (202)-551-5397; Yee Cheng Loon,

Financial Economist, at (202)-551-3077; Hermine Wong, Attorney-Adviser, at (202)-551-4038;

Christian Sabella, Associate Director, at (202)-551-5997; Michael Gaw, Assistant Director, at

(202)-551-5602.

SUPPLEMENTARY INFORMATION: The Commission is proposing to amend Rule 13n4(a)(5) under the Exchange Act (defining “Direct electronic access” to data stored by an SDR).

Introduction

On February 11, 2015, the Commission adopted Rules 13n-1 to 13n-11 under the

Exchange Act (collectively, the “SDR Rules”), 1 which govern SDR registration, duties, and core

principles. 2 On the same day, the Commission adopted Rules 900 to 909 under the Exchange

Act (collectively, “Regulation SBSR”), 3 which govern the reporting to registered SDRs of SBS

data and public dissemination by registered SDRs of a subset of that data. 4 In combination, these

rules represent a significant step forward in providing a regulatory framework to promote

transparency and efficiency in the OTC derivatives markets and assist relevant authorities in

performing their market oversight functions.

Today, the Commission is proposing to amend the SDR Rules to specify the form and

manner with which SDRs would be required to make SBS data available to the Commission.

This rulemaking constitutes an important next step in the development of the SBS transaction

17 CFR 240.13n-1 to 240.13n-11.

See Securities Exchange Act Release No. 74246 (February 11, 2015), 80 FR 14437

(March 19, 2015) (“SDR Adopting Release”).

17 CFR 242.900 to 242.909.

See Securities Exchange Act Release No. 74244 (February 11, 2015), 80 FR 14563

(March 19, 2015) (“Regulation SBSR Adopting Release”).

reporting regime mandated by the Dodd-Frank Act. 5 The proposed rule would require that SBS

data made available by SDRs be formatted and structured consistently to allow the Commission

to accurately analyze the data made available by a single SDR, and to aggregate and analyze data

made available by multiple SDRs.

Background

Rule 13n-4(b)(5) under the Exchange Act 6 requires an SDR to provide direct electronic

access to the Commission (or any designee of the Commission, including another registered

entity). Under Rule 13n-4(a)(5), 7 “direct electronic access” means “access, which shall be in a

form and manner acceptable to the Commission, to data stored by a security-based swap data

repository in an electronic format and updated at the same time as the security-based swap data

repository’s data is updated so as to provide the Commission or any of its designees with the

ability to query or analyze the data in the same manner that the security-based swap data

repository can query or analyze the data” (emphasis added). As discussed in detail below, the

Pub. L. No. 111-203, 124 Stat. 1376 (2010). The Dodd-Frank Act was enacted, among

other reasons, to promote the financial stability of the United States by improving

accountability and transparency in the financial system. See Pub. L. No. 111-203,

Preamble. The 2008 financial crisis highlighted significant issues in the over-the-counter

(“OTC”) derivatives markets, which experienced dramatic growth in the years leading up

to the financial crisis and are capable of affecting significant sectors of the U.S.

economy. Title VII of the Dodd-Frank Act provides for a comprehensive new regulatory

framework for swaps and security-based swaps, by, among other things: (1) providing

for the registration and comprehensive regulation of swap dealers, security-based swap

dealers, major swap participants, and major security-based swap participants; (2)

imposing clearing and trade execution requirements on swaps and security-based swaps,

subject to certain exceptions; (3) creating recordkeeping, regulatory reporting, and public

dissemination requirements for swaps and security-based swaps; and (4) enhancing the

rulemaking and enforcement authorities of the Commission and the Commodity Futures

Trading Commission (“CFTC”).

17 CFR 240.13n-4(b)(5).

17 CFR 240.13n-4(a)(5).

Commission is proposing to set out the form and manner for direct electronic access to SDRs

that is acceptable to the Commission.

As the Commission noted in the SDR Adopting Release, a significant portion of the

benefits of an SDR will not be realized if the Commission obtains direct electronic access to the

data stored at an SDR in a form or manner that cannot be easily utilized by the Commission. 8

Furthermore, the form and manner with which an SDR provides the data to the Commission

should not only permit the Commission to accurately analyze the data maintained by a single

SDR, but also allow the Commission to aggregate and analyze data received from multiple

SDRs. 9 The form and manner that will be acceptable to the Commission for an SDR to provide

direct electronic access may vary on a case-by-case basis and may change over time, depending

on a number of factors. 10 These factors could include the development of new types of securitybased swaps or variations of existing security-based swaps that require additional data to

accurately describe them. 11 Additionally, the extent to which the Commission encounters

difficulty in standardizing and aggregating SBS data across multiple SDRs would be a factor in

considering the nature of the direct access provided by an SDR to the Commission. 12

In the SDR Adopting Release, the Commission also stated that, until such time as the

Commission adopts specific formats and taxonomies, SDRs “may provide direct electronic

access to the Commission to data in the form in which the SDRs maintain such data.” 13 Under

See 80 FR at 14474.

See id.

See id. at 14475.

this guidance, an SDR could provide direct electronic access to data in a form and manner that is

not conducive to the Commission’s ability to analyze the data or surveil the SBS market. For

example, a particular SDR might provide direct electronic access to data in the same format in

which the data were received from its participants. If participants report data to the SDR using

different conventions, inconsistencies in data formats within the SDR might limit or impair the

Commission’s ability to accurately aggregate positions within the SDR or to compare the

features of one market participant’s transactions or positions to those of another market

participant.

Overview of Proposed Amendment

The Commission proposes to amend Rule 13n-4(a) to specify the form and manner with

which SDRs must provide direct electronic access to the Commission by requiring SDRs to

comply with an appropriate schema as will be published on the Commission’s website.

In the SDR Adopting Release, the Commission stated that it believed it was in the best

position to aggregate data across multiple SDRs. 14 The Commission also stated that if it were to

propose a particular format for the direct electronic access, it would propose detailed

specifications of acceptable formats and taxonomies that would facilitate an accurate

interpretation, aggregation, and analysis of SBS data by the Commission. 15 Any proposed

format also would maximize the use of any applicable current industry standards for the

description of SBS data. 16

Id.

Id. at 14474-75.

Id. at 14475.

The Commission is currently aware of only two industry standards for representing SBS

data: FpML 17 and FIXML. 18 The Commission is proposing to accommodate both industry

standards by specifying that either of two distinct schemas 19 would satisfy the requirements of

Rule 13n-4. One schema would rely on the FpML standard and the other schema would rely on

the FIXML standard. Both schemas would articulate the same common data model, which is the

logical representation of the data elements required to be reported under Regulation SBSR. The

Commission preliminary believes that each schema would facilitate the consistent reporting of

SBS transaction characteristics, such as the counterparties, associated other parties (e.g.,

brokers), and corresponding terms of payments. In addition, validations associated with the

schemas would help SDRs ensure that the data they make available to the Commission adhere to

the common data model.

As discussed below in more detail, the Commission preliminarily believes that both

industry standards already cover many of the data elements that must be reported to registered

SDRs under Regulation SBSR. In the appendix, the Commission has highlighted clear cases

where the schemas require additional elements that do not yet exist in FpML or FIXML to

represent all data elements that must be reported under Regulation SBSR and that registered

SDRs must accept and store.

This release solicits comment on the Commission’s proposal concerning the form and

manner with which SDRs provide the Commission with direct electronic access, including

whether the Commission should accept both the FpML and FIXML standards, whether the

FpML is a registered trademark of the International Swaps and Derivatives Association,

Inc.

FIXML is a registered trademark of Fix Protocol Limited.

The term “schema” is generally applied to formal representations of data models.

Commission should accept only one or the other, whether the Commission should accept other

protocols or standards, and whether the Commission’s incorporation of validations into the

schemas supports completeness of the SBS data.

II.

Discussion of the Proposed Amendment

Discussion of Existing Industry Standards

Industry standards have evolved to enable participants in the SBS market to capture and

communicate certain trade information. As discussed in more detail below, these standards have

evolved for use in different contexts but inherently share features that are relevant for SBS data

standardization and aggregation.

Background of Existing Industry Standards

The Commission is aware of two existing industry standards which are used by market

participants to capture trade-related information: FpML and FIXML . FpML and FIXML are

both international open industry standards, meaning that they are technological standards that are

widely available to the public, royalty-free, and at no cost. In addition, they are both

independent of the software and hardware used by participants, thus facilitating interoperability.

Both FpML and FIXML have evolved for use in different contexts and they share features that

are relevant for rendering SBS data compatible for the purposes of normalization, aggregation,

and comparison.

FpML was developed under the auspices of the International Swaps and Derivatives

Association (ISDA), 20 using the ISDA derivatives documentation as its basis. FpML

maintenance and continued development is undertaken by the FpML Standards Committee,

ISDA is a global organization of derivatives market participants. ISDA has developed

standardized Master Agreements underlying derivatives transactions and manages the

development of FpML. See http://www2.isda.org/ (last visited Dec. 8, 2015).

which operates under the auspices of ISDA and is made up of representatives from a range of

financial market participants, including banks, brokers, central counterparties (CCPs), and other

financial infrastructure providers. FpML was designed for the OTC derivatives industry to

capture data elements that provide a complete and accurate representation of the contractual

provisions of a trade in derivatives or structured products. FpML is used by market participants

to communicate OTC transaction details to counterparties and post-trade processors, and is

designed to facilitate validation of message contents. FpML is also designed to be useful within

firms for the purposes of sharing OTC transaction information across systems. 21 The FpML

Standards committee maintains FpML and updates it from time to time. 22

In contrast to FpML’s focus on post-trade communication of standardized derivatives

contracts, Financial Information eXchange (FIX) is a messaging protocol developed for pre-trade

communication and trade execution of standardized and bespoke contracts for multiple asset

classes and markets. The FIX protocol enables electronic communication between brokerdealers and their institutional clients to deliver quotes, submit orders, and execute trades. Since

its inception in 1992 as a standard used to trade equities, the use of FIX was further developed to

include fixed income, derivatives, and foreign exchange, and the scope of FIX has been extended

to include pre-trade, trade, and post-trade business processes 23 using FIXML, an eXtensible

Markup Language (XML) based implementation of the FIX messaging standard. FIXML

See FpML® Information, https://dedicated.fpml.org/about/factsheet.html (last visited

Dec. 8, 2015).

See infra note 82.

Oxera Consulting Ltd., What are the benefits of the FIX Protocol? Standardising

messaging protocols in the capital markets, at 5 (2009), available at

http://www.oxera.com/Oxera/media/Oxera/Benefits-of-the-FIX-Protocol.pdf?ext=.pdf.

embeds FIX messages in an XML document that includes structures that are specific to the FIX

protocol. The FIX messaging standard is owned, maintained, and developed through the

collaborative efforts of the FIX Trading Community. 24

Both FpML and FIXML were derived from the XML standard. Each standard uses an

XML-based schema to impose structure on the order and content of, and relationships among,

data elements, including the particular data types that correspond to each data element. FpML

and FIXML mark up or “structure” data using standard but distinct definitions. These data

element definitions establish a consistent structure of identity and context so that the reported

data can be recognized and processed by standard computer code or software (i.e., made machine

readable). For example, under Regulation SBSR, the title and date of agreements incorporated

by reference in a SBS contract must be reported to a registered SDR for certain transactions. 25

To convey this information electronically, the data must be structured with the role of the

agreement (such as master, collateral, or margin), the title of the agreement, and the date of the

agreement.

The Commission notes that the bodies responsible for the maintenance of both FpML and

FIXML have experience engaging with the regulatory community and have made enhancements

specifically to support regulatory requirements. FpML currently supports several regulatory

reporting requirements other than those imposed by the Commission as part of Regulation

FIX Trading Community is a non-profit, industry-driven standards body comprised of

over 270 member firms from the global financial services industry. See Letter from FIX

Trading Community to Commodity Futures Trading Commission (May 27, 2014),

available at

http://comments.cftc.gov/PublicComments/ViewComment.aspx?id=59866&SearchText=

17 CFR 242.901(d)(4).

SBSR, 26 and has a working group currently considering SBS data reporting requirements. 27 The

FIX Trading Community has enhanced FIXML to support the trade capture requirements of the

CFTC. 28 FIXML is used for asset- and mortgage-backed securities trade reporting to FINRA. 29

The Australian Securities and Investments Commission published FIXML requirements for the

disclosure and reporting of short sales. 30 The Investment Industry Regulatory Organization of

Canada adopted FIXML for market surveillance and transactional reporting. 31

The Commission preliminarily believes that both standards have been implemented by

market participants and are widespread in use, and that the taxonomies for both standards for

SBS reporting have developed sufficient coverage such that the Commission does not need to

develop its own standard for the required data elements. 32 If the Commission were to adopt a

rule that required SDRs to make SBS data available to the Commission using the FpML or

FIXML standards, the Commission anticipates that its staff would keep apprised of relevant

advances and developments with those standards and engage with each standard’s working group

regarding such developments, as appropriate.

See FpML Global Regulatory Reporting Mapping 2014 v9 (Feb 27) (Working Draft),

available at http://www.fpml.org/asset/40388bcb/6a20cde6.xlsx.

See Reporting/Regulatory Reporting Working Group Charter,

http://www.fpml.org/wgroup/rptwg/rptwgcharter.doc.

See Letter from FIX Protocol Limited to SEC (August 5, 2010), available at

http://www.sec.gov/comments/s7-11-10/s71110-32.pdf.

Id.

See Appendix.

Interoperability and Acceptance of Existing Standards

Interoperability is the ability of two or more systems to exchange data and for the data to

be automatically interpreted. While FpML and FIXML both rely on XML to exchange data,

they are not interoperable unless a common data model is built that allows a translation between

the two standards. As a result, the Commission has developed a common data model that uses as

a basis the existing overlap of the standards’ current coverages of SBS data. The Commission’s

common data model is a representation of the SBS data elements required to be made available

to the Commission. The Commission preliminarily believes that requiring SDRs to use either

the FpML or FIXML schema will help achieve one of the key objectives of Regulation SBSR,

which is to have a complete and intelligible record of all SBS transactions for oversight

purposes. The common data model is represented by two separate schemas, one each for the

FIXML and FPML standards. Accordingly, under the proposed amendment, SDRs can make

SBS data available to the Commission using either the FIXML or FpML schema. The

Commission describes both the common data model and the two schemas in greater detail below.

The Commission notes that ISDA and the FIX Community formed the FpML

Collaboration Working Group in 2004 to support certain aspects of interoperability between

FpML and FIXML. 33 For example, the group addressed the question of how swap execution

facilities would handle the transformation of a FIX message into an FpML message for use in

post-trade confirmation, clearing, and trade reporting with a solution that supports detailed

FpML messages contained within a compact FIX message. The group also facilitated a common

approach to data items for capture of interest rate and credit default swaps during the pre-trade

See 2012 FIX-FpML Collaboration WG Charter,

http://www.fixtradingcommunity.org/mod/file/download.php?file_guid=46484.

and trade lifecycles. To date, the Commission’s understanding is that this group has not

generated a common data model as proposed in this release.

Proposed Amendment to Rule 13n–4(a)(5) to Specify the Format for Direct

Electronic Access

The Commission is proposing to amend Rule 13n–4(a)(5) to specify the form and manner

with which SDRs must provide direct electronic access to the Commission. In particular, under

the proposal, SDRs must provide direct electronic access using either the FpML schema or the

FIXML schema as published on the Commission’s website. The Commission is also proposing

to require that the SDRs use the most recent schema as published on the website as the

Commission anticipates that the schemas will be updated periodically to reflect changes in the

FpML and FIXML standards, or to reflect changes in industry practice or financial products

covered by Regulation SBSR. As with the Commission’s updates to other taxonomies and

schemas, 34 Commission staff will post draft schemas on the Commission’s website for the public

to review and provide comment before posting any final schemas.

Commission Schemas

As mentioned above, the Commission has developed a common data model, which is the

logical arrangement of the data elements that comprise a transaction report as described under

Regulation SBSR and how those data elements relate to each other. The purpose of the common

data model is to improve the consistency and reliability of the data made available to the

Commission for analysis and aggregation along various dimensions, such as across SDRs, within

an SDR, by counterparty, or by product. The Commission’s common data model reflects the

See, e.g., Rating History Files Publication Guide, http://xbrl.sec.gov/doc/rocrpublication-guide-draft-2014-12-15.pdf, and Release Notes for SEC Taxonomies 2015Draft, http://xbrl.sec.gov/doc/releasenotes-2015-draft.pdf.

reporting requirements under Regulation SBSR. The Commission’s schemas for SBS data are

formal representations of the Commission’s common data model.

For example, a schema representing the common data model would require that a

transaction record made available to the Commission include the terms of any standardized fixed

or floating rate payments that correspond exactly to Rule 901(c)(1)(iv). However, consistent

with Regulation SBSR, such a schema would allow flexibility in how information may be

reported to a registered SDR. For example, consistent with Rule 901(c)(1), a schema that

represents the common data model would not require data elements to satisfy Rules 901(c)(1)(iv)

if a product ID reported under Rule 901(c)(1) already includes the information that would be

captured by data elements associated with Rules 901(c)(1)(iv) data elements.

To implement the common data model into an electronic format according to which

SDRs could provide direct electronic access to the Commission, the Commission has developed

two distinct schemas (computer code representations of the common data model), one based on

the FpML standard, and the other based on the FIXML standard. Under the proposed

amendment, an SDR could provide the Commission with direct electronic access by using either

schema or both schemas. SBS transaction records structured according to one of the schemas

could be immediately aggregated, compared, and analyzed by the Commission.

At this time, the Commission is aware of only the FpML and FIXML standards for

representing SBS data. In its evaluation of the potential applicability of these two standards for

the purpose of regulatory reporting of SBS transactions, Commission staff undertook a mapping

exercise, the results of which are reported in the appendix, to determine how much of the

Commission’s common data model could be represented using the existing reporting elements

within the two standards. Commission staff found that there exists significant overlap between

the FpML and FIXML standards in their descriptions of SBS data, and that almost all concepts

of the common data model can be represented with existing FpML and FIXML reporting

elements. 35 In light of this and the SBS industry’s current familiarity with and acceptance of

these widely-used standards, the Commission believes that using FpML and FIXML schemas is

an efficient and effective approach for satisfying the necessary form and manner of direct

electronic access. Moreover, in light of prior engagement with the regulatory community and

prior efforts to support regulatory requirements by the bodies that maintain both FpML and

FIXML, 36 the Commission anticipates that the bodies responsible for maintaining each industry

standard are likely to update these standards to incorporate any remaining data elements needed

for the purpose of reporting under SBSR. In particular, Commission staff has identified concepts

within the proposed common data model that do not currently have equivalent data elements in

FpML or FIXML. As discussed further below, in cases where concepts within the common data

model do not yet have equivalents in FpML or FIXML, the Commission’s schemas use

extensions of existing FpML and FIXML reporting elements that accommodate the kind of data

required by the common data model’s concept.

Both FpML and FIXML employ data models to logically arrange and organize their

respective data elements in specific ways. These data models reflect each’s’ decisions regarding

how to represent their data elements for reporting and communication purposes. The

Commission’s schemas would not require alteration of the standards’ data models, but rather

would incorporate each standard’s data models as they are used to represent one of their data

elements. As a result, the mapping of FpML and FIXML to the common data model does not

See Appendix.

See Section II.A.1.

necessarily reflect a one-to-one mapping between named data elements. In some instances, a

single concept in the Commission’s common data model maps to a group of data elements within

FpML or FIXML. For example, FIXML models the terms of any standardized fixed rate

payments by arranging multiple FIXML data elements that each represent a different attribute of

a payment stream, including settlement currency, day count convention, and fixed rate. This

FIXML data model composed of multiple data elements maps to a single concept in the common

data model that corresponds to Rule 901(c)(1)(iv). 37

Common Data Model Treatment of Broad Categories of Transaction

Information

Below, we describe how Regulation SBSR provides the basis for the requirements of the

common data model by examining how the schemas representing the common data model would

treat broad categories of transaction information and how they would define relationships

between specific data elements within those broad categories by placing restrictions on SBS data.

The Commission notes that the concepts within the common data model are limited to those

required to be reported to registered SDRs under Rules 901, 905, and 906 and required to be

assigned by registered SDRs under Rule 907. The common data model also relies on definitions

provided by Rule 900.

Primary Trade Information

Rule 901(c) sets forth the data elements of a security-based swap that must be reported to

a registered SDR and will then be publicly disseminated by the registered SDR pursuant to Rule

902(a) (unless an exception applies). These data elements generally encompass the means of

identifying the contract and the basic economic terms of the contract and include any

See Appendix.

standardized payment streams associated with a contract, the notional value of the contract, the

transaction price, and other information necessary for interpreting transaction prices such as a

variable that would indicate the intent to clear a transaction.

In order for the Commission to aggregate and analyze SBS data, Regulation SBSR

requires reporting participants to report certain information about each security-based swap

transaction. To provide a standardized means for identifying security-based swaps that share

certain material economic terms, the Commission requires reporting participants to utilize a

product ID of a security-based swap when one is available. 38 If the security-based swap has no

product ID, or if the product ID does not include the information enumerated in Rules

901(c)(1)(i)-(v) of Regulation SBSR, then the information specified in subparagraphs (i)-(v) of

Rule 901(c)(1) must be reported separately. 39 The FpML and FIXML schemas would allow

these data elements described in Rules 901(c)(1)(i)-(v) to supplement product IDs, and

validations in each schema would indicate an error if the product ID is not provided and none of

these supplementary data elements are included. In addition, as contemplated by Rule

901(c)(1)(v), the common data model would include a “custom swap flag” that would indicate

when the information provided pursuant to Rules 901(c)(1)(i)-(iv) does not provide all of the

material information necessary to calculate the price of a security-based swap.

See Regulation SBSR Adopting Release, 80 FR at 14570.

Subparagraph (i) requires information that identifies the security-based swap, including

the asset class of the security-based swap and the specific underlying reference asset(s),

reference issuer(s), or reference index. Subparagraph (ii) requires the effective date.

Subparagraph (iii) requires the scheduled termination date. Subparagraph (iv) requires

the terms of any standardized fixed or floating rate payments, and the frequency of any

such payments. Subparagraph (v) requires a bespoke condition flag if the security-based

swap is customized to the extent that the information provided in subparagraphs (i)-(iv)

of Rule 901(c)(1) does not provide all of the material information necessary to identify

the customized security-based swap or does not contain the data elements necessary to

calculate the price.

Rule 901(c) also requires reporting of certain details about an SBS transaction, including

the execution time, price, and notional amount. The precise formats in which these elements can

be provided have been determined by each industry standard. For example, the various FIXML

data elements that express execution time are all expressed in coordinated universal time (UTC).

Similarly, currencies that denominate price and notional amount are expressed using ISO 4217

currency codes. 40

Finally, the common data model would include concepts that correspond to requirements

in Rules 901(c)(5) and 901(c)(6) for flags that indicate inter-dealer transactions and transactions

that counterparties intend to clear. In addition to these required flags, Rule 901(c)(7) requires

that the person with a duty to report include any additional transaction flags as specified in the

policies and procedures of the registered SDR to which they report.

Reportable Events and Transaction Identifiers

Rule 901(a) assigns reporting duties for the security-based swaps described in Rule

908(a), including new security-based swaps and those that result from the allocation,

termination, novation, or assignment of other security-based swaps. Rule 901(e) requires

reporting of life cycle events. Rule 901(i) requires reporting, to the extent the information is

available, of security-based swaps entered into before the date of enactment of the Dodd-Frank

Act and security-based swaps entered into after the date of enactment but before Rule 901

becomes fully operative. Finally, Rule 905 sets out procedures for correcting errors to

previously submitted transaction information. The schemas would include requirements for all

of these event types. Both FIXML and FpML currently support the reporting of both new

See ISO 4217 – Currency Codes,

http://www.iso.org/iso/home/standards/currency_codes.htm (last visited Dec. 8, 2015).

transactions as well as most of the other types of events required to be reported under Regulation

SBSR, and so the schemas would include explicit mappings between existing FIXML and FpML

events and those included in the common data model as a result of reporting requirements under

Regulation SBSR.

Under Rule 901(g), a registered SDR must assign a transaction ID to each new securitybased swap that is reported to it or establish a methodology for doing so. Further, Rule

901(d)(10) requires reports of allocations, termination, novation, or assignment of one or more

existing security-based swaps to include the transaction ID of the security-based swap that is

allocated, terminated, novated, or assigned, while Rule 901(e)(2) requires reports of life cycle

events to include the transaction ID of the original transaction. As the Commission discussed in

the Regulation SBSR Adopting Release, requiring the use of a transaction ID in these instances

would enable the Commission to update a transaction record to incorporate the life cycle event

and map a new security-based swap to a corresponding prior transaction, even if the prior

transaction was reported to a different registered SDR. 41 To ensure consistency in the use of

transaction IDs and enable the Commission to link together related transactions even if stored at

different SDRs, the schemas that represent the common data model would stipulate how

transaction reporting would link new trade activity and life cycle events to existing transactions

through the use of the transaction ID. Further, the schemas would stipulate how an SDR would

include the original transaction ID on records that involve allocations, terminations, novations, or

assignments.

See Regulation SBSR Adopting Release, 80 FR at 14589.

Market Participant Identifiers

Rules 901(d)(1), 901(d)(2), 901(d)(9), 906(a), and 906(b) require reporting of the identity

of each counterparty to a security-based swap as well as certain other persons who are affiliated

with the counterparties or are otherwise involved in the transaction but who are not

counterparties of that specific transaction. Because the Commission has recognized the Global

Legal Entity Identifier System (GLEIS) as an Internationally Recognized Standard Setting

System (IRSS) that assigns unique identification codes (“UICs”) to persons, these types of

persons are required to obtain an LEI and registered SDRs are required to use these LEIs to

identify these persons. Because the requirement to obtain an LEI does not apply to all persons

enumerated in Rules 901(d)(1), 901(d)(2), 901(d)(9), 906(a), and 906(b), the schemas would

accommodate identifiers that are not LEIs. 42

Similarly, the schemas would accommodate LEI and non-LEI identifiers for execution

agent IDs and broker IDs, since such persons might not have an LEI. Further, because no IRSS

meeting the requirements of 903(a) has assigned or developed a methodology for assigning

branch IDs, trader IDs, and trading desk IDs, the schemas would accommodate the identifiers or

methodologies developed by the registered SDRs.

Cash Flows for Customized Contracts

Rule 901(d)(3) requires reporting of details regarding the payment terms, frequencies,

and contingencies for non-standard, or bespoke, contracts. The schemas would accommodate

these as separate data elements by including restrictions so that these data elements would be

permitted only if the custom swap flag discussed in Section II.B.1.a is set by the registered SDR

based on the transaction data that it receives from the reporting participant.

See id. at 14632.

Agreements

Rule 901(d)(4) requires, for transactions that are not clearing transactions, the title and

date of any master agreement, collateral agreement, margin agreement, or any other agreement

incorporated by reference into the SBS contract. For example, to reflect these reporting

requirements the schemas would include a flag to identify clearing transactions. For purposes of

validation, if the clearing transaction flag is not set by the registered SDR, the registered SDR

would be required to provide the agreement information provided by a reporting side under Rule

901(d)(4), if applicable, as separate data elements as well as provide the settlement details

provided by reporting participants under Rule 901(d)(8). If instead the clearing transaction flag

identifies a security-based swap as a clearing transaction, the associated transaction record would

be valid even in the absence of the title and date of any master agreement, collateral agreement,

margin agreement, or any other agreement incorporated by reference into the SBS contract

because the Commission believes it could obtain this information from the registered clearing

agency as necessary. 43 Additionally, if the clearing transaction flag is not set because of the

exception in Section 3C(g) of the Exchange Act (15 U.S.C. 78c–3(g)) has been invoked, then an

indication would be provided by the SDR.

Clearing

Under Rule 901(c)(6), the person with the duty to report must indicate with a flag

whether there is an intent to clear a transaction. The schemas would include such a flag. Rule

901(d)(6) also requires reporting of the name of the clearing agency to which the swap will be

submitted for clearing. Therefore, if the reporting participant 44 has included an “intent to clear”

See Regulation SBSR Adopting Release, 80 FR at 14586.

See §242.901(a).

flag, then expression of the intent to clear within the common data model would require the

registered SDR to also include the name of the clearing agency to which the security-based swap

will be submitted for clearing.

Required Reporting Elements that Do Not Exist in FpML or FIXML

As mentioned earlier, some concepts within the common data model do not currently

have existing equivalents within FpML or FIXML. These include:

•

custom swap flag; 45

•

the currencies of any upfront payment, 46 if applicable;

•

a description of the settlement terms; 47

•

inter-dealer swap flag; 48

•

the title of any margin agreement; 49 and

•

the date of any margin agreement. 50

In these cases, the schemas would require specific extensions of existing FpML and

FIXML reporting elements. For flags required by Rule 901(c)(7), the Commission’s schemas

would require registered SDRs to populate the section with the flags identified within their own

policies and then to select from those. As we discuss in Section III.C.2, both FpML and FIXML

undergo regular updates. To the extent that the FpML and FIXML standards address the

common data model as part of their periodic updates, the Commission expects that the standards

See §242.901(c)(1)(v).

See §242.901(c)(3).

See §242.901(d)(8).

See §242.901(c)(5).

See §242.901(d)(4).

See id.

will create defined elements to replace the initial use of extensions. When the Commission

periodically updates its schemas, each schema will reflect the most recent version of each

standard.

Validations

As mentioned above, the schemas would incorporate validations. These validations are

restrictions placed on the form and manner of the reported SBS data that help ensure that the data

SDRs make available to the Commission adhere to the appropriate schema. In particular, the

validations test for completeness of the data and for appropriate format. As a result, the

validations will enhance the Commission’s ability to normalize and aggregate the data. These

validations are effective at testing for whether the SBS data conforms to the technical

specifications of the schema. However, these validations will not test for whether the SBS data

accurately reflects the transaction that took place. By using the incorporated validations, SDRs

will help ensure that their stored data adheres to the appropriate schema, thereby providing the

Commission with direct electronic access pursuant to Rule 13n-4(b)(5).

Regulatory and Technical Coordination

In developing these proposed rules, we have consulted and coordinated with the CFTC

and the prudential regulators 51 in accordance with the consultation mandate of the Dodd-Frank

The term “prudential regulator” is defined in section 1a(39) of the Commodity Exchange

Act, 7 U.S.C. 1a(39), and that definition is incorporated by reference in section 3(a)(74)

of the Exchange Act, 15 U.S.C. 78c(a)(74). Pursuant to the definition, the Board of

Governors of the Federal Reserve System (“Federal Reserve Board”), the Office of the

Comptroller of the Currency, the Federal Deposit Insurance Corporation, the Farm Credit

Administration, or the Federal Housing Finance Agency (collectively, the “prudential

regulators”) is the “prudential regulator” of a security-based swap dealer or major

security-based swap participant if the entity is directly supervised by that regulator.

Act. 52 We have also incorporated the past experiences of the CFTC regarding their swap data

collection efforts, and consulted with both the CFTC and U.S. Department of the Treasury’s

Office of Financial Research regarding draft technical documentation, including the FIXML and

FpML schemas. More generally, as part of the Commission’s coordination efforts, Commission

staff continue to participate in bilateral and multilateral discussions, task forces, and working

groups on data harmonization and the regulation of OTC derivatives.

•

Request for Comment

The Commission has developed two interoperable schemas so that SDRs can make SBS

transaction data available to the Commission using already existing standards in a form

and manner that can be easily utilized by the Commission for analysis and aggregation.

Are there other ways to provide for the representation of SBS transactions that could be

easily utilized by the Commission? If so, what are they? What are their strengths and

weaknesses?

•

Should the Commission require direct electronic access be provided by SDRs using only

an FpML schema? Should the Commission require direct electronic access be provided

by SDRs using only an FIXML schema? Is there another standard that the Commission

should consider as acceptable? If so, which characteristics about that standard should

make it acceptable to the Commission and how does that standard affect the

Commission’s ability to normalize, aggregate, and analyze the SBS data?

Section 712(a)(2) of the Dodd-Frank Act provides in part that the Commission shall

“consult and coordinate to the extent possible with the Commodity Futures Trading

Commission and the prudential regulators for the purposes of assuring regulatory

consistency and comparability, to the extent possible.”

•

Does the Commission’s approach to providing for direct electronic access using either the

FpML or FIXML schemas allow for the accurate representation of SBS transactions as

described in Regulation SBSR? If not, why not?

•

Are the FpML and FIXML standards sufficiently developed to require either one of them

to be used by SDRs to provide access to the required SBS data? What factors or

indicators should the Commission use to determine when an SBS-related standard has

become sufficiently developed to require its use for providing the Commission with

direct electronic access to SBS data?

•

Should the Commission allow SDRs to develop their own standards or leverage other

standards to provide access to the Commission? How would the Commission’s ability to

normalize, aggregate, and analyze the data be affected if SDRs used different standards

and developed different schemas for representing the SBS data?

•

Instead of leveraging industry standards, such as FIXML and FpML, should the

Commission create a new standard or contract with a third-party to create a new

standard? Why or why not?

•

Are there other approaches to developing or using a standard that the Commission should

consider? Please explain in detail.

•

What would be the costs to an SDR to provide data in either FpML or FIXML standard?

Are there other ways that SBS data should be provided to the Commission? Are there

other standards that would cost less but still allow the Commission to similarly

normalize, aggregate, and analyze the data?

•

Should the Commission institute a test phase for providing this information in either an

FpML or FIXML standard? If so, how long should this test phase last?

•

Other than using schemas, is there another effective mechanism for SDRs to provide

direct electronic access to the Commission that still achieves similar or better aggregation

and consistency results?

•

The Commission intends to incorporate validations into its schemas to help ensure the

quality and completeness of the SBS data that SDRs make available to the Commission.

Is there another effective mechanism that would help ensure completeness and still

achieve similar or better aggregation and consistency results?

•

How should the common data model support reporting requirements that do not yet have

equivalents in FpML or FIXML, while preserving the ability to normalize, aggregate, and

analyze the data? As discussed in Section II.B.2, the Commission’s schemas would

require specific extensions of existing FpML and FIXML reporting elements. Is there a

better alternative? Specifically, how would the alternative affect SDRs, the Commission,

and market participants?

III.

Economic Analysis

On February 11, 2015, the Commission adopted the SDR Rules, 53 which govern SDR

registration, duties, and core principles, 54 and Regulation SBSR, which governs the reporting to

registered SDRs of SBS data and public dissemination by registered SDRs of a subset of that

See supra note 1.

See supra note 2.

data. 55 In combination, these rules represent a significant step forward in providing a regulatory

framework to promote transparency and efficiency in the OTC derivatives markets and assist

relevant authorities in performing their market oversight functions. As noted earlier in Section

I.A, the Commission is concerned that SDRs might provide direct electronic access to data in a

form and manner that is not conducive to the Commission’s ability to analyze the data or surveil

the SBS market. Under the proposed amendment, the Commission would specify the form and

manner with which SDRs must provide direct electronic access to the Commission by requiring

SDRs to comply with the appropriate schema as will be published on the Commission’s website.

The Commission is sensitive to the economic effects of the rules that it proposes,

including implications for efficiency, competition, and capital formation. The Commission

preliminarily believes that the proposed rule would provide a number of benefits and result in

certain costs. Section 23(a)(2) of the Exchange Act 56 requires the Commission, when making

rules under the Exchange Act, to consider the impact that any new rule would have on

competition. In addition, Section 23(a)(2) prohibits the Commission from adopting any rule that

would impose a burden on competition not necessary or appropriate in furtherance of the

purposes of the Exchange Act. Furthermore, Section 3(f) of the Exchange Act 57 requires the

Commission, when engaging in rulemaking pursuant to the Exchange Act where it is required to

consider or determine whether an action is necessary or appropriate in the public interest, to

consider, in addition to the protection of investors, whether the action will promote efficiency,

competition, and capital formation.

See supra notes 3-4.

15 U.S.C. 78w(a)(2).

15 U.S.C. 78c(f).

In many instances the potential benefits and costs of the proposed amendment are

difficult to quantify. In particular, the Commission does not have precise estimates of the

monetary benefits arising from the anticipated improvement in the Commission’s ability to

accurately analyze data made available by a single SDR, and the anticipated improvement in the

Commission’s ability to aggregate and analyze data made available by multiple SDRs. Benefits

may arise from these improvements indirectly to the extent that facilitating the Commission’s

oversight of SBS market activity reduces the likelihood of abuse in the SBS market and risks to

financial stability emanating from the SBS market, however the Commission does not have data

that would enable it to estimate the magnitude of either of these effects.

Similarly, the Commission also does not have the data to estimate the potential costs that

might be associated with reduced competition in the SDR industry that could result from the

proposed approach. As we discuss in more detail below, a potential result of reduced

competition among SDRs is that SDRs increase prices for their services or decrease the quantity

or quality of their services. While the Commission acknowledges these potential costs, it does

not have information about SDR services that would be necessary to estimate changes in prices,

quality of service, or quantity of service that might result from reduced competition. One reason

for this lack of information is that, to date, no SDRs have registered with the Commission.

Where possible, we provide quantitative estimates of the potential costs of the proposed

amendments. We provide discussions of a qualitative nature when quantification is not possible.

Economic Baseline

To examine the potential economic effects of the proposed amendments, our analysis

considers as a baseline the rules adopted by the Commission that affect regulatory reporting and

public dissemination, particularly those rules adopted as part of Regulation SBSR and the SDR

Rules. The baseline includes our current understanding of international industry standards and

market practices, including how those standards and practices have been influenced by the

actions of other regulators. This section begins by summarizing the economic implications of

regulatory reporting and public dissemination under the Commission’s current regulatory

framework for the SBS market and describing the data currently made available to the

Commission on a voluntary basis. Following this discussion, the section describes the number of

SDRs likely to be affected by the proposed amendments before examining the current state of the

FIXML and FpML standards.

The SDR Rules and Regulation SBSR

As mentioned above, the Commission recently adopted the SDR Rules and Regulation

SBSR. Together, the rules seek to provide improved transparency to regulators and the markets

through comprehensive regulations for SBS transaction data and SDRs. 58 As the Commission

envisioned in the SDR Adopting Release, SDRs will become an essential part of the

infrastructure of the SBS market. 59 Persons that meet the definition of an SDR will be required

by the SDR Rules to maintain policies and procedures relating to data accuracy and maintenance,

and will be further required by Regulation SBSR to publicly disseminate transaction-level data,

thereby promoting post-trade transparency in the SBS market.

Additionally, as a result of the SDR Rules and Regulation SBSR, increased quality and

quantity of pricing and volume information and other information available to the Commission

about the SBS market may enhance the Commission’s ability to respond to market

developments. To help inform its understanding of the SBS market, the Commission currently

relies upon data on individual CDS transactions voluntarily provided by the Depository Trust

See SDR Adopting Release, 80 FR at 14440.

See id. at 14528.

and Clearing Corporation (“DTCC”) Trade Information Warehouse (‘‘TIW’’). This information

is made available to the Commission in accordance with an agreement between the DTCC–TIW

and the OTC Derivatives Regulators’ Forum (‘‘ODRF’’), of which the Commission is a member.

The DTCC–TIW data provides sufficient information to identify the types of market

participants active in the SBS market and the general pattern of dealing within that market.

However, as the Commission noted in the SDR Adopting Release, the DTCC–TIW data does not

encompass CDS transactions that both: (i) do not involve any U.S. counterparty, and (ii) are not

based on a U.S. reference entity. 60 Furthermore, because counterparties to CDS transactions

voluntarily submit data to DTCC-TIW to support commercial activities, the data are not

necessarily suited to support the Commission’s needs, the legal requirements underlying the

rules (e.g., the Dodd-Frank Act) or regulatory needs. For example, the transaction records

captured by DTCC–TIW allow the Commission to identify trade execution dates but do not

provide data to determine trade execution times. 61 Both Regulation SBSR and the SDR Rules

will assist the Commission in fulfilling its regulatory mandates such as detecting market

manipulation, fraud, and other market abuses by providing it with access to more detailed SBS

information than that provided under the voluntary reporting regime.

Swap Data Repositories

In the SDR Adopting Release, the Commission estimated that 10 persons may register

with the Commission as SDRs. 62 The Commission notes that in the swap market, only four

See SDR Adopting Release, 80 FR at 14445.

See Memorandum by the Staffs of the Division of Trading and Markets and the Division

of Economic and Risk Analysis of the U.S. Securities and Exchange Commission,

Inventory risk management by dealers in the single-name credit default swap market

(Oct. 17, 2014), available at http://www.sec.gov/comments/s7-34-10/s73410-184.pdf.

See SDR Adopting Release, 80 FR at 14521.

persons have been provisionally registered with the CFTC for regulatory reporting in the swap

market as SDRs thus far: BSDR LLC, Chicago Mercantile Exchange, Inc., DTCC Data

Repository, and ICE Trade Vault. 63 BSDR LLC and DTCC Data Repository currently allow

reporting participants to submit transaction data using FpML. 64 Intercontinental Exchange, the

parent of ICE Trade Vault, uses FpML, 65 while Chicago Mercantile Exchange, Inc. allows

reporting participants to submit transaction data using FIXML. 66 Accordingly, the Commission

continues to preliminarily believe that approximately 10 persons would register with the

Commission as SDRs.

FIXML and FpML

As previously discussed in Section II.A, there are two international industry standards for

representing SBS data: FpML and FIXML. 67 Both are open standards, meaning that they are

technological standards that are widely available to the public at no cost. In addition, both

standards are independent of the software and hardware used by market participants, thus

See U.S. Commodity Futures Trading Commission, Swap Data Repository

Organizations, http://sirt.cftc.gov/sirt/sirt.aspx?Topic=DataRepositories (last visited Dec.

8, 2015).

See Bloomberg Swap Data Repository, BDSR APIs, http://www.bloombergsdr.com/api

(describing trade submission methods available to participants reporting to BDSR) (last

visited Dec. 8, 2015). See also DTCC, US DDR SDR, http://www.dtcc.com/data-andrepository-services/global-trade-repository/gtr-us.aspx (describing submission formats

supported by DTCC Data Repository) (last visited Dec. 8 2015).

See ISDA FpML Survey Annex 1 (January 2011),

http://www.isda.org/media/press/2011/pdf/isda-fpml-user-survey.pdf (listing ICE as an

FpML user).

See CME Group, Submitting Trades to the CME Swap Data Repository,

http://www.cmegroup.com/trading/global-repository-services/submitting-trades-to-cmerepository-service.html (detailing data submission requirements for the CME Swap Data

Repository) (last visited Dec. 8, 2015).

The Commission is aware that market participants may also use proprietary XML

representations of transactions data.

facilitating interoperability. Representatives from the financial industry, including those in the

SBS market, and market participants are involved in maintaining, developing, and updating both

standards to support, among other things, market practices and regulatory reporting

requirements. FpML maintenance is undertaken by the FpML Standards Committee, which is

made up of representatives from a range of financial market participants including banks,

brokers, CCPs, and other financial infrastructure providers. FIX is owned, maintained, and

developed through the collaborative efforts of the FIX Trading Community, which is a nonprofit, industry-driven standards body comprised of over 270 member firms from the global

financial services industry. 68

Based on the fact that there is substantial industry involvement in the development of

both standards, the Commission preliminarily believes that the majority of transactions

reportable under Regulation SBSR would include at least one counterparty that is familiar with

communicating transaction details using FpML or FIXML or currently supports such

communication. Further, most market participants will have familiarity with using FpML and/or

FIXML for transaction reporting, including reporting to meet reporting obligations under the

rules of other jurisdictions. For example, the FpML Regulatory Reporting Working Group has

developed a draft mapping document that relates data elements required by seven regulators

other than the Commission, in various jurisdictions, to corresponding FpML fields. 69 The FIX

Community has similarly provided documentation to show how data represented in FIX

Updates to FpML are regularly announced at www.fpml.org, while updates to the FIX

protocol, including updates to FIXML are regularly announced at

http://www.fixtradingcommunity.org/pg/structure/tech-specs/fix-protocol (last visited

Dec. 8, 2015).

See supra note 26.

corresponds to certain regulatory reporting requirements. 70 These efforts provide evidence that

the groups responsible for developing FIX and FpML are already responding to regulatory

reporting requirements by updating their reporting elements, and that market participants that use

these standards would likely be able to use these standards to discharge reporting obligations.

As noted in Section II.B.1, the schemas would include data elements that correspond to

concepts defined in Rule 900 and required to be reported to registered SDRs by Rule 901. It

would also include certain data elements derived from obligations of registered SDRs under Rule

907. Based on a mapping exercise conducted by Commission staff, the Commission

preliminarily believes that both the FpML and FIMXL reporting standards already include

defined data elements that can be used to cover many of the concepts in the common data model.

However, the Commission staff has identified several instances of concepts within the proposed

common data model that do not yet have equivalently defined data elements in FpML or FIXML.

In those cases, the schemas published on the Commission’s website would provide extensions of

existing FpML and FIXML reporting elements. To the extent that the FpML and FIXML

standards address the common data model as part of their periodic updates, the Commission

expects that the standards will create defined elements to replace the initial use of extensions. If

the Commission were to adopt a rule that required SDRs to make SBS data available to the

Commission using the FpML or FIXML standards, the Commission anticipates that its staff

would keep apprised of relevant advances and developments with those standards and engage

with each standard’s working group regarding such developments, as appropriate.

See, e.g., FIX Protocol, Limited, Global Technical Committee and Futures Industry

Association, CFTC Part 43 & 45 Gap Analysis III Foreign Exchange, (Jan. 3, 2013),

available at http://www.fixtradingcommunity.org/mod/file/view.php?file_guid=46985.

Benefits

The Commission preliminarily believes that the proposed amendment, by specifying the

form and manner with which SDRs would be required to make SBS data available to the

Commission, provide for the accurate analysis of data made available by a single SDR, and the

aggregation and analysis of data made available by multiple SDRs. In particular, the proposed

amendment would enable the aggregation of SBS data by the Commission.

In the SDR Adopting Release, the Commission recognized that the benefits associated

with SDR duties, data collection and maintenance, and direct electronic access may be reduced

to the extent that SBS market data are fragmented across multiple SDRs. 71 Fragmentation of

SBS market data may impose costs on any user of this data associated with consolidating,

reconciling, and aggregating this data. Without a common data model expressed in specific

formats, SDRs might, for example, make available to the Commission SBS data that are

formatted using a variety of standards including FpML, FIXML, or other distinct proprietary

standards or methods. Such an outcome could significantly increase the complexity of data

aggregation, or perhaps even render data aggregation impractical because the Commission would

have to map each standard to the common data model and might need to transform data from

each SDR to meaningfully aggregate data across SDRs. Adding to the complexity of data

aggregation, the Commission would have to repeat the mapping exercise and update data

transformations each time an SDR chooses to update its standard, which could be disruptive to

the Commission’s monitoring and surveillance efforts.

By limiting SDRs’ flexibility to a choice between FpML and FIXML, the Commission

seeks to facilitate data aggregation and analysis by specifying the form and manner with which

See SDR Adopting Release, 80 FR at 14538.

SDRs would be required to make SBS data available to the Commission. Adherence by SDRs to

the schemas when providing direct electronic access should enhance the Commission’s ability to

analyze the data maintained by a single SDR, and allow the Commission to more effectively

aggregate and analyze data received from multiple SDRs. Furthermore, the proposed

amendment also simplifies the aggregation task because the Commission would determine the

permitted formatting standards and schemas, not the SDRs. As a result, the process of data

aggregation will not be complicated or disrupted by SDRs’ decisions to update their formatting

standards for reasons unrelated to regulatory requirements. The proposed amendment affords a

simpler data aggregation process compared to an alternative in which SDRs exercise full

discretion over the choice of formatting standard for providing direct electronic access and the

timing for using the chosen standard.

As discussed above, the schemas would incorporate validations. 72 These validations are

restrictions placed on the form and manner of the SBS data made available by SDRs to the

Commission that help ensure that the data SDRs make available to the Commission adhere to the

appropriate schema. In particular, the validations test whether the data are complete and

appropriately formatted and will likely enhance the Commission’s ability to normalize and

aggregate the data. While validations incorporated into the schemas will be effective for

checking data completeness and appropriate formatting, schema validations will not test for

whether the SBS data accurately reflects the transaction that took place.

The proposed amendment may also indirectly improve the quality of regulatory reporting

in a number of ways. First, by specifying the form and manner with which SDRs must make

SBS data available to the Commission, the proposed amendment might provide SDRs an

See Section II.C.3 of this release.

incentive to limit the range of ways that their participants can report SBS transaction data to

them. If the proposed amendment results in clearer policies and procedures of registered SDRs,

then the result could be more efficient reporting. Second, by leveraging existing industry

standards, the proposed amendment may indirectly improve SBS data quality by eliminating the

need for SDRs to reformat data already structured in FpML or FIXML in some different

Commission specific format, thus reducing the likelihood that SDRs introduce errors in the

process of reformatting data.

Costs

The Commission has preliminarily identified three potential sources of costs associated

with the proposed amendment. The first potential source is SDRs’ implementation of the

proposed amendment, the second potential source is the extension of existing standards to meet

the Commission’s reporting requirements and the updating of those standards if necessary, and

the third potential source arises from limiting the flexibility of SDRs in making SBS data

available to the Commission.

Implementation cost to SDRs

As the Commission noted in the SDR Adopting Release, the cost imposed on SDRs to

provide direct electronic access to the Commission should be minimal as SDRs likely have or

will establish comparable electronic access mechanisms to enable market participants to provide

data to SDRs and review transactions to which such participants are parties. 73 Further, as the

Commission noted in Section III.A, many of the entities likely to register with the Commission

as SDRs already accept transactions data from reporting persons who submit trade information

using the FpML and FIXML standards.

See SDR Adopting Release, 80 FR at 14539.

Nevertheless, the Commission acknowledges that, as a result of the proposed amendment,

SDRs may decide to implement policies, procedures, and information systems to ensure that SBS

data made available to the Commission is in a form and manner that satisfies the requirements

laid out in the schemas. The Commission preliminarily believes that the costs of implementing

such policies, procedures, and information systems are likely to be related to conforming their

data models to one of the Commission’s schemas and are likely to be smaller for those SDRs that

already employ FIXML or FpML. The Commission preliminarily believes that these costs,

which are in addition to the internal costs related to information technology systems, policies,

and procedures the Commission estimated in the SDR Adopting Release, 74 would be

approximately $127,000 in one-time costs per SDR, on average, 75 for an expected aggregate onetime cost of approximately $1,270,000. 76 To arrive at these estimates, we assume that each SDR

See id.

The Commission preliminarily estimates that an SDR will assign responsibilities for

modifications of information technology systems to an Attorney, a Compliance Manager,

a Programmer Analyst and a Senior Business Analyst and responsibilities for policies and

procedures to an Attorney, a Compliance Manager, a Senior Systems Analyst and an

Operations Specialist. Data from SIFMA’s Management & Professional Earnings in the

Securities Industry 2013, modified by Commission staff to account for an 1800-hour

work-year and multiplied by 5.35 to account for bonuses, firm size, employee benefits,

and overhead, suggest that the cost of a Compliance Manager is $283 per hour, a

Programmer Analyst is $220 per hour, a Senior Systems Specialist is $260 per hour, a

Senior Business Analyst is $251 per hour, and an Operations Specialist is $125 per hour.

Thus, the total initial estimated dollar cost will be $126,736.50 per SDR. This reflects the

sum of the costs of modifying information technology systems ($110,810) and the cost of

modifying policies and procedures ($15,926.50). Costs of modifying information

technology systems are calculated as follows: (Attorney at $380 per hour for 70 hours) +

(Compliance Manager at $283 per hour for 80 hours) + (Programmer Analyst at $220 per

hour for 200 hours) + (Senior Business Analyst at $251 per hour for 70 hours) =

$110,810. Costs of modifying policies and procedures are calculated as follows:

(Attorney at $380 per hour for 21.75 hours) + (Compliance Manager at $283 per hour for

19.25 hours) + (Senior Systems Analyst at $260 per hour for 5.75 hours) + (Operations

Specialist at $125 per hour for 5.75 hours) = $15,926.50.

Aggregate costs are calculated as $126,736.50 x 10 SDRs = $1,267,365.

will first compare the data model it currently employs to the common data model represented by

the schemas and subsequently make necessary modifications to information technology systems

and policies and procedures.

To the extent that SDRs decide to modify their policies, procedures, and information

technology systems, the Commission preliminarily believes that modifications that would be

needed to support compliance with the proposed amendment are unlikely to change the marginal

burden of providing direct electronic access to transaction records to the Commission. This is

because the only additional costs would be costs incurred by SDRs to use policies, procedures,

and information systems they would have already established to ensure that each additional

transaction record that is made available to the Commission is in a form and manner that meets

the requirements of the schemas.

The Commission also preliminarily believes that certain of these costs may be mitigated

to the extent that the proposed amendment promotes enhancements to FpML and FIXML in

support of regulatory reporting to registered SDRs. If the schemas, by identifying and closing

gaps between reporting requirements and existing standards, encourage the use of FpML and

FIXML by reporting persons instead of other formatting standards, then SDRs could incur a

lower burden of conforming SBS data to one of the Commission’s schemas because SDRs will

be limited to FpML or FIXML when making the data available to the Commission.

The Commission recognizes that while SDRs may directly bear the implementation costs

discussed above, these costs may be shared among market participants other than SDRs in

several ways and will likely be passed through to SBS market participants, potentially in the

form of higher costs for participants of registered SDRs, which in turn could result in higher

transactions costs for counterparties, potentially impairing, albeit indirectly, efficiency in the

SBS market and capital formation by SBS market participants. For example, the implementation

costs incurred by registered SDRs could be passed on to reporting participants in the form of

higher fees for reporting transactions. Consider the situation in which a registered SDR takes on

reporting participants as clients before it implements the policies, procedures, and information

systems needed to ensure that SBS data made available to the Commission is in a form and

manner that satisfies the requirements laid out in the schemas. This registered SDR could offset

this implementation cost by levying higher service charges on its participant base.

The ability of SDRs to pass through costs to their participants depends in part on the

market power of SDRs. As discussed in the economic baseline, the Commission preliminarily

believes that a limited number of persons would register with the Commission as SDRs. If there

is only one registered SDR serving all reporting participants, then this SDR would have a greater

ability to shift implementation costs that could arise as a consequence of the proposed

amendment to its users. By contrast, a competitive SDR industry would likely mean that

registered SDRs had less market power, rendering them less able to pass through such costs to

reporting participants.

As an alternative to imposing higher fees on participants, registered SDRs could pass

through a portion of the implementation costs to their participants by requiring reporting parties

to report SBS data using FpML or FIXML in the same manner that the Commission is proposing

to require that SDRs utilize for making data accessible to the Commission under the

Commission’s schemas. Under Rule 907(a)(2), a registered SDR is required to establish and

maintain written policies and procedures that specify one or more acceptable data formats (each

of which must be an open-source structured data format that is widely used by participants),

connectivity requirements, and other protocols for submitting information. In response to the

proposed amendment, registered SDRs might elect to establish policies and procedures that

would facilitate conforming transaction data submitted by reporting participants to the schemas,

pursuant to which the registered SDRs would be required to make the data accessible to the

Commission. In particular, a registered SDR might elect to establish policies and procedures that

mandate reporting of data elements under Rules 901(c) and 901(d) in the same form and manner

that the Commission is proposing to require of registered SDRs, or levy fees for reformatting

SBS transaction data reported in other formats to conform to one of the schemas. In this

scenario, the registered SDR’s participants could incur costs associated with: (i) modifying their

reporting systems to transmit data to the registered SDR in a FIXML or FpML format that

conforms to one of the schemas; or (ii) the registered SDR’s reformatting of data to conform to

one of the schemas. The registered SDR could subsequently make the data available to the

Commission with minimal resources in ensuring that the data conforms to one of the schemas.

Efficiency in the SBS market and capital formation by SBS market participants may be

impaired, albeit indirectly, by registered SDRs’ decisions to require reporting parties to report

SBS data using FpML or FIXML under the Commission’s schemas. If the technologies required

to implement the proposed amendment have scale economies, then an outcome in which

reporting participants independently modify their reporting systems potentially represents an

inefficient use of resources for the SBS market as a whole, even if it results in lower costs to

SDRs, and particularly if reporting participants that do not otherwise have a frequent duty to

report also modify their reporting systems. While acknowledging the potential for these

inefficiencies, the Commission preliminarily believes they are unlikely to manifest for a number

of reasons. First, because FpML and FIXML are currently international industry standards, 77 it

is likely that a significant proportion of reporting participants already use either FpML or

FIXML. Participants with reporting obligations include SBS dealers; the Commission has also

proposed reporting obligations for clearing agencies. 78 Commission staff has determined that all

four clearing agencies currently clearing index and single name CDS use either FpML or

FIXML, 79 and at least fourteen of the fifteen major dealers recognized by ISDA use either FpML

or FIXML 80. Reporting participants that already use FpML or FIXML could potentially adapt

policies, procedures, and information systems to report transactions using one of the schemas at a

See Sections II.A.1 and III.A of this release.

See Regulation SBSR Adopting Release, 80 FR at 14730. See also Securities Exchange

Act Release No. 74245 (February 11, 2015), 80 FR 14740, 14802 (March 19, 2015)

(“SBSR Amendments Proposing Release”).

ICE Clear Credit, ICE Clear Europe, CME, and LCH.Clearnet currently clear index and

single name CDS. See SBSR Amendments Proposing Release 80 FR at 14775. Section

III.A.2 of this release discusses the formatting standards used by ICE and CME.

LCH.Clearnet allows reporting participants to submit transactions data using FpML. See

LCH.Clearnet Ltd, ClearLink Messaging Specification 4 (June 2013), available at

http://www.lchclearnet.com/documents/515114/515787/Clearlink+Technical+Requireme

nts/004bb402-1b77-4561-88d7-c0e7e90b7363.

The fifteen major derivatives dealers identified in the 2013 ISDA Operations

Benchmarking Survey are Barclays Capital, BNP Paribas, Bank of America-Merrill

Lynch, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, JP Morgan,

Morgan Stanley, Nomura, Royal Bank of Scotland, Societe Generale, UBS, Wells Fargo.

See International Swaps and Derivatives Association, Inc., 2013 ISDA Operations

Benchmarking Survey 29 (Apr. 2013), available at

https://www2.isda.org/attachment/NTUzOQ==/OBS%202013%20FINAL%200425.pdf.

We use the FIX Trading Community Membership listing to identify dealers that use

FIXML. See Premier Global Members, http://www.fixtradingcommunity.org/pg/grouptypes/sellside-broker-dealers-public (last visited Dec. 8, 2015). We rely on a dealer’s

membership in the FpML Standards Committee as an indication of the dealer’s use of

FpML. See Standards Committee, http://www.fpml.org/committees/standards/ (last

visited Dec. 8, 2015). Because both the FIX Membership listing and FpML Standards

Committee participation are voluntary, our estimates present a lower bound of the

number of major dealers that use either FpML or FIXML.

lower cost than reporting participants that use a standard other than FpML or FIXML. Second,

the potential inefficiencies may be muted if there are multiple SDRs that accept SBS data in each

asset class. To the extent that multiple SDRs compete within an asset class, one potential

competitive outcome is that one or more SDRs may strive to attract business from reporting

participants by exploiting the scale economies associated with implementation and offering to

accept data in whatever formats they currently accept from reporting participants and

reformatting this data to conform to the common data model. In the case of a registered SDR that

chooses to levy a fee for reformatting SBS data to conform to one of the schemas, competition

between SDRs may limit the fees an SDR has the ability to charge.

Taken together, scale economies for implementation and competition among SDRs might

compel all SDRs to permit reporting participants to submit SBS data to SDRs using a variety of

formats, thereby eliminating the inefficiencies associated with modification of systems by

reporting parties.

Finally, participants that report infrequently or do not use FpML or FIXML could reduce

their burden by engaging with third-party entities to carry out reporting duties incurred under

Regulation SBSR as well as satisfy data formatting requirements specified by registered SDRs. 81

Third-party entities may offer reporting services if they are able to make SBS data available in a

form and manner consistent with the schemas at a lower cost than SDRs and SDR participants.

Such a cost advantage might arise if a third-party entity uses FpML or FIXML to process SBS

data as part of its existing business activities and has acquired technical expertise in using FpML

The Commission acknowledged in Regulation SBSR that reporting requirements could

present a barrier to entry for smaller firms but noted that firms that are reluctant to

acquire and build reporting infrastructure could engage with third-party service providers

to carry out reporting duties under Regulation SBSR. See Regulation SBSR Adopting

Release, 80 FR at 14702.

or FIXML. Further, the availability of third-party entities that can convert SBS data to meet

formatting requirements specified by registered SDRs may place an upper limit on the fees

levied by SDRs to reformat data to conform to a Commission schema.

Costs of extending and updating standards

At present, FpML and FIXML do not have a complete set of defined reporting elements

that address all Regulation SBSR reporting requirements. Market participants may choose to

extend these standards to fully reflect Regulation SBSR reporting requirements through the

industry bodies that maintain FpML and FIXML (working groups). 82 As discussed earlier, both

standards undergo regular updates.

While the Commission acknowledges the costs of extending and updating these

standards, these are indirect costs, in that they are not costs required to be incurred by the

proposed amendment, but costs that may be incurred voluntarily by industry bodies. Further, the

Commission preliminarily believes that extension costs would be modest. An analysis

The FIX Protocol is updated by actions of its Global Technical Committee via a formal

process in which working groups formulate a gap analysis and technical proposal. The

gap analysis and proposal documents are posted on the FIX web site and accessible to the

public prior to Global Technical Committee review. Approved proposals are published

to the technical specification page as an “extension” or “errata/service” release,

depending on their scope. Extensions to the FIX protocol apply to both FIX’s native

format and FIXML. See FIX Protocol, Limited, FPL Technical Gap Analysis Approval

Process (Jan. 20, 2006), available at

http://www.fixtradingcommunity.org/pg/file/fplpo/read/1437402/gap-analysisspecification-proposal-process.

FpML is updated by actions of its Standards Committee via a formal process in which

working groups produce documents that define extensions or other technical matters

which must proceed through stages as working drafts, last call working drafts, trial

recommendations and recommendations. Extensions to FpML that reach trial

recommendation status are assigned an incremented version number, so that the latest

recommendation may be FpML 5.7 while the trial recommendation is FpML 5.8. All

public specifications are published on the FpML web site. See FpML Standards

Committee, Standards Approval Process – Version 2.1 – June 2009, available at

http://www.fpml.org/asset/49a6b038/7545553a.pdf.

undertaken by Commission staff suggests that each standard currently has the defined reporting

elements required to capture almost all of the data elements contemplated by Regulation SBSR. 83

The Commission also preliminarily believes that the update costs would be limited because any

update needed to support possible future changes in Regulation SBSR reporting requirements

would likely be implemented as part of the routine updates undertaken by the working groups.

The Commission reviewed the time taken to revise both FpML and FIXML and estimated that a

revision requires on average 304 days. 84 A working group is estimated to be 29-member strong

based on the size of the working group charged with revising FpML to define data elements to be

used for reporting OTC derivative positions between market participants and to regulators. 85 The

Commission assumes that the one-time extension and a periodic update of each standard will

require only a fraction of the time required for a revision of a standard, with an extension

requiring more time than a periodic update. Thus, the one-time cost of extending each standard is

estimated to be $1,410,560 for a total cost of $2,821,120 for both standards, while the cost of a

periodic update to one standard is estimated to be $282,112 for a total cost of $564,224 for both

See Section II.C and Appendix.

Using the release dates for versions 4.1 through 5.7 of FpML, we estimate the average

time taken to update each version to be 154 days. Using the release dates for versions 4.0

through 5.0 of FIXML, we estimate the average update time to be 454 days. We take the

average of these two estimates to arrive at the final estimate of 304 days. The

Commission preliminarily believes that these estimates are upper bounds on the time

required to make extensions as a result of the proposed amendment because they

represent an average of major and minor changes and because these changes likely

represent a mix of changes in response to market practice and changes in response to

regulatory requirements.

See Section III.A.3 of this release. See also FpML, Regulatory Reporting Working

Group, http://www.fpml.org/wgroup/rptwg/ (last visited Dec. 8, 2015).

standards. 86 The Commission preliminarily believes that, while these costs would be directly

incurred by working group members, they would likely be passed through to market participants,

potentially in the form of higher transactions costs.

Limiting formatting flexibility of SDRs

In the SDR Adopting Release, the Commission required SDRs to provide direct

electronic access, but did not specify the form and manner of the direct electronic access. As the

Commission noted in the SDR Adopting Release, until such time as the Commission adopts

specific formats and taxonomies, “SDRs may provide direct electronic access to the Commission

to data in the form in which the SDRs maintain such data.” 87 The proposed amendment, by

specifying the form and manner of direct electronic access, potentially curtails the flexibility in

formatting choices that SDRs enjoy in the absence of the proposed amendment. The Commission

is aware that such curtailment potentially represents a cost of the proposed amendment, but does

not believe it can quantify this cost with any degree of precision as it depends on the different

means by which each SDR could potentially make data available to the Commission

electronically in the absence of the proposed amendment.

Additionally, the proposed amendment could entail costs if FpML and FIXML no longer

reflect SBS market conventions. As the SBS market evolves, FpML and FIXML may cease to

Because members of a working group are professionals from various organizations, we

treat each member as an outside professional for this analysis and use a $400 per hour

cost. We assume an eight hour work day for each member of the working group. For the

one-time extension of a standard, we assume a workload of 5% of each working group

member’s work day. Given these assumptions, the cost of extending one standard = 304

x 29 x 8 x 400 x 0.05 = $1,410,560. The cost of extending both standards is = 1,410,560

x 2 = $2,821,120. For the periodic update of a standard, we assume a workload of 1% of

each working group member’s work day due to the incremental and limited nature of a

periodic update. Thus, the cost of a periodic update to one standard = 304 x 29 x 8 x 400

x 0.01 = $282,112, and the cost for both standards is = 282,112 x 2 = $564,224.

See SDR Adopting Release, 80 FR at 14475.

reflect SBS market practices or products. If more efficient standards other than FpML or FIXML

emerge, the proposed amendment would not permit SDRs to take advantage of those standards in

providing direct electronic access to the Commission, though the proposed amendment would

not preclude SDRs from using those standards for other purposes. The magnitude of this

economic effect is difficult to estimate as we would require information about future SBS market

practices and products, as well as efficiency improvements in currently existing and new

formatting standards. Moreover, the Commission preliminarily believes that potential reductions

in future flexibility will be limited for a number of reasons. First, as previously discussed in

Section II.A, representatives from the financial industry, including those in the SBS market, are

involved in maintaining, developing, and updating FpML and FIXML to support, among other

things, market practices and regulatory reporting requirements. Periodic updating reduces the

likelihood that FpML and FIXML will fail to reflect changes to SBS market practices or

products. Further, the Commission preliminarily believes that industry involvement and periodic

updating make it less likely that a more efficient alternative to FpML or FIXML will emerge.

Second, by specifying schemas based on both FpML and FIXML, the proposed amendment

provides redundancy in case one standard falls into disuse and no longer reflects SBS market

practices or products.

Competition among SDRs

The Commission is also sensitive to the effects on competition among SDRs that might

arise as a result of the proposed amendment. The Commission preliminarily believes that the

impact of the proposed amendment is likely to be limited. The Commission views the effect of

the proposed amendment as further specifying the form and manner of data already required to

be made available to the Commission under Rule 13n-4(b)(5). The Commission understands that

the implementation costs associated with meeting minimum requirements for form and manner

under the proposed amendment could represent a barrier to entry for entrants into the SDR

industry that, in the absence of the proposed amendment, would choose to make data available to

the Commission in a lower cost form and manner.

To the extent that the proposed amendment deters new firms from entering the SDR

industry, competition between SDRs could be reduced. A less competitive SDR industry could

see incumbent registered SDRs increasing fees charged to reporting participants, reducing the

quantity and quality of services provided to reporting participants, or both. Further, a less

competitive SDR industry could make it easier for incumbent registered SDRs to shift a bigger

portion of their implementation cost to reporting participants. As noted above, such a shift could

represent an inefficient allocation of implementation costs if it results in duplicative investment

in software and systems by a large number of reporting parties to conform data to the schemas. 88

The Commission preliminarily believes that any deleterious effect on competition that

results from the proposed amendment might be limited for a number of reasons. First, because

the Commission is selecting the FpML and FIXML standards which are widely available to the

public at no cost, new entrants would not incur any cost associated with the creation of new

standards. Second, should extension and updating costs be necessary, such costs are expected to

be modest and would likely be shared among various market participants, including SDRs.

Thus, the actual portion of these costs incurred by a new entrant would be limited.

Alternative Approaches

The Commission has considered two alternatives to the approach contemplated in the

proposed amendment. In this section, we discuss each alternative in turn and the reasons why

each alternative approach was not proposed.

See Section III.C.1 of this release.

Developing a new standard

The first alternative would involve development of a new information formatting

standard specifically designed to support regulatory reporting of SBS data. The Commission

could implement this alternative in one of two ways. First, the Commission could develop a new

standard on its own and require SDRs to use this standard. The key advantage of such an

approach is that it would give the Commission the ability to tailor definitions of data elements to

precisely match those in Regulation SBSR. However, this approach suffers from a number of

drawbacks. The Commission would likely expend significant resources to (i) develop an

information formatting standard for SBS data, (ii) stay informed of the various practices of the

SDRs, (iii) provide guidance on the standard’s use, and (iv) update the standard on a regular

basis to incorporate innovations in the SBS market and additional reporting requirements as

determined by future Commission action. Further, under this approach market participants could

incur costs associated with supporting an additional information formatting standard that is not

useful except for purposes of satisfying Title VII requirements.

In the absence of an existing standard for SBS data, it would be appropriate for the

Commission to develop a new standard specifically designed to support regulatory reporting of

SBS data. However, because FpML and FIXML are existing standards that are widely used by

market participants, the Commission preliminarily believes it would be more efficient to

leverage these standards that have been designed with input from market participants, that

communicate information about financial contracts, and that can be updated and maintained with

the assistance of dedicated industry working groups. Further, the Commission preliminarily

believes that the proposed approach reduces the likelihood that SDRs introduce errors to SBS

data in the process of reformatting data structured in FpML or FIXML to conform to a new

standard developed specifically for regulatory reporting. Thus, the Commission has not chosen

to develop its own standard in the proposed amendment.

Using FpML or FIXML as the sole schema standard

A second alternative would be to use either FpML or FIXML as the sole schema

standard. The Commission preliminarily believes that using only a single standard would impose

an additional burden on an SDR that currently uses a standard other than the selected standard.

Because FpML and FIXML are both widely used and accepted in the financial industry, it is

possible that some SDRs use FpML while others use FIXML. As noted in the economic

baseline, among the persons that could potentially register as SDRs for security-based swaps,

BSDR LLC, DTCC Data Repository, and ICE are FpML users, while Chicago Mercantile

Exchange, Inc. is a FIXML user. By selecting either FpML or FIXML as the sole standard, the

Commission would be requiring an SDR that did not use the proposed standard to incur costs to

change its policies, procedures, and information systems to accommodate the proposed standard.

In addition, selecting a sole standard could increase the likelihood of introducing errors to SBS

data caused by an SDR that uses the non-permissible standard when reformatting its data to

conform to the selected standard. A greater likelihood of errors could potentially reduce the

quality of SBS data made available to the Commission. Further, allowing both FpML and

FIXML instead of allowing just one of these standards would afford some measure of

redundancy in case one standard falls into disuse (due, for example, to the cessation of industry

support) and no longer reflects current market practices.

Request for Comment

The Commission seeks commenters’ views and suggestions on all aspects of its economic

analysis of the proposed amendment. In particular, the Commission asks commenters to

consider the following questions:

•

What additional information sources can the Commission use to calibrate the cost of

setting up and implementing policies, procedures, and information systems to format and

submit SBS transaction data in accordance with the Commission’s schemas?

•

What fraction of reporting participants already use FpML or FIXML to format SBS data?

•

What fraction of reporting participants use proprietary XML representations of SBS?

•

What additional information sources can the Commission use to calibrate (a) the cost of

extending FpML and FIXML and (b) the cost of periodically updating these standards?

•

Are there costs associated with the proposed amendment that the Commission has not

identified? If so, please identify them and if possible, offer ways of estimating these

costs.

IV.

Paperwork Reduction Act

The Commission is required to take into account those provisions of any proposed

amendments that contain “collection of information requirements” within the meaning of the

Paperwork Reduction Act of 1995 (“PRA”). 89 In this release, the Commission is proposing to

specify the form and manner with which SDRs will be required to make SBS data available to

the Commission under Exchange Act Rule 13n-4(b)(5). Specifically, the Commission is

proposing to amend Rule 13n-4(a)(5) to require SDRs to provide direct electronic access using

either the FpML schema or the FIXML schema as published on the Commission’s website. The

Commission is also requiring that the SDRs use the most recent schema published on the

website, as the Commission may make periodic updates to reflect changes in the FpML and

FIXML standards or changes in industry practice.

44 U.S.C. 3501 et seq.

As is discussed in greater detail below, the Commission preliminarily believes that the

proposed amendments to Rule 13n-4(a)(5) would result in a collection of information burden.

To the extent that this collection of information burden has not already been accounted for in the

adoption of the SDR Adopting Release and Regulation SBSR, 90 such burden is discussed below.

The purpose of the proposed amendments to Rule 13n-4(a)(5) is to specify the form and manner

with which SDRs would be required to make SBS data available to the Commission. By doing

so, the Commission seeks to ensure that the SBS data made available by SDRs are formatted

and structured consistently so that the Commission can accurately analyze the data maintained

by a single SDR, and so that the Commission can also aggregate and analyze data maintained by

multiple SDRs. Collection of the underlying data, however, is already covered by existing

collections.

The Commission’s SDR Rules (OMB Control Number 3235-0719) consist of Rules

13n-1 to 13n-12 under the Exchange Act governing SDRs, and a new form, Form SDR, for

registration as a security-based swap data repository. Among other things, Rule 13n-4(b) sets

forth requirements for collecting and maintaining transaction data that each SDR will be required

to follow. The SDR Adopting Release described the relevant burdens and costs that complying

with Rule 13n-4(b), as well as the other companion rules, will entail. The Commission estimated

that the one-time start-up burden relating to establishing the systems necessary to comply to the

SDR Rules (including Rule 13n-4(b)) would be 42,000 hours and $10 million in information

technology costs for each SDR, for a total one-time start-up burden of 420,000 hours and $100

See SDR Adopting Release, 80 FR 14437; Regulation SBSR Adopting Release, 80 FR

14673.

million. 91 The Commission further estimated that the average ongoing annual burden of these

systems would be 25,200 hours and $6 million per SDR, for a total annual ongoing annual

burden of 252,000 hours and $60 million. 92 The Commission preliminarily believes that there

would be additional burdens on top of those already discussed in connection with the SDR Rules

as a result of the proposed amendments. The Commission is submitting the collection of

information to the Office of Management and Budget for review in accordance with 44 U.S.C.

3507 and 5 CFR 1320.11. The title of the collection of information the Commission is proposing

to amend is “Form SDR and Security-Based Swap Data Repository Registration, Duties, and

Core Principles.” An agency may not conduct or sponsor, and a person is not required to

respond to, a collection of information unless it displays a currently valid OMB control number.

Regulation SBSR (OMB Control No. 3235-0718), among other things, sets forth the

primary and secondary SBS trade information that must be reported to a registered SDR and,

with some exceptions, disseminated by a registered SDR to the public. The burdens associated

with the reporting and dissemination of SBS trade information are discussed in Regulation

SBSR. These burdens include those related to a registered SDR to time-stamping information

that it receives, assigning a unique transaction ID to each security-based swap it receives (or

establishing or endorsing a methodology for transaction IDs to be assigned by third parties),

disseminating transaction reports related to SBSs, issuing notifications regarding closing hours

and system availability, establishing protocols for correcting errors in SBS information,

obtaining UICs as necessary, establishing and maintaining compliance with certain policies and

procedures, and registering as a securities information processor. In this release, the

See 80 FR at 14523.

Id.

Commission has not proposed changes to the information that must be reported to a registered

SDR or the information that must be disseminated by a registered SDR to the public. The

Commission therefore preliminarily believes that there would be no additional burden beyond

those already discussed in connection with Regulation SBSR.

The Commission believes, as is discussed in greater detail above in Section II.A., that the

participants in the SBS market generally already employ two industry standard formats: FpML

and FIXML. The Commission expects, but Regulation SBSR does not require, that registered

SDRs will accept SBS trade information in one or both of these industry standard formats. In

preparation for compliance with Regulation SBSR and the SDR Adopting Release, the

Commission expects that registered SDRs will have established systems capable of collecting –

and indeed likely have already collected SBS trade information – in one of these two industry

standards formats. However, the Commission does acknowledge that, as a result of the proposed

amendment, SDRs may incur burdens associated with implementing policies, procedures, and

information systems to ensure that SBS data made available to the Commission is in the form

and manner that satisfies the requirements laid out in the schema.

Summary of Collection of Information

Rule 13n-4(b)(5) requires SDRs to provide direct electronic access to the Commission or

its designees. Rule 13n-4(a)(5), as proposed to be amended, requires “direct electronic access”

to be made using “the most recent version of either the FpML schema or the FIXML schema for

security-based swap data repositories as published on the Commission’s website.” The proposed

amendments do not alter or amend the information that must be collected and maintained by a

registered SDR, but do impact the manner in which such information is made available to the

Commission.

Use of Information

Rules 13n-4(b)(5) requires that an SDR provide the Commission, or any designee of the

Commission, with direct electronic access. The information made available to the Commission,

or its designee, will help ensure an orderly and transparent SBS market as well as provide the

Commission with tools to help oversee this market.

Respondents

The direct electronic access requirements of Rule 13n-4(b)(5) apply to all SDRs, absent

an exemption. Thus, for these provisions, the Commission continues to estimate that there will

be 10 respondents.

Total Initial and Annual Reporting and Recordkeeping Burden

As discussed above, Rule 13n-5(b)(5) requires SDRs to provide direct electronic access

to the Commission or its designees. Rule 13n-4(a)(5), as proposed to be amended, would require

“direct electronic access” to be made available to the Commission using “the most recent version

of either the FpML schema or the FIXML schema for security-based swap data repositories as

published on the Commission’s website.”

The Commission preliminarily believes that registered SDRs are likely to already accept

transaction data from reporting persons who submit trade information using FpML and FIXML

reporting standards. However, the Commission preliminarily believes that, as a result of the

proposed amendment, registered SDRs may incur certain burdens associated with implementing

policies, procedures, and information systems to ensure that SBS data made available to the

Commission is in a form and manner that satisfies the requirements laid out in the schemas. The

Commission preliminarily believes that these incremental burdens are likely to be related to

ensuring that the data elements that constitute the common data model are represented using the

appropriate FIXML or FpML reporting elements and are likely to be smaller for those SDRs that

already employ FIXML or FpML. The Commission preliminarily estimates that each registered

SDR will incur an initial, one-time burden of 472.5 hours, 93 for an aggregate one-time burden of

4,725 hour for all registered SDRs. 94 The Commission expects that each SDR will comply with

the proposed rule by first comparing the data model it currently employs to the common data

model represented by the schemas and subsequently making necessary modifications to

information technology systems and policies and procedures.

Once the policies, procedures, and information systems required to comply with the

proposed amendment are in place, the Commission preliminarily does not believe that there will

be any additional paperwork burden placed upon SDRs to make transaction records accessible in

a form and manner that satisfies the requirements of the schemas. The Commission

preliminarily believes that the burdens related to SDRs using their policies, procedures, and

information systems they would have already established have been accounted for in the

previously adopted SDR Rules. Furthermore, the Commission preliminarily believes that the

annual burdens associated with maintaining the SDRs policies and procedures, as well as the

annual burdens associated with modifications of information technology systems have already

been accounted for in the previously approved SDR Rules.

The Commission preliminarily estimates that an SDR will assign responsibilities for

modifications of information technology systems to an Attorney, a Compliance Manager,

a Programmer Analyst and a Senior Business Analyst and responsibilities for policies and

procedures to an Attorney, a Compliance Manager, a Senior Systems Analyst and an

Operations Specialist. The Commission estimates the burden of modifying information

technology systems to be as follows: 70 hours (Attorney) + 80 hours (Compliance

Manager + 200 hours (Programmer Analyst) + 70 hours (Senior Business Analyst) = 420

burden hours. The Commission estimates the burden of modifying policies and

procedures to be as follows: 21.75 hours (Attorney) + 19.25 (Compliance Manager) +

5.75 hours (Senior Systems Analyst) + 5.75 hours (Operations Specialist) = 52.5 burden

hours.

The aggregate burden is calculated as follows: (420 hours + 52.5 hours) x 10 registered

SDRs = 4,725 burden hours

Collection of Information is Mandatory

The collection of information relating to direct electronic access is mandatory for all

SDRs, absent an exemption.

Confidentiality

Because these proposed amendments do not impact the scope or nature of the information

required to be made available to the Commission, the Commission does not expect to receive

confidential information as a result of these proposed amendments. However, to the extent that

the Commission does receive confidential information pursuant to this collection of information,

such information will be kept confidential, subject to the provisions of applicable law.

Recordkeeping Requirements

Rule 13n-7(b) under the Exchange Act requires an SDR to keep and preserve at least one

copy of all documents, including all documents and policies and procedures required by the

Exchange Act and the rules or regulations thereunder, correspondence, memoranda, papers,

books, notices, accounts, and other such records as shall be made or received by it in the course

of its business as such, for a period of not less than five years, the first two years in a place that is

immediately available to representatives of the Commission for inspection and examination.

This requirement encompasses any documents and policies and procedures established as a result

of the proposed amendments.

Request for Comments

Pursuant to 44 U.S.C. 3505(c)(2)(B), the Commission solicits comment to:

•

Evaluate whether the proposed collection of information is necessary for the proper

performance of our functions, including whether the information will have practical

utility;

•

Evaluate the accuracy of our estimate of the burden of the proposed collection of

information;

•

Determine whether there are ways to enhance the quality, utility, and clarity of the

information to be collected; and

•

Evaluate whether there are ways to minimize the burden of collection of information on

those who are to respond, including through the use of automated collection techniques or

other forms of information technology.

Persons submitting comments on the collection of information requirements should direct them

to the Office of Management and Budget, Attention: Desk Officer for the Securities and

Exchange Commission, Office of Information and Regulatory Affairs, Washington, DC 20503,

and should also send a copy of their comments to Brent J. Fields, Secretary, Securities and

Exchange Commission, 100 F Street NE, Washington, DC 20549-1090, with reference to File

Number S7-26-15. Requests for materials submitted to OMB by the Commission with regard to

this collection of information should be in writing, with reference to File Number S7-26-15 and

be submitted to the Securities and Exchange Commission, Office of FOIA/PA Operations, 100 F

Street NE., Washington, DC 20549-2736. As OMB is required to make a decision concerning

the collections of information between 30 and 60 days after publication, a comment to OMB is

best assured of having its full effect if OMB receives it within 30 days of publication.

Regulatory Flexibility Act Certification

Section 3(a) of the Regulatory Flexibility Act of 1980 (“RFA”) 95 requires the

Commission to undertake an initial regulatory flexibility analysis of the proposed amendment on

5 U.S.C. 603(a).

“small entities.” Section 605(b) of the RFA 96 provides that this requirement shall not apply to

any proposed rule or proposed rule amendment which, if adopted, would not have a significant

economic impact on a substantial number of small entities. Pursuant to 5 U.S.C. 605(b), the

Commission hereby certifies that the proposed amendment to Rule 13n-4(a)(5) would not, if

adopted, have a significant economic impact on a substantial number of small entities. In

developing this proposed amendment the Commission has considered its potential impact on

small entities. For purposes of Commission rulemaking in connection with the RFA, a small

entity includes: (1) when used with reference to an “issuer” or a “person,” other than an

investment company, an “issuer” or “person” that, on the last day of its most recent fiscal year,

had total assets of $5 million or less; 97 or (2) a broker-dealer with total capital (net worth plus

subordinated liabilities) of less than $500,000 on the date in the prior fiscal year as of which its

audited financial statements were prepared pursuant to Rule 17a-5(d) under the Exchange Act, 98

or, if not required to file such statements, a broker-dealer with total capital (net worth plus

subordinated liabilities) of less than $500,000 on the last day of the preceding fiscal year (or in

the time that it has been in business, if shorter); and is not affiliated with any person (other than a

natural person) that is not a small business or small organization. 99

The Commission believes, based on input from SBS market participants and its own

information, that persons that are likely to register as SDRs would not be small entities. Based

on input from SBS market participants and its own information, the Commission believes that

5 U.S.C. 605(b).

17 CFR 240.0-10(a).

17 CFR 240.17a-5(d).

17 CFR 240.0-10(c).

most if not all registered SDRs would be part of large business entities, and that all registered

SDRs would have assets exceeding $5 million and total capital exceeding $500,000.

The Commission encourages written comments regarding this certification. The

Commission solicits comment as to whether the proposed amendment to Rule 13n-4(a)(5) could

have an effect on small entities that has not been considered. The Commission requests that

commenters describe the nature of any impact on small entities and provide empirical data to

support the extent of such impact.

VI.

Small Business Regulatory Enforcement Fairness Act

For purposes of the Small Business Regulatory Enforcement Fairness Act of 1996

(“SBREFA) 100 the Commission must advise the OMB whether the proposed regulation

constitutes a “major” rule. Under SBREFA, a rule is considered “major” where, if adopted, it

results or is likely to result in: (1) an annual effect on the economy of $100 million or more;

(2) a major increase in costs or prices for consumers or individual industries; or (3) significant

adverse effect on competition, investment or innovation.

The Commission requests comment on the potential impact of the proposed amendment

on the economy on an annual basis. Commenters are requested to provide empirical data and

other factual support for their views to the extent possible.

VII.

Statutory Authority

Pursuant to the Exchange Act, and particularly Sections 13(n) and 23(a) thereof, 15

U.S.C. 78m(n) and 78w(a), the Commission is proposing to amend rule 13n-4(a)(5), under the

Exchange Act.

100

Pub. L. No. 104-121, Title II, 110 Stat. 857 (1996) (codified in various sections of

5 U.S.C. and 15 U.S.C. and as a note to 5 U.S.C. 601).

List of Subjects

17 CFR Part 240

Reporting and recordkeeping requirements.

Text of Proposed amendment

For the reasons stated in the preamble, the SEC is proposing to amend Title 17, Chapter

II of the Code of the Federal Regulations as follows:

PART 240—GENERAL RULES AND REGULATIONS, SECURITIES EXCHANGE

ACT OF 1934

1. The general authority citation for part 240 continues to read as follows:

Authority: 15 U.S.C. 77c, 77d, 77g, 77j, 77s, 77z–2, 77z–3, 77eee, 77ggg, 77nnn, 77sss,

77ttt, 78c, 78c–3, 78c–5, 78d, 78e, 78f, 78g, 78i, 78j, 78j–1, 78k, 78k–1, 78l, 78m, 78n, 78n–1,

78o, 78o–4, 78o–10, 78p, 78q, 78q–1, 78s, 78u–5, 78w, 78x, 78ll, 78mm, 80a–20, 80a–23, 80a–

29, 80a–37, 80b–3, 80b–4, 80b–11, 7201 et seq.; and 8302; 7 U.S.C. 2(c)(2)(E); 12 U.S.C.

5221(e)(3); 18 U.S.C. 1350; and Pub. L. 111–203, 939A, 124 Stat. 1376 (2010), unless otherwise

noted.

*****

2. Amend § 240.13n-4(a)(5) by adding a second sentence to read as follows:

§ 240.13n-4 Duties and core principles of security-based swap data repository.

(a) * * *

(5) * * * Direct electronic access must be made available to the Commission using the

most recent version of either the FpML schema or the FIXML schema for security-based swap

data repositories as published on the Commission’s website.

*****

By the Commission.

Dated: December 11, 2015.

Brent J. Fields,

Secretary.

APPENDIX: Mapping of common data model concepts to FIXML and FpML data elements

The common data model is informed by the current versions of the FpML and FIXML

standards. Commission staff has mapped concepts in the common data model to existing data

elements in both FpML and FIXML. Table 1 depicts the result of this mapping exercise for

FpML version 5.9, which is considered current for the purposes of this proposal. Table 2 repeats

this exercise for FIX version 5.0, Service Pack 2, which shall be considered current for the

purposes of this proposal.

Table 1: Mapping of common data model data concepts to FpML data elements. When the FpML column includes a list

of terms, this means that FpML expresses the concept as a combination of data elements from that list. Blank entries

mean that the concept does not presently have an exact equivalent in FpML.

§ 901 Ref.

(c)(1)

Common Data Model Concept

Product ID

(c)(1)(i)

Asset Class

(c)(1)(i)

(c)(1)(ii)

(c)(1)(iii)

(c)(1)(iv)

Underlying Reference Asset(s)

Underlying Reference Issuer(s)

Underlying Reference Index

Effective Date

Scheduled Termination Date

Terms of any standardized fixed rate

payments

(c)(1)(iv)

Frequency of any fixed rate payments

Terms of any standardized floating rate

payments

(c)(1)(iv)

(c)(1)(v)

(c)(2)

Frequency of any floating rate payments

Custom Swap Flag

The date and time, to the second, of

execution, expressed using Coordinated

Universal Time (UTC);

The price

(c)(3)

The currency in which the price is

expressed

FpML Data Elements

productId

primaryAssetClass

secondaryAssetClass

productType

embeddedOptionType

primaryAssetClass

secondaryAssetClass

underlyingAsset

referenceEntity

index

effectiveDate

scheduledTerminationDate

calculationPeriodAmount or

fixedAmountCalculation

paymentDates

calculationPeriodFrequency

calculationPeriodAmount

paymentDates

resetDates

calculationPeriodFrequency

nonStandardTerms

executionDateTime

quote

value

currency

§ 901 Ref.

(c)(3)

Common Data Model Concept

The amount(s) of any up-front payments

(c)(3)

(c)(4)

The currenc(ies) of any up-front payments

The notional amount(s)

(c)(4)

The currenc(ies) in which the notional

amount(s) is expressed

Inter-Dealer Swap Flag

Intention To Clear Flag

If applicable, any flags pertaining to the

transaction that are specified in the policies

and procedures of the registered SDR to

which the transaction will be reported

The counterparty ID [on the reporting side]

(c)(5)

(c)(6)

(c)(7)

(d)(1)

(d)(2)

(d)(3)

The execution agent ID [on the reporting

side], as applicable

The counterparty ID [on the non-reporting

side]

The execution agent ID of each

counterparty, as applicable

[As applicable] the branch ID of the direct

counterparty on the reporting side

[As applicable] the broker ID of the direct

counterparty on the reporting side

[As applicable] the execution agent ID of

the direct counterparty on the reporting

side

[As applicable] the trader ID of the direct

counterparty on the reporting side

[As applicable] the trading desk ID of the

direct counterparty on the reporting side

the terms of any fixed or floating rate

payments, or otherwise customized or nonstandard payment streams

the frequency of any fixed or floating rate

payments, or otherwise customized or nonstandard payment streams

the contingencies of any fixed or floating

rate payments, or otherwise customized or

non-standard payment streams

FpML Data Elements

additionalPayment

paymentType

currency

notional

amount

currency

intentToClear

onBehalfOf

partyId

partyRole

partyId

partyRole

partyId

partyRole

relatedBusinessUnit

role

relatedBusinessUnit

role

relatedBusinessUnit

role

relatedBusinessUnit

role

relatedBusinessUnit

role

genericProduct

paymentFrequency

resetFrequency

feature

§ 901 Ref.

(d)(4)

Common Data Model Concept

title of any master agreement

(d)(4)

the date of any master agreement

(d)(4)

the title of any collateral agreement

(d)(4)

the date of any collateral agreement

(d)(4)

the title of any margin agreement

the date of any margin agreement

the title of any other agreement

(d)(4)

the date of any other agreement

(d)(5)

any additional data elements included in

the agreement between the counterparties

that are necessary for a person to determine

the market value of the transaction;

the name of the clearing agency to which

partyId

the security-based swap will be submitted

partyRole

for clearing

whether they have invoked the exception in endUserException

Section 3C(g) of the Exchange Act (15

U.S.C. 78c-3(g));

(d)(6)

(d)(7)

(d)(8)

(d)(9)

a description of the settlement terms

whether the security-based swap is cashsettled or physically settled

the method for determining the settlement

value

The platform ID, if applicable

(d)(10)

the transaction ID of an allocated securitybased swap

(d)(10)

the transaction ID of a terminated securitybased swap

the transaction ID of a novated securitybased swap

the transaction ID of an assigned securitybased swap

(d)(10)

FpML Data Elements

masterAgreement

masterAgreementId

masterAgreement

masterAgreementDate

creditSupportAgreement

identifier

creditSupportAgreement

date

contractualTermsSupplement, et al.

identifier

contractualTermsSupplement, et al.

date

cashSettlementTerms

physicalSettlementTerms

valuationMethod

partyId

partyRole

originatingEvent

originatingTradeId

allocationTradeId

terminatingEvent

originatingTradeId

novation

originatingTradeId

novation

originatingTradeId

§ 901 Ref.

(e)(1)(i)

(e)(1)(ii)

(e)(2)

(f)

(g)

Common Data Model Concept

A life cycle event, and any adjustment due

to a life cycle event, that results in a

change to information previously reported

pursuant to paragraph (c), (d), or (i) of this

section shall be reported by the reporting

side [except that the reporting side shall not

report whether or not a security-based

swap has been accepted for clearing]

Acceptance for clearing

All reports of life cycle events and

adjustments due to life cycle events shall,

within the timeframe specified in

paragraph (j) of this section, be reported to

the entity to which the original securitybased swap transaction will be reported or

has been reported and shall include the

transaction ID of the original transaction.

Time stamp, to the second, its receipt of

any information submitted to it pursuant to

paragraph (c), (d), (e), or (i) of this section.

A transaction ID to each security-based

swap, or establish or endorse a

methodology for transaction IDs to be

assigned by third parties.

FpML Data Elements

originatingEvent

trade

originatingTradeId

timestamps

nonpubliclyReported

originatingTradeId

Table 2: Mapping of common data model data concepts to FIXML data elements. When the FIXML column includes a

list of terms, this means that FIXML expresses the concept as a combination of data elements from that list. Blank entries

mean that the concept does not presently have an exact equivalent in FIXML.

§ 901 Ref. Common Data Model Concept

(c)(1)

Product ID

(c)(1)(i)

(c)(1)(ii)

(c)(1)(iii)

(c)(1)(iv)

Asset Class

Underlying Reference Asset(s)

Underlying Reference Issuer(s)

Underlying Reference Index

Effective Date

Scheduled Termination Date

Terms of any standardized fixed rate

payments

FIXML Data Elements

Prod

SecTyp

PxDtrmnMeth

SettlMeth

SwapClss

SwapSubClss

CFI

Undly

Issr

NdxSeries

EfctvDt

TrmntDt

PmtStrm

CalcDts

§ 901 Ref. Common Data Model Concept

(c)(1)(iv)

(c)(1)(v)

(c)(2)

(c)(3)

(c)(4)

(c)(5)

(c)(6)

(c)(7)

(d)(1)

Frequency of any fixed rate payments

Terms of any standardized floating rate

payments

Frequency of any floating rate payments

Custom Swap Flag

The date and time, to the second, of

execution, expressed using Coordinated

Universal Time (UTC);

The price

The currency in which the price is

expressed

The amount(s) of any up-front payments

The currenc(ies) of any up-front

payments

The notional amount(s)

The currenc(ies) in which the notional

amount(s) is expressed

Inter-Dealer Swap Flag

Intention To Clear Flag

If applicable, any flags pertaining to the

transaction that are specified in the

policies and procedures of the registered

security-based swap data repository to

which the transaction will be reported

The counterparty ID [on the reporting

side]

The execution agent ID [on the reporting

side], as applicable

The counterparty ID [on the nonreporting side]

The execution agent ID of each

counterparty, as applicable

FIXML Data Elements

Amt

Ccy

PmtDts

ResetDts

PmtDts

TrdRegTS

Typ

Src

Ccy

UpfrontPx

Strm

Notl

Ccy

Pty

Typ

ClrIntn

Pty

Src

Sub

Typ

§ 901 Ref. Common Data Model Concept

(d)(1)

[As applicable] the branch ID of the

direct counterparty on the reporting side

(d)(1)

[As applicable] the broker ID of the direct

counterparty on the reporting side

(d)(1)

[As applicable] the execution agent ID of

the direct counterparty on the reporting

side

(d)(2)

[As applicable] the trader ID of the direct

counterparty on the reporting side

(d)(2)

[As applicable] the trading desk ID of the

direct counterparty on the reporting side

(d)(3)

the terms of any fixed or floating rate

payments, or otherwise customized or

non-standard payment streams

(d)(3)

the frequency of any fixed or floating rate

payments, or otherwise customized or

non-standard payment streams

(d)(3)

the contingencies of any fixed or floating

rate payments, or otherwise customized

or non-standard payment streams

(d)(4)

title of any master agreement

(d)(4)

date of any master agreement

title of any collateral agreement

date of any collateral agreement

title of any margin agreement

date of any margin agreement

title of any any other agreement

(d)(4)

(d)(5)

date of any any other agreement

any additional data elements included in

the agreement between the counterparties

that are necessary for a person to

determine the market value of the

transaction

the name of the clearing agency to which

the security-based swap will be submitted

for clearing

whether they have invoked the exception

in Section 3C(g) of the Exchange Act (15

U.S.C. 78c-3(g))

a description of the settlement terms

whether the security-based swap is cashsettled or physically settled

the method for determining the settlement

(d)(6)

(d)(7)

(d)(8)

FIXML Data Elements

PmtDts

ContingencyType

FinDetls

AgmtDesc

AgmtDt

CrdSuprtDesc

CrdSuprtDt

CnfmDesc

BrkrCnfmDesc

CnfmDt

ClrReqmtExcptn

SettlMeth

SettlNdx

§ 901 Ref. Common Data Model Concept

value

(d)(9)

The platform ID, if applicable

(d)(10)

(e)(1)(i)

(e)(1)(ii)

(e)(2)

(f)

(g)

FIXML Data Elements

SettlNdxLctn

Src

the transaction ID of an allocated

AllExc

security-based swap

TransTyp

TrdID

the transaction ID of a terminated

RegTrdID

security-based swap

TrmTyp

TrdID

Novation transaction ID

TrdContntn

OrigTrdID

Side

the transaction ID of an assigned security- AsgnTyp

based swap

TrdID

A life cycle event, and any adjustment

TrdContntn

due to a life cycle event, that results in a

TrdContntn

change to information previously reported

pursuant to paragraph (c), (d), or (i) of

this section shall be reported by the

reporting side [except that the reporting

side shall not report whether or not a

security-based swap has been accepted

for clearing]

Acceptance for clearing

RskLmitChkStat

All reports of life cycle events and

OrigTrdID

adjustments due to life cycle events shall,

within the timeframe specified in

paragraph (j) of this section, be reported

to the entity to which the original

security-based swap transaction will be

reported or has been reported and shall

include the transaction ID of the original

transaction.

Time stamp, to the second, its receipt of

TrdRegTS

any information submitted to it pursuant

to paragraph (c), (d), (e), or (i) of this

Typ

section.

Src

A transaction ID to each security-based

TrdID

swap, or establish or endorse a

methodology for transaction IDs to be

assigned by third parties.

This is a copy of a public record, reproduced as it was published. It is not legal advice, and it may not be the version a court would rely on. Check the official source before you cite it.