Swap Data Recordkeeping and Reporting Requirements

Federal RegisterApr 17, 2020

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COMMODITY FUTURES TRADING COMMISSION

17 CFR Parts 45, 46, and 49

RIN 3038-AE31

Swap Data Recordkeeping and Reporting Requirements

AGENCY:

Commodity Futures Trading Commission.

ACTION:

Notice of proposed rulemaking.

SUMMARY:

The Commodity Futures Trading Commission (“Commission” or “CFTC”) is proposing revisions to the Commission regulations that set forth the swap data recordkeeping and reporting requirements for swap data repositories (“SDRs”), derivatives clearing organizations (“DCOs”), swap execution facilities (“SEFs”), designated contract markets (“DCMs”), swap dealers (“SDs”), major swap participants (“MSPs”), and swap counterparties that are neither SDs nor MSPs. The Commission is proposing revisions that, among other things, streamline the requirements for reporting new swaps, define and adopt swap data elements that harmonize with international technical guidance, and reduce reporting burdens for reporting counterparties that are not SDs or MSPs.

DATES:

Comments must be received on or before May 20, 2020.

ADDRESSES:

You may submit comments, identified by RIN 3038-AE31, by any of the following methods:

•

CFTC Comments Portal: https://comments.cftc.gov.

Select the “Submit Comments” link for this rulemaking and follow the instructions on the Public Comment Form.

•

Mail:

Send to Christopher Kirkpatrick, Secretary of the Commission, Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, DC 20581.

•

Hand Delivery/Courier:

Follow the same instructions as for Mail, above. Please submit your comments using only one of these methods. Submissions through the CFTC Comments Portal are encouraged.

All comments must be submitted in English, or if not, accompanied by an English translation. Comments will be posted as received to

www.cftc.gov.

You should submit only information that you wish to make available publicly. If you wish the Commission to consider information that you believe is exempt from disclosure under the Freedom of Information Act (“FOIA”), a petition for confidential treatment of the exempt information may be submitted according to the procedures established in § 145.9 of the Commission's regulations.

17 CFR 145.9. Commission regulations referred to herein are found at 17 CFR chapter I.

The Commission reserves the right, but shall have no obligation, to review, pre-screen, filter, redact, refuse, or remove any or all of your submission from

www.cftc.gov

that it may deem to be inappropriate for publication, such as obscene language. All submissions that have been redacted or removed that contain comments on the merits of the rulemaking will be retained in the public comment file and will be considered as required under the Administrative Procedure Act and other applicable laws, and may be accessible under the FOIA.

FOR FURTHER INFORMATION CONTACT:

Meghan Tente, Acting Associate Director, (202) 418-5785,

mtente@cftc.gov;

Richard Mo, Special Counsel, (202) 418-7637,

rmo@cftc.gov;

Thomas Guerin, Special Counsel, (202) 734-4194,

tguerin@cftc.gov,

Division of Market Oversight, Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, DC 20581; Kristin Liegel, Surveillance Analyst, (312) 596-0671,

kliegel@cftc.gov,

Division of Market Oversight, Commodity Futures Trading Commission, 525 West Monroe Street, Suite 1100, Chicago, Illinois 60661; Nancy Doyle, Senior Special Counsel, (202) 418-5136,

ndoyle@cftc.gov,

Office of International Affairs; Gloria Clement, Senior Special Counsel, (202) 418-5122,

gclement@cftc.gov;

John Coughlan, Research Economist, (202) 418-5944,

jcoughlan@cftc.gov,

Office of the Chief Economist, in each case at the Commodity Futures Trading Commission, Three Lafayette Centre, 1155 21st Street NW, Washington, DC 20581.

SUPPLEMENTARY INFORMATION:

Table of Contents

I. Background and Introduction

A. Reporting Rules Review

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

C. International Swap Data Reporting Developments

II. Proposed Amendments to Part 45

A. § 45.1—Definitions

B. § 45.2—Swap Recordkeeping

C. § 45.3—Swap Data Reporting: Creation Data

D. § 45.4—Swap Data Reporting: Continuation Data

E. § 45.5—Unique Transaction Identifiers

F. § 45.6—Legal Entity Identifiers

G. § 45.8—Determination of Which Counterparty Shall Report

H. § 45.10—Reporting to a Single SDR

I. § 45.11—Data Reporting for Swaps in a Swap Asset Class Not Accepted by Any SDR

J. § 45.12—Voluntary Supplemental Reporting

K. § 45.13—Required Data Standards

L. § 45.15—Delegation of Authority

III. Proposed Amendments to Part 46

A. § 46.1—Definitions

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

C. § 46.10—Required Data Standards

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

IV. Proposed Amendments to Part 49

A. § 49.2—Definitions

B. § 49.4—Withdrawal From Registration

C. § 49.10—Acceptance and Validation of Data

V. Swap Data Elements Reported to Swap Data Repositories

A. General

B. Swap Data Elements To Be Reported to Swap Data Repositories

VI. Compliance Date

VII. Related Matters

A. Regulatory Flexibility Act

B. Paperwork Reduction Act

C. Cost-Benefit Considerations

D. Antitrust Considerations

I. Background and Introduction

A. Reporting Rules Review

The Commission's swap data reporting regulations were first adopted in 2012 and are located in part 45 of the Commission's regulations.

The regulations require swap counterparties, SEFs, and DCMs to report swap data to SDRs. In 2016, the Commission amended part 45 to clarify the reporting obligations for DCOs and swap counterparties with respect to cleared swaps.

In addition, throughout this time, the Commission has undertaken several efforts to identify, and made recommendations to resolve, swap reporting challenges faced by market participants.

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136 (Jan. 13, 2012).

Amendments to Swap Data Recordkeeping and Reporting Requirements for Cleared Swaps, 81 FR 41736 (June 27, 2016).

See, e.g.,

Review of Swap Data Recordkeeping and Reporting Requirements, Request for Comment, 79 FR 16689 (Mar. 26, 2014); Press Release, CFTC Staff Issues Request for Comment on Draft Technical Specifications for Certain Swap Data Elements (Dec. 22, 2015),

available at https://www.cftc.gov/PressRoom/PressReleases/pr7298-15;

Press Release, CFTC Requests Public Input on Simplifying Rules (May 3, 2017),

available at https://www.cftc.gov/PressRoom/PressReleases/pr7555-17.

The Division of Market Oversight (“Division” or “DMO”) is currently completing an update of the swap reporting rules. On July 10, 2017, the Division announced its Roadmap to Achieve High Quality Swaps Data (“Roadmap”), consisting of a comprehensive review to: (i) Ensure that

the CFTC receives accurate, complete, and high quality data on swaps transactions for its regulatory oversight role; and (ii) streamline reporting, reduce messages that must be reported, and right-size the number of data elements that are reported to meet the agency's priority use-cases for swap data.

See

CFTC Letter 17-33, Division of Market Oversight Announces Review of Swap Reporting Rules in Parts 43, 45, and 49 of Commission Regulations (July 10, 2017),

available at https://www.cftc.gov/idc/groups/public/@lrlettergeneral/documents/letter/17-33.pdf;

Roadmap to Achieve High Quality Swap Data,

available at https://www.cftc.gov/idc/groups/public/@newsroom/documents/file/dmo_swapdataplan071017.pdf.

The Commission received extensive feedback that addressed many swap reporting topics in response to DMO's Roadmap.

Informed by that feedback, the Commission is taking a stepwise approach to amend its rules through separate notices of proposed rulemaking (“NPRMs”) as part of the Roadmap review. First, in May 2019, the Commission published an NPRM to streamline and clarify the Commission's SDR regulations in parts 23, 43, 45, and 49 (the “2019 Part 49 NPRM”).

Among other things, the 2019 Part 49 NPRM proposed modifications to the existing requirements for SDRs to confirm the accuracy of swap data with swap counterparties, and proposed requiring reporting counterparties to verify the accuracy of swap data with SDRs.

Comment letters are available at

https://comments.cftc.gov/PublicComments/CommentList.aspx?id=1824.

The Commission will discuss comment letters in the relevant sections throughout this release.

See

Certain Swap Data Repository and Data Reporting Requirements, 84 FR 21044 (May 13, 2019).

Now, in this release, the Commission is proposing revisions to the part 45 reporting regulations related to the following topics: Simplifying the requirements for reporting swaps; requiring SDRs to validate swap reports; permitting the transfer of swap data between SDRs; alleviating reporting burdens for non-SD/MSP reporting counterparties; and harmonizing the swap data elements counterparties report to SDRs with international technical guidance. The Commission will discuss each of these proposed changes in this release.

In addition, the Commission is proposing amendments to certain part 46 regulations for reporting pre-enactment swaps and transition swaps, primarily to conform to changes the Commission is proposing to part 45.

The Commission is also proposing amendments to certain regulations in part 49 that were not addressed in the 2019 Part 49 NPRM.

Most of the amendments the Commission is proposing to part 49 concern new requirements for SDRs, including proposed requirements to validate SDR data.

See generally

17 CFR part 46.

See generally

17 CFR part 49.

The new requirements proposed for SDRs to validate swap data in § 49.10 are discussed in section IV.C.3 below. The Commission has proposed to define the term “SDR data” in the 2019 Part 49 NPRM. As proposed, “SDR data” would mean the specific data elements and information required to be reported to an SDR or disseminated by an SDR, pursuant to two or more of parts 43, 45, 46, and/or 49, as applicable.

See

2019 Part 49 NPRM at 21047, 21101.

The Commission appreciates the time commenters have taken to explain aspects of the reporting requirements that they believe the Commission could make more efficient. As discussed throughout this release, the Commission believes that the revisions proposed herein address many of these recommendations, as well as several major domestic and international swap reporting developments that have occurred since the Commission originally adopted part 45.

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

Pursuant to section 2(a)(13)(G) of the Commodity Exchange Act (“CEA”), all swaps, whether cleared or uncleared, must be reported to SDRs.

SDRs collect and maintain data related to swap transactions, keeping such data electronically available for regulators or the public.

CEA section 21(b) directs the Commission to prescribe standards for swap data recordkeeping and reporting, which are to apply to both registered entities and counterparties involved with swaps, and be comparable to standards for clearing organizations in connection with clearing of swaps.

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

7 U.S.C. 2(a)(13)(g).

The term “swap data repository” means any person that collects and maintains information or records with respect to transactions or positions in, or the terms and conditions of, swaps entered into by third parties for the purpose of providing a centralized recordkeeping facility for swaps.

See

7 U.S.C. 1a(48). Regulations governing core principles and registration requirements for, and duties of, SDRs are in part 49 of the Commission's regulations.

See generally

17 CFR part 49.

See

7 U.S.C. 24a(b).

See

7 U.S.C. 6r(a)(2)(A) and 7 U.S.C. 2(h)(5);

see also

17 CFR 46.1 (defining “pre-enactment swap” as any swap entered into prior to enactment of the Dodd-Frank Act of 2010 (July 21, 2010), the terms of which have not expired as of the date of enactment of that Act, and “transition swap” as any swap entered into on or after the enactment of the Dodd-Frank Act of 2010 (July 21, 2010) and prior to the applicable compliance date on which a registered entity or swap counterparty subject to the jurisdiction of the Commission is required to commence full compliance with all provisions of part 46.

In 2011, the Commission adopted the part 49 regulations setting forth the specific duties that SDRs are required to comply with to register as an SDR.

In 2012, the Commission adopted the part 45 regulations to implement standards for swap data reporting and recordkeeping

and the part 46 regulations to implement standards for pre-enactment and transition swap recordkeeping and reporting.

In 2016, the Commission amended part 45 to clarify the reporting obligations for cleared swaps.

See generally

Swap Data Repositories: Registration Standards, Duties and Core Principles, 76 FR 54538 (Sept. 1, 2011).

See generally

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136 (Jan. 13, 2012).

See generally

Swap Data Recordkeeping and Reporting Requirements: Pre-Enactment and Transition Swaps, 77 FR 35200 (June 12, 2012).

See generally

Amendments to Swap Data Recordkeeping and Reporting Requirements for Cleared Swaps, 81 FR 41736 (June 27, 2016).

The Commission will discuss relevant sections of the current parts 45, 46, and 49 regulations throughout this release.

C. International Swap Data Reporting Developments

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

to further the goals of improving transparency, mitigating systemic risk, and preventing market abuse. Since November 2014, regulators across major derivatives jurisdictions, including the CFTC, have come together through the Committee on Payments and Market Infrastructures (“CPMI”) and the International Organization of Securities Commissions (“IOSCO”) working group for the harmonization of key OTC derivatives data elements (“Harmonisation Group”) to develop global guidance regarding the definition, format, and usage of key OTC derivatives data elements reported to TRs, including the Unique Transaction Identifier (“UTI”), the Unique Product Identifier (“UPI”), and critical data elements other than UTI and UPI (“CDE”).

See https://www.treasury.gov/resource-center/international/g7-g20/Documents/pittsburgh_summit_leaders_statement_250909.pdf.

In the U.S., trade repositories are called SDRs.

The Harmonisation Group published

Guidance on the Harmonisation of the Unique Transaction Identifier

(“UTI Technical Guidance”)

in February

2017 and

Technical Guidance on the Harmonisation of the Unique Product Identifier

(“UPI Technical Guidance”) in September 2017.

CPMI-IOSCO, Technical Guidance, Harmonisation of the Unique Transaction Identifier

(Feb. 2017),

available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf.

The CFTC's rules currently refer to UTIs as USIs. As discussed in section II.E below, the Commission is proposing to harmonize its unique swap identifier (“USI”) rules with the UTI Technical Guidance, and change USI references to UTI.

CPMI-IOSCO, Technical Guidance, Harmonisation of the Unique Product Identifier (Sept. 2017),

available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf.

The Commission currently requires that each swap subject to its jurisdiction be identified by a USI.

The UTI Technical Guidance, intended by CPMI-IOSCO to help authorities set rules for a uniform global UTI, provided guidance to authorities on the definition, format, generation, and usage of UTIs. Similarly, CPMI-IOSCO intends that the UPI Technical Guidance will result in a unique UPI code that will be assigned to each distinct OTC derivative product. The Commission's rules do not specify a standardized set of swap product data elements. The new CPMI-IOSCO UPI code will map to a set of data comprised of reference data elements with specific values that together describe the swap product.

See

17 CFR 45.5.

In April 2018, the Harmonisation Group published

Technical Guidance on the Harmonisation of Critical OTC Derivatives Data Elements (other than UTI and UPI)

(“CDE Technical Guidance”).

The CDE Technical Guidance provides technical guidance on the definition, format, and allowable values of over 100 critical data elements, other than UTI and UPI, reported to TRs and important for data aggregation by authorities. The harmonized data elements in the CDE Technical Guidance cover data elements ranging from counterparty information, payments, and valuation and collateral to prices and quantities, package trades, and custom baskets.

The CDE Technical Guidance was finalized following consultative reports in September 2015, October 2016, and June 2017.

See

CPMI-IOSCO, Technical Guidance, Harmonisation of Critical OTC Derivatives Data Elements (other than UTI and UPI) (Apr. 2018),

available at https://www.iosco.org/library/pubdocs/pdf/IOSCOPD598.pdf.

Id.

The Commission has played an active role in the development and publication of the CDE Technical Guidance as part of the CPMI-IOSCO working group, alongside representatives from Canada, France, Germany, Hong Kong, Japan, Singapore, and the United Kingdom, among others. Commission staff provided feedback about the data elements, taking into account the Commission's experience with swap data reporting and its use of such data in fulfilling its regulatory responsibilities. Commission staff also participated in the solicitation of responses to three public consultations on the CDE Technical Guidance, along with related industry workshops and conference calls.

See

CPMI-IOSCO, Technical Guidance, Harmonisation of Critical OTC Derivatives Data Elements (other than UTI and UPI) at 9.

Since each authority is responsible for issuing requirements for market participants on OTC derivatives data reporting, the CDE Technical Guidance does not determine which critical data elements are required to be reported in a given jurisdiction. Instead, if CDE Technical Guidance data elements are required to be reported in a given jurisdiction, the CDE Technical Guidance provides the relevant authorities in that jurisdiction guidance on the definition, format, and allowable values for these data elements that would facilitate consistent aggregation at a global level.

II. Proposed Amendments to Part 45

A. § 45.1—Definitions

Section 45.1 contains the definitions for terms used throughout the regulations in part 45. Section 45.1 does not contain any lower paragraph levels. The Commission is proposing to separate § 45.1 into two paragraphs: § 45.1(a) for definitions, and § 45.1(b), which would state that terms not defined in part 45 have the meanings assigned to the terms in Commission regulation § 1.3.

17 CFR 1.3.

The Commission is also proposing to revise the definitions in proposed § 45.1(a). As part of these revisions, the Commission is proposing to add new definitions, and amend or remove certain definitions. As § 45.1 is arranged alphabetically, the Commission has grouped the discussion of its proposed changes to § 45.1 into corresponding categories (

i.e.,

new definitions, amendments, and removal), except as otherwise noted.

1. Proposed New Definitions

The Commission is proposing to add a definition of “allocation” to § 45.1(a). As proposed, “allocation” would mean the process by which an agent, having facilitated a single swap transaction on behalf of clients, allocates a portion of the executed swap to the clients. Section 45.3(f) currently contains regulations for reporting allocations without defining the term. Defining “allocation” should help market participants comply with the regulations for reporting allocations in § 45.3.

The Commission is also proposing to add a definition of “as soon as technologically practicable” (“ASATP”) to § 45.1(a). As proposed, “as soon as technologically practicable” would mean as soon as possible, taking into consideration the prevalence, implementation, and use of technology by comparable market participants. The phrase “as soon as technologically practicable” is currently used throughout part 45, but is not defined. The Commission is proposing to adopt the same definition of “as soon as technologically practicable” as is defined in § 43.2 of the Commission's regulations for the swap transaction and pricing data.

See

17 CFR 43.2 (definition of “as soon as technologically practicable”).

The Commission is also proposing to add a definition of “collateral data” to § 45.1(a). As proposed, “collateral data” would mean the data elements necessary to report information about the money, securities, or other property posted or received by a swap counterparty to margin, guarantee, or secure a swap, as specified in appendix 1 to part 45. This proposed new definition is explained in a discussion of proposed requirements for reporting counterparties to report collateral data in section II.D.4 below.

The Commission is proposing to add definitions for “execution” and “execution date” to § 45.1(a). As proposed, “execution” would mean an agreement by the parties, by any method, to the terms of a swap that legally binds the parties to such swap terms under applicable law.

The term “execution date” would mean the date, determined by reference to eastern time, on which swap execution has occurred. The execution date for a clearing swap that replaces an original swap would be the date, determined by reference to eastern time, on which the original swap has been accepted for clearing. The term “execution” is currently used throughout part 45 but not defined, and the Commission is proposing new regulations that reference “execution date.”

The Commission notes that the proposed definition of “execution” is functionally identical to the existing definition of execution in part 23 of the Commission's regulations.

See

17 CFR 23.200(e) (definition of “execution”).

See

proposed § 45.3(a) and (b), discussed in sections II.C.2.a and II.C.2.b, respectively, below.

The Commission is proposing to add the following three definitions to § 45.1(a): “Global Legal Entity Identifier

System,” “legal entity identifier” or “LEI,” and “Legal Entity Identifier Regulatory Oversight Committee” (“LEI ROC”). As proposed, “Global Legal Entity Identifier System” would mean the system established and overseen by the LEI ROC for the unique identification of legal entities and individuals. As proposed, “legal entity identifier” or “LEI” would mean a unique code assigned to swap counterparties and entities in accordance with the standards set by the Global Legal Entity Identifier System. As proposed, “Legal Entity Identifier Regulatory Oversight Committee” would mean the group charged with the oversight of the Global Legal Entity Identifier System that was established by the finance ministers and the central bank governors of the Group of Twenty nations and the Financial Stability Board, under the Charter of the Regulatory Oversight Committee for the Global Legal Entity Identifier System dated November 5, 2012, or any successor thereof.

These proposed definitions are all associated with, and further explained in the context of, the § 45.6 regulations for LEI, discussed in section II.F below.

https://www.leiroc.org/publications/gls/roc_20190130-1.pdf.

The Commission is proposing to add a definition of “non-SD/MSP/DCO reporting counterparty” to § 45.1(a). As proposed, “non-SD/MSP/DCO reporting counterparty” would mean a reporting counterparty that is not an SD, MSP, or DCO. Currently, DCOs are not included in the term “non-SD/MSP reporting counterparty.” This creates problems when, for instance, the Commission did not intend for DCOs to follow the required swap creation data reporting regulations in § 45.3(d) for off-facility swaps not subject to the clearing requirement with a non-SD/MSP reporting counterparty, even though DCOs are technically reporting counterparties that are neither SDs or MSPs. Instead, DCOs follow the required swap creation data reporting regulations in § 45.3(e) for clearing swaps. The definition of “non-SD/MSP/DCO reporting counterparty” should address this unintended regulatory overlap.

The Commission is proposing to add a definition of “novation” to § 45.1(a). As proposed, “novation” would mean the process by which a party to a swap legally transfers all or part of its rights, liabilities, duties, and obligations under the swap to a new legal party other than the counterparty to the swap under applicable law. This proposed term is currently referenced in the definition of “life cycle event,” as well as the § 45.8(g) regulations for determining which counterparty must report, but is not currently defined.

The Commission is proposing to add a definition of “swap” to § 45.1(a). As proposed, “swap” would mean any swap, as defined by § 1.3, as well as any foreign exchange forward, as defined by CEA section 1a(24), or foreign exchange swap, as defined by CEA section 1a(25).

The term “swap” is used throughout part 45. The proposed definition would codify the meaning of the term as it is currently used throughout part 45.

The Commission notes that while foreign exchange forwards and foreign exchange swaps are excluded from the definition of “swap,” such transactions are nevertheless required to be reported to an SDR.

See

7 U.S.C. 1a(47)(E)(iii) (definition of “swap”).

The Commission is proposing to add definitions of “swap data” and “swap transaction and pricing data” to § 45.1(a). As proposed, “swap data” would mean the specific data elements and information in appendix 1 to part 45 required to be reported to an SDR pursuant to part 45 or made available to the Commission pursuant to part 49, as applicable; “swap transaction and pricing data” would mean all data for a swap in appendix C to part 43 required to be reported or publicly disseminated pursuant to part 43. The term “swap data” is currently used throughout part 45. The Commission believes that having the term “swap data” apply to part 45 data, and “swap transaction and pricing data” apply to part 43 data would provide clarity across the reporting regulations.

The Commission has also proposed to add functionally identical definitions for “swap data” and “swap transaction and pricing data” to part 49 of the Commission's regulations as part of the 2019 Part 49 NPRM.

See

2019 Part 49 NPRM at 21102 (definitions of “swap data” and “swap transaction and pricing data”).

The Commission is proposing to add a definition of “swap data validation procedures” to § 45.1(a). As proposed, “swap data validation procedures” would mean procedures established by an SDR pursuant to proposed § 49.10 to accept, validate, and process swap data reported to an SDR pursuant to part 45. This proposed new definition is explained in a discussion of the proposed regulations for the validation of swap data reported to SDRs in section IV.C.3 below.

The Commission is proposing to add a definition of “unique transaction identifier” to § 45.1(a). As proposed, “unique transaction identifier” would mean a unique alphanumeric identifier with a maximum of 52 characters constructed solely from the upper-case alphabetic characters A to Z or the digits 0 to 9, inclusive in both cases, generated for each swap pursuant to § 45.5. This proposed new definition is used in the discussion of the regulations to transition from using USIs to UTIs. Those proposed changes are explained in section II.E below.

2. Proposed Amendments to Existing Definitions

The Commission is proposing non-substantive minor technical changes to the existing definitions of “asset class,” “derivatives clearing organization,” and “swap execution facility.” The remaining discussion in this section addresses substantive amendments.

The Commission is proposing to amend the definition of “business day” in proposed § 45.1(a). Currently, § 45.1 defines “business day” to mean “the twenty-four hour day, on all days except Saturdays, Sundays, and legal holidays, in the location of the reporting counterparty or registered entity reporting data for the swap.”

The Commission is proposing to replace “the twenty-four hour day” with “each twenty-four hour day,” and “legal holidays, in the location of the reporting counterparty” with “Federal holidays.” The Commission believes these changes would simplify the current business day definition by removing the responsibility of determining different legal holidays depending on the reporting counterparty's location. The proposed amended definition is used in a discussion of proposed changes to the timing requirements for reporting swap creation data and required swap continuation data in current and proposed §§ 45.3 and 45.4. Those proposed changes are explained in sections II.C and II.D, respectively, below.

17 CFR 45.1 (definition of “business day”).

The Commission is proposing to amend the definition of “life cycle event” in proposed § 45.1(a). Currently, § 45.1 defines “life cycle event” to mean any event that would result in either a change to a primary economic term of a swap or to any primary economic terms data (“PET data”) previously reported to an SDR in connection with a swap. Examples of such events include, without limitation, a counterparty change resulting from an assignment or novation; a partial or full termination of the swap; a change to the end date for the swap; a change in the cash flows or rates originally reported; availability of an LEI for a swap counterparty previously identified by name or by some other identifier; or a corporate action affecting a security or

securities on which the swap is based (

e.g.,

a merger, dividend, stock split, or bankruptcy). The Commission is proposing to replace the reference to PET data with required swap creation data.

The Commission is also proposing to replace a reference to a counterparty being identified in swap data by “name” with other identifiers to account for situations where counterparties are identified by other means.

The removal of the term PET data is reflected in the discussion of the proposed changes to the required swap creation data and required swap continuation data regulations in §§ 45.3 and 45.4. Those proposed changes are explained in sections II.C and II.D, respectively, below.

The Commission is proposing to amend the definition of “non-SD/MSP counterparty” in proposed § 45.1(a). Currently, § 45.1 defines “non-SD/MSP counterparty” to mean a swap counterparty that is neither an SD nor an MSP. The Commission is proposing to change the defined term to “non-SD/MSP/DCO counterparty.”

As amended, “non-SD/MSP/DCO counterparty” would mean a swap counterparty that is not an SD, MSP, or DCO. This amendment would conform to the amendments proposed to the term “non-SD/MSP/DCO reporting counterparty” explained in section II.A.1 above.

The Commission is proposing to update all references to “non-SD/MSP counterparty” to “non-SD/MSP/DCO counterparty” throughout part 45. To limit repetition, the Commission will not discuss each removal of the phrase throughout this release.

The Commission is proposing to amend the definition of “required swap continuation data” in proposed § 45.1(a). Currently, § 45.1 defines “required swap continuation data” to mean all of the data elements that must be reported during the existence of a swap to ensure that all data concerning the swap in the SDR remains current and accurate, and includes all changes to the PET terms of the swap occurring during the existence of the swap. The definition further specifies that for this purpose, required swap continuation data includes: (i) All life cycle event data for the swap if the swap is reported using the life cycle reporting method, or all state data for the swap if the swap is reported using the snapshot reporting method; and (ii) all valuation data for the swap.

First, the Commission is proposing to remove the reference to “primary economic terms of the swap.”

Second, the Commission is proposing to remove the reference to snapshot reporting.

Third, the Commission is proposing to add a reference to the margin and collateral data that would be required to be reported pursuant to proposed § 45.4(c)(2). As amended, the definition would mean all of the data elements that shall be reported during the existence of a swap to ensure that all swap data concerning the swap in the SDR remains current and accurate, and includes all changes to the required swap creation data occurring during the existence of the swap. For this purpose, required swap continuation data includes: (i) All life cycle event data for the swap; and (ii) all swap valuation, margin, and collateral data for the swap.

The removal of the term PET data is reflected in the discussion of the proposed changes to the required swap creation data and required swap continuation data regulations in §§ 45.3 and 45.4. Those proposed changed are explained in sections II.C and II.D, respectively, below.

The removal of state data reporting is reflected in the discussion of the proposed changes to the required swap continuation data regulations in § 45.4. Those proposed changes are explained in section II.D below.

The Commission is proposing to amend the definition of “required swap creation data” in § 45.1(a). Currently, § 45.1 defines “required swap creation data” to mean all PET data for a swap in the swap asset class in question, and all confirmation data for the swap. The Commission is proposing to replace the reference to PET data and confirmation data with a reference to the swap data elements in appendix 1 to part 45. This proposed amended definition is explained in a discussion of the proposal to eliminate the requirement to report confirmation data in section II.C below.

The Commission is proposing to amend the definition of “valuation data” in § 45.1(a). Currently, § 45.1 defines “valuation data” to mean all of the data elements necessary to fully describe the daily mark of the transaction, pursuant to CEA section 4s(h)(3)(B)(iii),

and § 23.431 of the Commission's regulations, if applicable. The Commission is proposing to include a reference to the swap data elements in appendix 1 to part 45. This proposed amended definition is explained in a discussion of the proposal to amend the valuation reporting requirements in § 45.4 in section II.D below.

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

3. Proposed Removal of Definitions

The Commission is proposing to remove the following definitions from § 45.1: “credit swap;” “designated contract market;” “foreign exchange forward;” “foreign exchange instrument;” “foreign exchange swap;” “interest rate swap;” “major swap participant;” “other commodity swap;” “state data;” “swap data repository;” and “swap dealer.” The Commission is proposing to remove these definitions to eliminate redundancy because the terms are already generally defined in § 1.3 of the Commission's regulations or in CEA section 1a.

7 U.S.C. 1a.

The Commission is also proposing to remove the following definitions from § 45.1: “confirmation;” “confirmation data;” “electronic confirmation;” “non-electronic confirmation;” “primary economic terms;” and “primary economic terms data.” These definitions are being removed as part of the proposed amendments to combine PET data and confirmation data into a single required swap creation data report. These proposed amendments are explained in section II.C below.

The Commission is proposing to remove the definition of “quarterly reporting” from § 45.1. Currently, § 45.4(d)(2)(ii) requires non-SD/MSP reporting counterparties to provide quarterly reports of valuation data. The Commission is proposing to remove this requirement for non-SD/MSP reporting counterparties, as explained in section II.D.4 below. As a result, the definition of “quarterly reporting” in § 45.1 is no longer necessary.

The Commission is also proposing to remove the definitions of “electronic verification,” “non-electronic verification,” and “verification” from § 45.1. Currently, certain deadlines for reporting required swap creation data for off-facility swaps in § 45.3 depend on whether verification occurs electronically.

The Commission is proposing to amend the deadlines for reporting counterparties to report required swap creation data in § 45.3. As part of these proposed amendments, the deadlines would no longer depend on verification.

Therefore, the definitions related to verification in this context would no longer be necessary.

For instance, current § 45.3(c)(1)(i)(A) requires reporting counterparties to report all PET data for a swap ASATP or within 30 minutes of execution if verification occurs electronically.

See

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

These proposed amendments are discussed in section II.C below.

The Commission is proposing to remove the definition of “international swap” from § 45.1. Currently, § 45.1 defines “international swap” to mean a swap required by U.S. law and the law of another jurisdiction to be reported both to an SDR and to a different TR registered with the other jurisdiction. The proposal to remove this definition is explained in a discussion of the Commission's proposal to remove the requirements for international swaps in § 45.3(i). Those proposed changes are explained in section II.C.6 below.

Request for Comment

The Commission requests comments on all aspects of the proposed changes to § 45.1. The Commission also invites specific comment on the following:

(1) Does the Commission's proposed definition of “execution date” present problems for SEFs, DCMs, SDRs, or reporting counterparties? Should the Commission instead adopt a definition that aligns with other regulations, including, for instance, the definition of “day of execution” in § 23.501(a)(5)(i)?

For the purposes of § 23.501, “day of execution” means the calendar day of the party to the swap transaction that ends latest, provided that if a swap transaction is—(a) entered into after 4:00 p.m. in the place of a party; or (b) entered into on a day that is not a business day in the place of a party, then such swap transaction shall be deemed to have been entered into by that party on the immediately succeeding business day of that party, and the day of execution shall be determined with reference to such business day. 17 CFR 23.501(a)(5)(i). For the purposes of § 23.501, “business day” means any day other than a Saturday, Sunday, or legal holiday. 17 CFR 23.501(a)(5)(ii).

B. § 45.2—Swap Recordkeeping

The Commission is proposing amendments to the § 45.2 swap recordkeeping regulations. The proposed amendments are technical and do not impact the existing requirements or applicability of § 45.2.

The proposed technical amendments to § 45.2 are limited to updating terminology and phrasing to improve consistency in the reporting regulations, and to conform to changes proposed elsewhere in part 45.

In the 2019 Part 49 NPRM, the Commission proposed relocating the recordkeeping requirements for SDRs from § 45.2(f) and (g) to § 49.12.

See

2019 Part 49 NPRM at 21103. The request for comment for § 45.2(f) and (g), as well as any associated cost-benefit analysis, is in the 2019 Part 49 NPRM.

See id.

at 21084-85.

For instance, in this release, the Commission is proposing a technical amendment to remove the phrase “subject to the jurisdiction of the Commission” from § 45.2. The Commission is proposing to remove this phrase from all of part 45.

The phrase is unnecessary, as the Commission's regulations apply to all swaps or entities within the Commission's jurisdiction, regardless of whether the regulation states the fact.

To limit repetition, the Commission will not discuss each removal throughout this release.

C. § 45.3—Swap Data Reporting: Creation Data

1. Introductory Text

The Commission is proposing to remove the introductory text to § 45.3. As background, the introductory text to § 45.3 provides a broad overview of the swap data reporting regulations for registered entities and swap counterparties. In providing this overview, the introductory text to § 45.3 cross-references reporting regulations in parts 17, 18, 43, 45, 46, and 50.

The introductory text also specifies that § 45.3(a) through (d) applies to all swaps except clearing swaps, and § 45.3(e) applies to clearing swaps.

The introductory text to current § 45.3 references: The § 45.13(b) regulations related to required data standards for reporting swap data to SDRs; the § 49.10 regulations requiring SDRs to accept swap data; the part 46 regulations for reporting pre-enactment swaps and transition swaps; the § 45.4 regulations for reporting required swap continuation data; the § 45.6 regulations for the use of LEIs; the real-time public reporting requirements in part 43; the part 50 regulations for counterparties to report electing the end-user exception from clearing; and the parts 17 and 18 regulations for large trader reporting.

The Commission believes that the introductory text is superfluous because the scope of § 45.3 is clear from the operative provisions of § 45.3.

Removing the introductory text would not impact any regulatory requirements, including those referenced in the introductory text.

The Commission is proposing to move the reference in the introductory text to required data standards for SDRs in § 45.13(b) to the regulatory text of proposed § 45.3(a) and (b) and renumber it from § 45.13(b) to § 45.13(a).

2. § 45.3(a) Through (e)—Swap Data Reporting: Creation Data

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

The Commission is proposing several changes to the § 45.3(a) required swap creation data reporting regulations for swaps executed on or pursuant to the rules of a SEF or DCM. Current § 45.3(a) requires that SEFs and DCMs report all PET data for swaps ASATP after execution. If the swap is not intended to be cleared at a DCO, § 45.3(a) requires that the SEF or DCM also report confirmation data for the swap ASATP after execution.

The Commission is first proposing to revise the § 45.3(a) requirement for SEFs and DCMs to submit both PET data and confirmation data for swaps that are not intended to be cleared at a DCO. As background, PET data reporting includes the reporting of approximately sixty swap data elements, varying by asset class, enumerated in appendix 1 to part 45.

Confirmation data reporting includes reporting all of the terms of a swap matched and agreed upon by the counterparties in confirming a swap.

See

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

See

17 CFR 45.1 (definition of “confirmation data”). The Commission is proposing to remove the definition of “confirmation data” from § 45.1, as discussed in section II.A.3 above. “Confirmation” is defined as the consummation of legally binding documentation that memorializes the agreement of the parties to all terms of a swap. 17 CFR 45.1 (definition of “confirmation”).

By the terms of the two definitions, PET data, which is a set number of data elements for each asset class, appears to be a subset of confirmation data, which is defined as, “all terms of a swap . . . .” In defining two separate data sets, the Commission intended that that the initial PET data report would ensure that an SDR would have sufficient data on each swap for the Commission to perform its regulatory functions while the more complete confirmation data may not yet be available.

See

77 FR at 2142, 2148.

However, the current § 45.3 PET data and confirmation data requirements may be encouraging the reporting of duplicative information to SDRs. One of the PET data elements in current appendix 1 to part 45 is “[a]ny other term(s) . . . matched or affirmed by the counterparties in verifying the swap.” The comments to this “catch-all” data element in appendix 1 to part 45 instruct reporting counterparties, SEFs, DCMs, and DCOs to use “as many data elements as required to report each such term.”

The Commission believes that this catch-all has obscured the difference between PET data and confirmation data. The Commission is concerned that reporting counterparties, SEFs, and DCMs are submitting duplicative reports to meet the distinct, yet seemingly indistinguishable, regulatory requirements at the expense of data quality.

17 CFR 45 appendix 1.

For instance, in reviewing 49,766 part 45 credit default swap reports from June 1, 2019 to June 7, 2019, Commission staff found that out of the 12,336 swap reports submitted by SEFs and DCMs, 5,883 reports were duplicative in that they related to swaps that had already been reported, while SDs submitted 645 reports that were similarly duplicative out of 22,264 total.

DMO requested comment on whether to combine PET data and confirmation data into a single, clearly defined, and electronically reportable set of data elements as part of the Roadmap review.

Several commenters supported combining PET and confirmation data as a way to streamline reporting.

One commenter supported

viewing PET data and confirmation data as a single set of data elements, which would remove confusion in the industry as to what must be reported as part of confirmation data.

Other commenters requested that, if the Commission maintains a separate confirmation data reporting requirement, it specify what data elements should be in confirmation data.

See

Roadmap to Achieve High Quality Swap Data at 7.

Letter from Global Foreign Exchange Division (“GFXD”) of the Global Financial Markets Association (“GFMA”) (Aug. 21, 2017) at 6-7; Letter from LedgerX (Aug. 18, 2017) at 1; Letter

from The International Swaps and Derivatives Association (“ISDA”) and The Securities Industry and Financial Markets Association (“SIFMA”) (“Joint ISDA-SIFMA Letter”) (Aug. 21, 2017) at 7; Letter from Chatham Financial (“Chatham”) (Aug. 21, 2017) at 5.

Letter from The Depository Trust & Clearing Corporation (“DTCC”), which owns DTCC Data Repository (U.S.), LLC (“DDR”) (Aug. 21, 2017) at 2, n.4.

Joint letter from Bloomberg SDR LLC (“BSDR”), Chicago Mercantile Exchange Inc. (“CME”), and ICE Trade Vault, LLC (“Joint SDR Letter”) (Aug. 21, 2017) at 6. BSDR voluntarily withdrew its provisional SDR registration on March 21, 2019.

Other regulators have taken different approaches to required swap creation data reporting. The Securities and Exchange Commission (“SEC”), for instance, does not have rules for reporting separate confirmation data reports.

In the European Union (“EU”), the European Market Infrastructure Regulation (“EMIR”)

requires reporting of the details of any derivative contract counterparties have concluded and of any modification or termination of the contract. The European Securities and Markets Authority (“ESMA”) then develops the specific technical standards and requirements for the implementation of reporting.

See generally

17 CFR 242.901.

Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories, Article 9(1) (July 4, 2012) (requiring reporting after execution without reference to separate reports); Commission Implementing Regulation (EU) No 1247/2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories, Article 1 (Dec. 19, 2012) (referencing “single” reports under Article 9 of Regulation (EU) No 648/2012).

The Commission believes eliminating the confirmation data reporting requirement would help streamline swap data reporting under part 45. Therefore, the Commission is proposing to revise § 45.3(a) to require SEFs and DCMs to report a single required swap creation data report, regardless of whether the swap is intended to be cleared.

Second, the Commission is proposing to revise the § 45.3(a) requirement for SEFs and DCMs to report required swap creation data ASATP following execution. As background, the CEA requires that all swaps be reported to SDRs, but does not specify the timeframes for reporting swap data to SDRs for regulatory purposes under sections 2(a)(13)(G) and 4r(a).

See

7 U.S.C. 2(a)(13)(G) (“Each swap (whether cleared or uncleared) shall be reported to a registered [SDR]”);

see also

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2150.

When part 45 was adopted in 2012, the Commission believed that reporting swap data immediately following execution was important to further the objectives of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”).

Reporting swap data ASATP would ensure that swap data is reported to SDRs in a manner that ensures the ability of the Commission and other regulators to fulfill the systemic risk mitigation, market transparency, position limit monitoring, and market surveillance objectives of the Dodd-Frank Act.

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2150.

See id.

at 2149.

The Commission is concerned that the ASATP deadline for regulatory reporting may be causing reporting counterparties to hastily report required swap creation data that has contributed to data quality issues. As a result, the Commission is considering extending the deadline for required swap creation data in a way that will continue to permit it to fulfill the systemic risk mitigation, market transparency, position limit monitoring, and market surveillance objectives of the Dodd-Frank Act.

DMO requested comment on whether to move to a new “T+1” reporting timeline for part 45 in the Roadmap to understand whether additional reporting time would be beneficial.

DMO suggested a “T+1” timeline would involve reporting required swap creation data on the next business day following execution.

DMO further noted that a “T+1” standard would encourage alignment with the reporting deadlines established by the SEC and ESMA.

In response, several commenters expressed support for moving part 45 reporting to “T+1” or a similar delayed time.

See

Roadmap to Achieve High Quality Swap Data at 10.

See id.

The SEC requires primary and secondary trade information be reported within 24 hours of execution on the next business day. 17 CFR 242.901(j). The SEC noted that commenters raised concerns that unreasonably short reporting timeframes would result in the submission of inaccurate transaction information, and that the SEC's interim 24-hour reporting timeframe § 901(j) strikes an appropriate balance between the need for prompt reporting of security-based swap transaction information and allowing reporting entities sufficient time to develop fast and robust reporting capability.

See

Regulation SBSR—Reporting and Dissemination of Security-Based Swap Information, 80 FR 14564, 14623-64 (Mar. 19, 2015). ESMA requires reporting no later than the working day following execution. Regulation (EU) No 648/2012 Article 9(1).

Letter from Chatham at 5; Letter from CME (Aug. 21, 2017) at 2; Letter from the London Clearing House, Ltd. (“LCH”) (Aug. 21, 2017) at 3; Letter from GFMA at 7-8; Joint SDR Letter at 10.

The Commission believes this extended reporting timeline could help improve data quality while encouraging alignment with reporting deadlines set by other regulators. The Commission is therefore proposing to revise § 45.3(a) to extend the deadline for SEFs and DCMs to report required swap creation data to T+1 following the execution date. Revised § 45.3(a) would therefore require that for each swap executed on or pursuant to the rules of a SEF or DCM, the SEF or DCM shall report swap creation data electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the next business day following the execution date.

b. § 45.3(b) Through (d)—Off-Facility Swaps

The Commission is proposing several changes to the current § 45.3(b) through (d) required swap creation data reporting regulations for off-facility swaps. Many of the proposed changes to requirements in § 45.3(b) through (d) would conform to the revisions proposed in the previous sections to the requirements for swaps executed on SEFs and DCMs.

The current required swap creation data reporting obligations for off-facility swaps are based on the type of swap and type of reporting counterparty. In general, for off-facility swaps subject to the Commission's clearing requirement, § 45.3(b) requires that SD/MSP reporting counterparties report PET data ASATP after execution, with a 15-minute deadline, while non-SD/MSP reporting counterparties report PET data ASATP after execution with a one business hour deadline.

17 CFR 45.3(b)(1)(i) and (ii).

For off-facility swaps that are not subject to the clearing requirement but have an SD/MSP reporting counterparty, § 45.3(c)(1) now generally requires that SD/MSP reporting counterparties report PET data ASATP after execution with a 30-minute deadline, and confirmation data for swaps that are not intended to be cleared ASATP with a 30 minute deadline if confirmation is electronic, or ASATP with a 24 business hour

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

17 CFR 45.3(c)(1)(i) through (ii).

Section 45.3(c)(2) currently requires that for swaps in the other commodity asset class, SD/MSP reporting counterparties report PET data ASATP after execution, with a two-hour deadline, and confirmation data for swaps that are not intended to be cleared ASATP after confirmation with a 30-minute deadline if confirmation is electronic, or a 24 business hour deadline if confirmation is not electronic.

17 CFR 45.3(c)(2)(i) through (ii).

For off-facility swaps that are not subject to the clearing requirement but have a non-SD/MSP reporting counterparty, § 45.3(d) requires reporting counterparties report PET data ASATP after execution with a 24 business hour deadline, and confirmation data ASATP with a 24 business hour deadline if the swap is not intended to be cleared.

17 CFR 45.3(d).

The Commission's proposed changes to § 45.3(b) through (d) fall into three categories, discussed below.

First, as part of a restructuring of regulations in § 45.3(a) through (d), the Commission is proposing to replace § 45.3(b) through (d) with new § 45.3(b), titled “Off-facility swaps.” This proposed new § 45.3(b) would contain the swap creation data reporting requirements for off-facility swaps. The new timing requirements for reporting off-facility swaps would depend on whether the reporting counterparty is an SD/MSP/DCO or a non-SD/MSP/DCO reporting counterparty. This means the timing requirements in § 45.3(b) would include the required swap creation data reporting requirements for clearing swaps, as they are created at DCOs.

Sections 45.3(c) through (d) would be replaced by provisions for allocations and multi-asset swaps, as discussed in the following sections.

As part of this change, the Commission is proposing to move the requirements for reporting required swap creation data for clearing swaps from § 45.3(e) to new § 45.3(b).

Second, the Commission is proposing to revise the requirement in § 45.3(b) through (d) for reporting counterparties to submit separate PET data and confirmation data for all off-facility swaps that are not intended to be cleared at a DCO. The background to this change is discussed in section II.C.2.a above. As with swaps executed on SEFs and DCMs, the Commission believes a single report would align with the approach taken by other regulators, improve data quality, and be responsive to Roadmap comments.

Third, the Commission is proposing to revise the § 45.3(b) through (d) requirements for reporting counterparties to report required swap creation data ASATP after execution with different deadlines for off-facility swaps.

The background to this amendment is discussed in section II.C.2.a above, in the context of SEF/DCM/DCO reporting.

With respect to off-facility swaps, one Roadmap commenter explained that the current requirement for SD/MSP reporting counterparties to report uncleared swaps in § 45.3(c)(1) within 30 minutes means that reporting counterparties are inputting data before the trade is confirmed, resulting in modifications as terms are finalized.

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

One commenter requested that, if the Commission maintains confirmation data reporting, the deadline for reporting that data coincide with the deadline for issuing confirmations under § 23.501.

Letter from GFMA at 7.

Letter from the Commercial Energy Working Group (“CEWG”) (Aug. 21, 2017) at 4.

Joint SDR Letter at 6. The regulation provides SDs and MSPs entering into swaps with SD/MSP counterparties must execute confirmations ASATP but in any event by the end of the first business day following the day of execution. 17 CFR 23.501(a)(1).

The Commission is proposing to revise the required swap creation data reporting deadlines in § 45.3(a) through (d) for off-facility swaps in two new regulations: § 45.3(b)(1) and § 45.3(b)(2). New § 45.3(b)(1) would require that SD/MSP/DCO reporting counterparties report swap creation data to an SDR by T+1 following the execution date. This standard would be consistent with the standard proposed for SEFs and DCMs in § 45.3(a). The Commission believes this standard would also address commenters' concerns about needing more time to report to avoid modifications to the data, and would allow for errors identified during the confirmation process to be corrected prior to reporting.

New § 45.3(b)(2) would require that non-SD/MSP/DCO reporting counterparties report swap creation data to an SDR not later than T+2 following the execution date. The Commission anticipates that proposed § 45.3(b)(2) would provide non-SD/MSP/DCO reporting counterparties relief in reporting swap creation data for the minority of off-facility swaps in which both counterparties are non-SD/MSP/DCO counterparties. This extended deadline reflects the Commission's interest in relieving some of the swap data reporting burdens previously imposed on end users in a way that should also help improve data quality.

Therefore the Commission is proposing revised § 45.3(b) to require that for each off-facility swap, the reporting counterparty shall report electronically to an SDR as provided by § 45.3(b)(1) or (b)(2), as applicable.

Proposed § 45.3(b)(1) would require that if the reporting counterparty is an SD, MSP, or DCO, the reporting counterparty shall report swap creation data electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the next business day following the execution date.

Proposed § 45.3(b)(2) would require that if the reporting counterparty is a non-SD/MSP/DCO counterparty, the reporting counterparty shall report required swap creation data electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the second business day following the execution date.

c. § 45.3(e)—Clearing Swaps

As noted above, the Commission is proposing to move the required swap creation data reporting requirements for clearing swaps from § 45.3(e) to revised § 45.3(b)(1). The required swap creation data reporting requirements would be covered under the “off-facility swaps” regulations, as clearing swaps are created at DCOs. As background, § 45.3(e) currently requires that DCOs report required swap creation data for clearing swaps ASATP after clearing or execution, depending on whether the swap is replacing an original swap. Current § 45.3(e) specifies that required swap creation data for clearing swaps includes all confirmation data and PET data.

Consolidating the requirements for DCOs to report swap creation data in § 45.3(b) with those of SD/MSP reporting counterparties would simplify the reporting requirements. Revised § 45.3(b)(1) would require that SD/MSP/DCO reporting counterparties report required swap creation data to an SDR not later than T+1 following the execution date.

This would extend the time DCOs have to report required swap creation data for clearing swaps pursuant to § 45.3(e) from ASATP after

clearing or execution to T+1 following the execution date.

The background to this proposed amendment is discussed in connection with the proposed amendment to the required swap creation data reporting deadlines for off-facility swaps, discussed in section II.C.2.b above.

While the Commission is proposing to extend the time DCOs have to report required swap creation data, the Commission recognizes that DCOs are required to clear swaps ASATP after execution as if fully automated systems were used.

The Commission therefore expects that DCO reporting counterparties may continue to report ASATP, especially if their reporting and clearing processes are connected. However, proposed § 45.3(b)(1) would provide DCOs with the opportunity to change their reporting practices to take advantage of the additional time.

17 CFR 39.12(b)(7)(ii) and (iii).

3. § 45.3(f)—Allocations

The Commission is proposing several amendments to the § 45.3(f) regulations for reporting allocations, including re-designating it as § 45.3(c).

As background, § 45.3(f)(1) provides that the reporting counterparty to an initial swap with an allocation agent reports required swap creation data for the initial swap, including a USI. For the post-allocation swaps, § 45.3(f)(2)(i) provides that the agent must tell the reporting counterparty the identities of the actual counterparties ASATP after execution, with a deadline of eight business hours. Section 45.3(f)(2)(ii) provides that the reporting counterparty must create USIs for the swaps and report all required swap creation data for each post-allocation swap ASATP after learning the identities of the counterparties. Section 45.3(f)(2)(iii) provides that the SDR to which the initial and post-allocation swaps were reported must map together the USIs of the initial swap and each post-allocation swap.

The Commission is proposing to redesignate current § 45.3(f) as § 45.3(c) to reflect the consolidation of § 45.3(b) through (d) into § 45.3(b) discussed above.

The Commission is proposing to specify that required swap creation data for allocations must be reported “electronically” to SDRs in § 45.3(c), (c)(1), and (c)(2)(ii). This should be current practice for reporting allocations to SDRs.

The Commission is also proposing to replace the reference in § 45.3(f)(1) (re-designated as § 45.3(c)(1)) to “§ 45.3(a) through (d)” with a reference to paragraphs (a) or (b) of § 45.3, to reflect the structural revisions to § 45.3(a) through (d) discussed above. Because the Commission is proposing to extend the time to report required swap creation data in § 45.3(a) and (b), reporting counterparties would have additional time to report required swap creation data for the initial swaps as well.

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

to replace the requirement to report required swap creation data for post-allocation swaps ASATP after learning the identities of the actual counterparties with a cross-reference to § 45.3(b). This would give reporting counterparties until T+1 or T+2, depending on their status, to report required swap creation data for the allocated swaps, for reasons previously explained.

The Commission is not proposing to revise the § 45.3(f)(2)(i) requirement (re-designated as § 45.3(c)(2)(i)) for the agent to inform the reporting counterparty of the identities of the reporting counterparty's actual counterparties ASATP after execution, with an eight business hour deadline. Reporting counterparties will still need to know their actual counterparties, and the eight hour deadline is consistent with other regulations for allocations.

See

17 CFR 1.35(b)(5)(iv).

Finally,

the Commission is proposing to remove § 45.3(f)(2)(iii) without re-designation. One of the swap data elements the Commission is to require is an event data element.

One of the events in this data element will be “allocation,” which would require reporting counterparties to indicate whether a swap is associated with an allocation.

The Commission is also proposing several non-substantive minor and technical language edits, but is limiting discussion in this section to substantive amendments.

The swap data elements required to be reported to SDRs are discussed in section V below.

The Commission preliminarily believes this would simplify the current process involving SDRs mapping data elements. The Commission believes these data elements would also provide clarity to reporting counterparties, who are the parties with the information needed to map the data elements even though the rule placed the obligation on SDRs. As a result, the Commission believes removing § 45.3(f)(2)(iii) without re-designation will result in a better process for reporting counterparties and SDRs that should also help improve data quality.

Therefore, in light of the above proposed amendments, revised § 45.3(c)(1) would require that the initial swap transaction between the reporting counterparty and the agent shall be reported as required by § 45.3(a) or (b), as applicable. Section 45.3(c)(1) would also require that a UTI for the initial swap transaction be created as provided in § 45.5.

Section 45.3(c)(2)(i) would continue to provide that the agent shall inform the reporting counterparty of the identities of the reporting counterparty's actual counterparties resulting from allocation, ASATP after execution, but not later than eight business hours after execution. Section 45.3(c)(2)(ii) would require that the reporting counterparty report required swap creation data, as required by § 45.3(b), for each swap resulting from allocation to the same SDR to which the initial swap transaction is reported. Section 45.3(c)(2)(ii) would also provide that the reporting counterparty shall create a UTI for each such swap as required in § 45.5.

4. § 45.3(g)—Multi-Asset Swaps

The Commission is proposing several amendments to the current § 45.3(g) regulations for reporting multi-asset swaps, proposed to be re-designated as § 45.3(d). Section 45.3(g) now provides that for each multi-asset swap, required swap creation data and required swap continuation data must be reported to a single SDR that accepts swaps in the asset class treated as the primary asset class involved in the swap by the SEF, DCM, or reporting counterparty making the first report of required swap creation data pursuant to § 45.3. Current § 45.3(g) also provides that the registered entity or reporting counterparty making the first report of required swap creation data report all PET data for each asset class involved in the swap.

The Commission is proposing to amend § 45.3(g) (re-designated as § 45.3(d)) to replace the reference to “making the first report” of required swap creation data with “reporting” required swap creation data. This would reflect the Commission's proposal to require a single report for required swap creation data, instead of separate PET data and confirmation data reports.

See

sections II.C.2.a and II.C.2.b above.

The Commission is also proposing to remove the last sentence of the regulation concerning all PET data for each asset class involved in the swap. This sentence is unnecessary, and would no longer be relevant with the Commission's proposal to remove PET data from its regulations.

Therefore, new § 45.3(d) would require that required swap creation data and required swap continuation data be reported to a single SDR that accepts swaps in the asset class treated as the primary asset class involved in the swap by the SEF, DCM, or reporting counterparty reporting required swap creation data pursuant to § 45.3.

5. § 45.3(h)—Mixed Swaps

The Commission is proposing several conforming or otherwise non-substantive amendments to § 45.3(h) for

mixed swaps, including re-designating it as § 45.3(e). Current § 45.3(h)(1) requires that for each mixed swap, required swap creation data and required swap continuation data shall be reported to an SDR registered with the Commission and to a security-based SDR (“SBSDR”) registered with the SEC. This requirement may be satisfied by reporting the mixed swap to an SDR or SBSDR registered with both Commissions. Current § 45.3(h)(2) requires that the registered entity or reporting counterparty making the first report of required swap creation data pursuant to § 45.3(h) shall ensure that the same USI is recorded for the swap in both the SDR and the SBSDR.

For instance, as with proposed § 45.3(d) for multi-asset swaps and for the same reason, the Commission is proposing to replace “making the first report” of required swap creation data with “reporting” required swap creation data in re-designated § 45.3(e)(2) to improve readability.

Therefore, § 45.3(e)(1) would require that for each mixed swap, required swap creation data and required swap continuation data shall be reported to an SDR and to a SBSDR registered with the SEC.

Amended § 45.3(e)(2) would require that the registered entity or reporting counterparty reporting required swap creation data pursuant to § 45.3(h) ensure that the same UTI is recorded for the swap in both the SDR and the SBSDR.

Section 45.3(e)(1) would continue to provide that the requirement may be satisfied by reporting the mixed swap to an SDR or SBSDR registered with both Commissions.

6. § 45.3(i)—International Swaps

The Commission is proposing to remove the § 45.3(i) regulations for international swaps. Section 45.3(i) requires that for each international swap, the reporting counterparty must report to an SDR the identity of the non-U.S. TR to which the swap is also reported and the swap identifier used by the non-U.S. TR. “International swaps” are defined in § 45.1 as swaps required to be reported by U.S. law and the law of another jurisdiction to be reported to both an SDR and to a different TR registered with the other jurisdiction.

The Commission is proposing to remove the definition of “international swap” from § 45.1, as discussed in section II.A.3 above.

When § 45.3(i) was adopted, the Commission believed that the regulations for international swaps were necessary to provide an accurate picture of the swaps market to regulators to further the purposes of the Dodd-Frank Act.

However, if the same swap is reported to different jurisdictions, the USI, or UTI, as discussed in section II.E below, should be the same. If the transaction identifier is the same for the swap, there would be no need for the counterparties to send the identifier to other jurisdictions. In addition, in the future, regulators should have global TR access, further obviating the need for reporting counterparties sending identifiers to multiple jurisdictions.

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2151.

As a result, the Commission believes that § 45.3(i) is no longer necessary and is proposing to remove § 45.3(i) from its regulations.

7. § 45.3(j)—Choice of SDR

The Commission is proposing non-substantive amendments to § 45.3(j) for reporting counterparties in choosing their SDR, including re-designating it as § 45.3(f). As background, § 45.3(j) now requires that the entity with the obligation to choose the SDR to which all required swap creation data for the swap is reported shall be the entity that is required to make the first report of all data pursuant to § 45.3, as follows: (i) For swaps executed on or pursuant to the rules of a SEF or DCM, the SEF or DCM shall choose the SDR; (ii) for all other swaps, the reporting counterparty, as determined in § 45.8, shall choose the SDR.

For instance, the Commission is proposing to change the heading of newly re-designated § 45.3(f) from “Choice of SDR” to “Choice of swap data repository” to be consistent with other headings throughout part 45.

Therefore, with the proposed amendments, § 45.3(f) would require that for swaps executed on or pursuant to the rules of a SEF or DCM, the SEF or DCM shall choose the SDR, and for all other swaps, the reporting counterparty, as determined in § 45.8, shall choose the SDR.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to § 45.3. The Commission also invites specific comment on the following:

(2) Is the Commission's proposed T+1 deadline for reporting required swap creation data appropriately harmonized with the deadlines set by other regulators and jurisdictions?

(3) Does the Commission's proposed T+1 deadline create any problems for SEFs, DCMs, SDRs, or reporting counterparties by referencing eastern time? Should the Commission instead adopt a definition that aligns with other regulations, including, for instance, the definition of “day of execution” in § 23.501(a)(5)(i)?

(4) Do any of the Commission's proposed changes to the timing deadlines for reporting required swap creation data in § 45.3 raise issues with the sequencing of messages for SDRs that could compromise data quality? For instance, could a T+1 deadline for reporting original swaps and clearing swaps create problems for SDRs in processing swap terminations? Could the 8-hour delay for the allocation agent notifying the reporting counterparty of the actual counterparty's identity create timing message sequencing issues for allocation reporting?

D. § 45.4—Swap Data Reporting: Continuation Data

1. Introductory Text

The Commission is proposing to remove the introductory text to § 45.4 for the same reasons it is proposing to remove the introductory text to § 45.3.

Removing the introductory text would not impact any regulatory requirements, including those referenced in the introductory text.

See

discussion in II.C.1 above. The introductory text to § 45.4 references: The § 45.13(b) regulations for required data standards for reporting swap data to SDRs; the § 49.10 regulations for SDRs to accept swap data; the part 46 regulations for reporting pre-enactment swaps and transition swaps; the § 45.3 regulations for reporting required swap creation data; the § 45.6 regulations for the use of LEIs; the real-time public reporting requirements in part 43; and the parts 17 and 18 regulations for large trader reporting.

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

The Commission is proposing several changes to § 45.4(a), which concerns required swap continuation data reporting. Section 45.4(a) requires that reporting counterparties and DCOs

required to report swap continuation data must do so in a manner sufficient to ensure that all data in the SDR for a swap remains current and accurate, and includes all changes to the PET data of the swap occurring during the existence of the swap. Current § 45.4(a) further specifies that reporting entities and counterparties fulfill their obligations by reporting, within the applicable deadlines set forth in § 45.4, the following: (i) Life cycle event data to an SDR that accepts only life cycle event data reporting; (ii) state data to an SDR that accepts only state data reporting; or (iii) either life cycle event data or state data to an SDR that accepts both life cycle event data and state data reporting.

SEFs and DCMs do not have reporting obligations with respect to required swap continuation data. DCOs are reporting counterparties for clearing swaps, and are thus responsible for reporting required swap continuation data for these swaps. However, DCOs also have required swap continuation data obligations for original swaps, to which DCOs are not counterparties. As a result, § 45.4(a) must

address reporting counterparties and DCOs separately.

First, the Commission is proposing to revise the first two sentences. The first two sentences state that “for each swap, regardless of asset class, reporting counterparties and [DCOs] required to report swap continuation data must do so in a manner sufficient to ensure that all data in the [SDR] concerning the swap remains current and accurate, and includes all changes to the [PET data] of the swap occurring during the existence of the swap. Reporting entities and counterparties fulfill this obligation by reporting either . . . .” The Commission is proposing to replace the text with “for each swap, regardless of asset class, reporting counterparties and [DCOs] required to report required swap continuation data shall report . . . .” to improve readability without changing the regulatory requirement substantively.

Second, the Commission is proposing to remove state data reporting as an option for reporting changes to swaps from § 45.4. As background, state data reporting involves reporting counterparties re-reporting the PET terms of a swap every day, regardless of whether any changes have occurred to the terms of the swap since the last state data report.

In contrast, life cycle event data reporting involves reporting counterparties re-submitting the PET terms of a swap when an event has taken place that results in a change to the previously reported terms of the swap.

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

17 CFR 45.1 (definition of “life cycle event”). The Commission is proposing to amend the definition of “life cycle event data” in § 45.1, as discussed in section II.A.2 above.

The Commission is proposing to eliminate state data reporting because it would improve data quality without impeding the Commission's ability to fulfill the systemic risk mitigation, market transparency, position limit monitoring, and market surveillance objectives of the Dodd-Frank Act. In adopting part 45, the Commission gave reporting counterparties the option of reporting changes to swaps by either the state data reporting method or life cycle event method to provide flexibility.

The Commission is concerned that the option for state data reporting may be contributing to data quality issues by filling SDRs with unnecessary swap messages.

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2153.

The Commission estimates that state data reporting messages represent the vast majority of swap reports maintained by SDRs and the Commission.

The large number of state data reporting messages has complicated the Commission's use of swap data. For instance, determining the changes that occurred over time to a five-year swap reported via state data reporting would require Commission staff to analyze all swap data elements on over 1,800 (360 × 5 = 1,800) state data swap reports associated with the swap.

For instance, an analysis of part 45 data showed that during January 2018, SDRs received approximately 30 million state data reporting messages, which included over 77% of all interest rate swap reports submitted to SDRs during that time period. Since reporting began, the Commission estimates that SDRs have received and made available to the Commission over a billion state data reporting messages.

Other regulators have taken approaches that are less receptive to state data reporting. The SEC, for instance, stated that “Regulation SBSR would not prevent a registered SDR from developing for its members a mechanism or other service that automates or facilitates the production of life cycle events from state data.”

However, with respect to state data reporting generally, the SEC noted that it “is not sufficient merely to re-report all of the terms of the security-based swap each day without identifying which data elements have changed.”

Similarly, ESMA requires maintaining a reporting log containing the reporting of “modifications” to the data registered in TRs.

With these modifications, ESMA requires the identity of the person or persons requesting the modification, including the TR itself if applicable, the reason or reasons for such modification, a date and timestamp, and a clear description of the changes, including the old and new contents of the relevant data.

See

Regulation SBSR—Reporting and Dissemination of Security-Based Swap Information, 80 FR 14564, 14640 n.692. The SEC explained that its § 901(e)(1) “requires the reporting of a life cycle event . . . that results in a change to information previously reported pursuant to [§ ] 901(c), 901(d), or 901(i). Thus, Rule 901(e)(1) contemplates the reporting of the specific changes to previously reported information. Reports of life cycle events, therefore, must clearly identify the nature of the life cycle event for each security-based swap.”

Id.

Commission Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories, Article 4 (Dec. 19, 2012).

Id.

In light of the foregoing, the Commission is proposing to remove the option for state data reporting in § 45.4. The Commission preliminarily believes that this would simplify swap reporting by significantly reducing swap message traffic to only those messages corresponding with a change in the terms of a swap. All terms would continue to be reported with each change, but the event and action type swap data elements would indicate the changes that have been made to the swap transaction.

This approach would facilitate the Commission's analysis of swap data by drastically reducing the number of messages that would need to be analyzed for each swap. Moreover, this approach would be consistent with the approach taken by other regulators.

The swap data elements required to be reported to SDRs are discussed in section V below.

Therefore, proposed § 45.4(a) would require that for each swap, regardless of asset class, reporting counterparties and DCOs required to report required swap continuation data shall report life cycle event data for the swap electronically to an SDR in the manner provided in § 45.13(a) within the applicable deadlines set forth in § 45.4.

The deadlines for reporting required swap continuation data are discussed in the following two sections.

3. § 45.4(b)—Continuation Data Reporting for Clearing Swaps

The Commission is proposing several revisions to the § 45.4(b) required swap continuation data reporting requirements for clearing swaps. First, the Commission is proposing to move the § 45.4(b) required swap continuation data reporting regulations for clearing swaps to revised § 45.4(c). The Commission is then proposing to redesignate current § 45.4(c) as § 45.4(b). Current § 45.4(c) contains the continuation data reporting regulations for original swaps. As revised, newly re-designated § 45.4(b) would be titled

“Continuation data reporting for original swaps.”

Revised § 45.4(c) would contain the continuation data reporting requirements for all swaps other than original swaps, which would include clearing swaps. The revisions to the continuation data requirements for clearing swaps and uncleared swaps are discussed in section II.D.4 below. The revisions to the continuation data requirements for original swaps in revised § 45.4(b) will be discussed in this section.

Second, the Commission is proposing several amendments to the continuation data reporting regulations for original swaps in § 45.4(c), proposed to be redesignated as § 45.4(b). Current § 45.4(c) requires that required swap continuation data, including terminations, must be reported to the SDR to which the original swap that was accepted for clearing was reported pursuant to § 45.3(a) through (d).

For continuation data, § 45.4(c)(1) requires: (i) Life cycle event data or state data reporting either on the same day that any life cycle event occurs with respect to the swap, or daily for state data reporting; and (ii) daily valuation data. In addition, § 45.4(c)(2) requires the reporting of: (i) The LEI of the SDR to which all required swap creation data for each clearing swap was reported by the DCO pursuant to § 45.3(e); (ii) the USI of the original swap that was replaced by the clearing swaps; and (iii) the USI of each clearing swap that replaces a particular original swap.

The regulation also specifies the information must be reported in the manner provided in § 45.13(b) and in § 45.4, and must be accepted and recorded by such SDR as provided in § 49.10. 17 CFR 45.4(c).

The Commission is proposing to extend the deadline for reporting swap continuation data for original swaps in § 45.4(c)(1). As explained in sections II.C.2.a and II.C.2.b above, the Commission is proposing to extend the deadlines for reporting required swap creation data in § 45.3 for swaps executed on SEFs and DCMs and those executed off-facility to either T+1 or T+2, depending on the reporting counterparty.

As a result, the Commission reviewed the reporting deadlines for required swap continuation data to ensure the amendments to the required swap creation data reporting deadlines do not conflict.

The background to these proposed amendments is discussed in connection with the proposed revisions to the required swap creation data reporting deadlines in § 45.3(a) and (b), discussed in sections II.C.2.a and II.C.2.b, respectively, above.

In reviewing the continuation data reporting deadlines, the Commission also considered those set by other regulators. For instance, the SEC requires that any events that would result in a change in the information reported to a SBSDR be reported within 24 hours of the event taking place.

EMIR similarly requires that contract modifications be reported no later than the working day following the modification.

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Both the SEC and ESMA generally have the same deadlines for reporting new swaps as well as amendments, though the deadline may be more than 24 hours in Europe depending on when the trade was concluded and if the following day is a working day.

17 CFR 242.900(g); 17 CFR 242.901(e).

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Reg. 648/2012 Art. 9(1).

Original swaps are swaps that are accepted for clearing by a DCO. Because they are cleared, the original swap reporting counterparties do not report continuation data for original swaps to SDRs. However, the Commission believes aligning the required swap creation data deadlines with the required swap continuation data deadlines would be consistent with the approach taken by other regulators. In light of the foregoing, the Commission is proposing to extend the deadline for reporting continuation data for original swaps to T+1 following any life cycle event.

The Commission is also proposing to remove the references to state data reporting

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in § 45.4(b) and to clarify that required swap continuation data must be reported “electronically.” As explained earlier in this proposal, this should be current practice. In addition, the Commission is proposing to update various cross references and make non-substantive language edits to improve readability.

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The background to this proposed amendment is discussed in connection with the proposed removal of the state data reporting regulations from § 45.4(a), discussed in section II.D.2 above.

Therefore, proposed § 45.4(b) would require that for each original swap, the DCO shall report required swap continuation data, including terminations, electronically to the SDR to which the swap that was accepted for clearing was reported pursuant to § 45.3 in the manner provided in § 45.13(a) and in § 45.4, and such required swap continuation data shall be accepted and recorded by such SDR as provided in § 49.10. Revised § 45.4(b)(1) would require that the DCO that accepted the swap for clearing shall report all life cycle event data electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the next business day following the day, as determined according to eastern time, that any life cycle event occurs with respect to the swap.

Revised § 45.4(b)(2) would continue to require that in addition to all other required swap continuation data, life cycle event data shall include: (i) The LEI of the SDR to which all required swap creation data for each clearing swap was reported by the DCO pursuant to § 45.3(b); (ii) the UTI of the original swap that was replaced by the clearing swaps; and (iii) the UTI of each clearing swap that replaces a particular original swap.

4. § 45.4(c)—Continuation Data for Original Swaps

The Commission is proposing several amendments to the § 45.4(c) regulations for reporting required swap continuation data for original swaps. First, the Commission is proposing to move the required swap continuation data reporting requirements for original swaps from § 45.4(c) to § 45.4(b). The Commission is proposing to move the continuation data reporting requirements for clearing swaps from § 45.4(b) to § 45.4(c), and combine them with the continuation data reporting requirements for uncleared swaps currently located in § 45.4(d). The Commission is proposing to retitle § 45.4(c) “Continuation data reporting for swaps other than original swaps” to reflect the combination.

The Commission is proposing several revisions to the continuation data reporting regulations for clearing swaps and uncleared swaps in § 45.4(b) and (d), respectively, which are proposed to be redesignated as § 45.4(c). The revisions to the continuation data requirements for original swaps are discussed in section II.D.3 above. The revisions to the continuation data requirements for clearing swaps and uncleared swaps to be combined in revised § 45.4(c) will be discussed below in this section.

Current § 45.4(b) requires that for all clearing swaps, DCOs must report: (i) Life cycle event data or state data reporting either on the same day that any life cycle event occurs with respect to the swap, or daily for state data reporting; and (ii) daily valuation data. Current § 45.4(d) requires that for all uncleared swaps, including swaps executed on a SEF or DCM, the reporting counterparty must report: (i) All life cycle event data on the same day for SD/MSP reporting counterparties, or the second business day if it relates to a corporate event of the non-reporting counterparty, or state data daily; (ii) all

life cycle event data on the next business day for non-SD/MSP reporting counterparties, or the end of the second business day if it relates to a corporate event of the non-reporting counterparty, or state data daily; (iii) daily valuation data for SD/MSP reporting counterparties; and (iv) the current daily mark of the transaction as of the last day of each fiscal quarter, within 30 calendar days of the end of each fiscal quarter for non-SD/MSP reporting counterparties.

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If a daily mark of the transaction is not available for the swap, the reporting counterparty satisfies the requirement by reporting the current valuation of the swap recorded on its books in accordance with applicable accounting standards. 17 CFR 45.4(d)(2)(ii).

The Commission is proposing to revise the life cycle event reporting deadlines for these swaps to reflect the revisions proposed to the § 45.3(b) required swap creation data reporting deadlines and the § 45.4(b) original swap continuation data reporting deadlines.

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The Commission is proposing to change the life cycle event reporting deadline for SD/MSP/DCO reporting counterparties from the same day to T+1 following any life cycle event.

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The Commission is proposing to update the exception for corporate events of the non-reporting counterparty to T+2.

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The background to these proposed revisions is discussed in connection with the proposed revisions to the required swap creation data reporting deadlines for off-facility swaps in revised § 45.3(b) and the required swap continuation data deadlines for original swaps in § 45.4(b), discussed in sections II.C.2.b and II.D.3, respectively, above.

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The Commission is not similarly proposing to extend the valuation data reporting deadline for SD/MSP/DCO reporting counterparties. The Commission preliminarily believes that valuation data should not be similarly delayed because SDs, MSPs, and DCOs are already creating daily valuations and tracking margin and collateral for reasons independent of their swap reporting obligations.

For non-SD/MSP/DCO reporting counterparties, the Commission is proposing to change the life cycle event reporting deadline to T+2 following the life cycle event.

The Commission is also proposing to remove the references to state data reporting in revised § 45.4(c).

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The Commission is also proposing to clarify that required swap continuation data must be reported “electronically.” The Commission is also proposing to update various cross references and make non-substantive language edits to improve readability.

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The background to this proposed amendment is discussed in connection with the proposed removal of the state data reporting regulations from § 45.4(a), discussed in section II.D.2 above.

The Commission is also proposing revisions to the requirements for reporting swap valuation data for all reporting counterparties. As background, DCOs, SDs, and MSPs report valuation data daily, while non-SD/MSP reporting counterparties report the daily mark of transactions quarterly.

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For DCO, SD, and MSP reporting counterparties, the Commission is proposing to maintain the daily reporting requirement. However, the Commission is proposing to expand the requirement to include margin and collateral data.

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106

17 CFR 45.4(b)(2) and (d)(2).

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The Commission is proposing to add a definition of “collateral data” to § 45.1(a), as discussed in section II.A.1 above. As proposed “collateral data” would mean the data elements necessary to report information about the money, securities, or other property posted or received by a swap counterparty to margin, guarantee, or secure a swap, as specified in appendix 1 to part 45.

As background, the Commission decided not to require collateral data reporting when it adopted part 45 in 2012. At the time, both the Commission and industry understood that collateral information was important for systemic risk management, but was not yet possible to include in transaction-based reporting since it was calculated at the portfolio level.

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In light of this limitation, the Commission required that the daily mark be reported for swaps as valuation data, but not collateral.

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However, the Commission noted that while the industry had not yet developed data elements suitable for representing the terms required to report collateral, the Commission could revisit the issue in the future if and when industry and SDRs develop ways to represent electronically the terms required for reporting collateral.

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108

Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2153.

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17 CFR 45.1 (definition of “valuation data”). The Commission is proposing to amend the definition of “valuation data” in § 45.1(a), as discussed in section II.A.2 above. As amended, “valuation data” would mean the data elements necessary to report information about the daily mark of the transaction, pursuant to CEA section 4s(h)(3)(B)(iii), and to § 23.431 if applicable, as specified in appendix 1 to part 45.

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Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136, 2154.

The Commission is concerned that not having margin and collateral data impedes its ability to fulfill the systemic risk mitigation objectives of the Dodd-Frank Act. As a result, the Commission is revisiting this issue as the Commission noted in 2012 to determine whether it is now feasible.

DMO raised the issue of and received comments on new margin and collateral reporting as part of the Roadmap review. Some commenters opposed such reporting,

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with one recommending that the Commission look for alternative means to collect the data.

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One commenter indicated that increased harmonization with ESMA on issues such as margin data collection could be helpful.

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Letter from American Counsel of Life Insurers (“ACLI”) (Aug. 21, 2017) at, 2-3 (asserting that margin data would not “be constructive” and the burden would outweigh any benefit); Letter from CEWG at 3; Joint ISDA-SIFMA Letter at 8.

112

Joint ISDA-SIFMA Letter at 8.

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Letter from Chatham at 5.

Other regulators have taken different approaches to margin and collateral data reporting. The SEC does not require reporting of any valuation data or margin and collateral data, for security-based swaps.

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ESMA, in contrast, requires the reporting of many of the same collateral and margin swap data elements the Commission is proposing to require, either on a portfolio basis or by transaction.

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With respect to valuation data, ESMA requires central counterparties to report valuations for cleared swaps as the Commission does.

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EMIR does provide an exemption from valuation reporting, as well as reporting margin and collateral data, for non-financial counterparties, unless they exceed a threshold of derivatives activity.

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114

Regulation SBSR—Reporting and Dissemination of Security-Based Swap Information, 80 FR 14564, 14590 (noting that SEC will continue to assess the reporting and public dissemination regime under Regulation SBSR and could determine to propose additional requirements, such as the reporting of valuations, as necessary or appropriate.).

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The collateral and margin data elements themselves are included below in section V.

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Reg. 148/2013 Art. 3(5).

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Reg. 148/2013 Art. 3(4); Reg. 648/2012 Art. 10.

The Commission believes margin and collateral data is necessary to monitor risk in the swaps market. Given that ESMA is already requiring collateral reporting, and that the Commission is proposing to require many of the swap data elements that ESMA requires, the Commission believes industry is ready to report this data to SDRs.

However, the Commission is concerned that valuation, margin, and collateral data reporting could create a significant burden for non-SD/MSP/DCO reporting counterparties. The Commission is aware that these entities may be smaller and less active in the swaps market, with fewer resources to devote to reporting this complex data. The Commission also recognizes that the quarterly valuation data these counterparties report is not integral to the Commission's ability to monitor systemic risk in the swaps market and may not justify the cost to these entities to report it. The Commission is therefore proposing to remove the current requirement for non-SD/MSP/DCO

reporting counterparties to report valuation data in § 45.4(d)(2)(ii). The Commission is also proposing not to require non-SD/MSP/DCO reporting counterparties to report margin and collateral data. The Commission preliminarily believes this would relieve these counterparties from unnecessary burdens without impacting the Commission's ability to monitor systemic risk. The Commission also notes this change would be consistent with the approach taken by ESMA (and the SEC, insofar as the SEC does not require reporting of margin and collateral data from any type of market participant).

In light of the foregoing, the Commission is proposing to require margin and collateral reporting for reporting counterparties that are SDs, MSPs, and DCOs in § 45.4(c)(2). Proposed § 45.4(c) would require that for each swap that is not an original swap, including clearing swaps and swaps not cleared by a DCO, the reporting counterparty report all required swap continuation data electronically to an SDR in the manner provided in § 45.13(a) as provided in § 45.4(c). Proposed § 45.4(c)(1)(i) would require that SD/MSP/DCO reporting counterparties report life cycle event data electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the next business day following the day, as determined according to eastern time, that any life cycle event occurred, with the sole exception that life cycle event data relating to a corporate event of the non-reporting counterparty shall be reported in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the second business day following the day, as determined according to eastern time, that such corporate event occurred.

Proposed § 45.4(c)(1)(ii) would require that non-SD/MSP/DCO reporting counterparties report life cycle event data electronically to an SDR in the manner provided in § 45.13(a) not later than 11:59 p.m. eastern time on the second business day following the day, as determined according to eastern time, that any life cycle event occurred.

Proposed § 45.4(c)(2) would require that SD/MSP/DCO reporting counterparties report swap valuation data and collateral data electronically to an SDR in the manner provided in § 45.13(b) each business day.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to § 45.4. The Commission also invites specific comment on the following:

(5) Are the Commission's proposed T+1 and T+2 deadlines for reporting required swap continuation data appropriately harmonized with the deadlines set by other regulators and jurisdictions to benefit market participants? Do the Commission's proposed T+1 and T+2 deadlines for reporting required swap continuation data create any operational issues for reporting counterparties that the Commission has not considered?

(6) Is the requirement to report margin and collateral data without distinction for whether a swap is cleared or uncleared redundant with existing part 39 reporting requirements for cleared swaps? Are there efficiencies for reporting counterparties to submit both cleared and uncleared margin and collateral data together to SDRs?

(7) Does the Commission's proposal to no longer require non-SD/MSP/DCO reporting counterparties to report valuation data raise any concerns about the Commission's ability to monitor systemic risk in the U.S. swaps market?

E. § 45.5—Unique Transaction Identifiers

The Commission is proposing amendments to § 45.5 for USIs. In general, the Commission is proposing to amend § 45.5(a) through (f) to require each swap to be identified with a UTI in all recordkeeping and all swap data reporting, and to require that the UTI be comprised of the LEI of the generating entity and a unique alphanumeric code. The proposed amendments to § 45.5(a) through (f) are discussed in sections II.E.1 to II.E.7 below.

In general, § 45.5 requires each swap to be identified with a USI in all recordkeeping and all swap data reporting, and requires that the USI be comprised of the identifier assigned by the Commission to the generating entity and a unique alphanumeric code. In response to the Roadmap, the Commission received comment letters supporting adoption of the UTI and UPI standards as part of the review.

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Joint ISDA-SIFMA Letter at 4; Joint SDR Letter at 7.

Because the current USI requirement was implemented prior to global consensus on the structure and format for a common swap identifier, the Commission preliminarily believes that amending § 45.5 to require each swap to be identified with a UTI in all recordkeeping and all swap data reporting and to require that the UTI be comprised of the LEI of the generating entity and a unique alphanumeric code will result in the structure and format for the swap identifier being consistent with the UTI Technical Guidance, reduce cross-border reporting complexity and encourage global swap data aggregation.

1. Title and Introductory Text

The Commission is proposing several conforming amendments to the § 45.5 title and the introductory text. Current § 45.5 is titled “Unique swap identifiers.” The current introductory text states that each swap subject to the jurisdiction of the Commission shall be identified in all recordkeeping and all swap data reporting pursuant to part 45 by the use of a USI, which shall be created, transmitted, and used for each swap as provided in § 45.5(a) through (f).

The Commission is proposing to replace “swap” in the title with “transaction” to reflect the Commission's proposed adoption of the UTI. Accordingly, the Commission is also proposing to update the reference to USI with UTI in the introductory text.

The Commission is also proposing to update the reference to paragraphs (a) through (f) of § 45.5 to (a) through (h) of § 45.5. This amendment would reflect the Commission's proposed addition of § 45.5(g) and (h), discussed in sections II.E.8 and II.E.9 below.

Therefore, in light of the above proposed amendments, the introductory text would state that each swap shall be identified in all recordkeeping and all swap data reporting pursuant to part 45 by the use of a UTI, which shall be created, transmitted, and used for each swap as provided in paragraphs (a) through (h) of § 45.5.

2. § 45.5(a)—Swaps Executed on or Pursuant to the Rules of a SEF or DCM

The Commission is proposing several conforming amendments to § 45.5(a) for the creation and transmission of USIs for swaps executed on or pursuant to the rules of SEFs and DCMs. Current § 45.5(a)(1) requires that for swaps executed on or pursuant to the rules of SEFs and DCMs, SEFs and DCMs generate and assign USIs at or ASATP following execution, but prior to the reporting of required swap creation data, that consist of a single data field containing: (i) The unique alphanumeric code assigned to the SEF or DCM by the Commission for the purpose of identifying the SEF or DCM with respect to the USI creation; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the SEF or DCM, which shall be unique with respect to all such codes

generated and assigned by that SEF or DCM.

119

17 CFR 45.5(a)(1)(i) through (ii).

Current § 45.5(a)(2) requires that the SEF or DCM transmit the USI electronically: (i) To the SDR to which the SEF or DCM reports required swap creation data for the swap, as part of that report; (ii) to each counterparty to the swap ASATP after execution of the swap; and (iii) to the DCO, if any, to which the swap is submitted for clearing, as part of the required swap creation data transmitted to the DCO for clearing purposes.

120

17 CFR 45.5(a)(2)(i) through (iii).

First, the Commission is proposing amendments to conform to the Commission's proposed adoption of the UTI. The Commission is proposing to replace all references to USIs with UTIs in § 45.5(a)(1) through (2). In addition, the Commission is proposing to update the phrase in § 45.5(a)(1) that the USI shall consist of a single data “field” that contains two components to a single data “element with a maximum length of 52 characters” so that the length of the UTI is consistent with the UTI Technical Guidance.

121

UTI Technical Guidance, Section 3.6.

The Commission is also proposing to amend § 45.5(a)(1)(i) describing the first component of the UTI's single data element to replace “unique alphanumeric code assigned to” the SEF or DCM with “legal entity identifier of” the SEF or DCM so that the identifier used to identify the UTI generating entity is consistent with the UTI Technical Guidance.

122

The Commission is also proposing to delete the phrase in the second half of the sentence stating “by the Commission for the purpose of identifying the [SEF] or [DCM] with respect to the [USI] creation,” because, according to the UTI Technical Guidance, an LEI is used to identify the UTI generating entity instead of an identifier assigned by individual regulators.

122

UTI Technical Guidance, Section 3.5.

Therefore, in light of the above proposed changes, § 45.5(a)(1)

123

would require that for swaps executed on or pursuant to the rules of SEFs or DCMs, SEFs and DCMs generate and assign UTIs at or ASATP following execution, but prior to the reporting of required swap creation data, that consist of a single data element with a maximum length of 52 characters containing: (i) The LEI of the SEF or DCM; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the SEF or DCM, which shall be unique with respect to all such codes generated and assigned by that SEF or DCM.

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Current § 45.5(a)(2) would remain unchanged, except for the single updated reference to UTI in § 45.5(a)(2).

3. § 45.5(b)—Off-Facility Swaps With an SD or MSP Reporting Counterparty

The Commission is proposing several amendments to § 45.5(b) for the creation and transmission of USIs for off-facility swaps by SD/MSP reporting counterparties. Current § 45.5(b)(1) requires that for off-facility swaps with SD/MSP reporting counterparties, the reporting counterparty generate and assign a USI ASATP consisting of a single data field. The single data field is to contain: (i) The unique alphanumeric code assigned to the SD or MSP by the Commission at the time of its registration for the purpose of identifying them with respect to USI creation; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the SD or MSP, which shall be unique with respect to all such codes generated and assigned by that SD or MSP. The required USI is to be generated and assigned after execution of the swap and prior to the reporting of required swap creation data and the transmission of data to a DCO if the swap is to be cleared.

Current § 45.5(b)(2) requires that the reporting counterparty transmit the USI electronically: (i) To the SDR to which the reporting counterparty reports required swap creation data for the swap, as part of that report; and (ii) to the non-reporting counterparty to the swap, ASATP after execution of the swap; and (iii) to the DCO, if any, to which the swap is submitted for clearing, as part of the required swap creation data transmitted to the DCO for clearing purposes.

First, the Commission is proposing to expand the UTI creation and transmission requirements for SD/MSP reporting counterparties to include reporting counterparties that are financial entities.

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The Commission preliminarily believes that amending § 45.5(b) to extend the responsibility for generating off-facility swap UTIs to reporting counterparties that are financial entities will reduce the UTI-generation burden on non-financial entities.

124

17 CFR 45.1 (definition of “financial entity”).

The Commission also believes this would more closely align the UTI generation hierarchy with the reporting counterparty determination hierarchy in § 45.8, which incorporates financial entities for purposes of determining the reporting counterparty.

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For example, in an off-facility swap where neither counterparty is an SD nor MSP and only one counterparty is a financial entity, the counterparty that is a financial entity will be the reporting counterparty,

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yet the SDR would generate the USI under current § 45.5(c).

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The proposed changes to § 45.5(b) would ensure that for such swap, the financial entity would be assigned to both the reporting counterparty and to generate the UTI. This amendment to § 45.5(b) would also reduce the number of swaps for which SDRs would be required to generate the UTI.

125

17 CFR 45.8.

126

17 CFR 45.8(c).

127

17 CFR 45.5(c).

The Commission is also proposing conforming changes. These are to replace “swap dealer or major swap participant reporting counterparty” in the title to § 45.5(b) with “financial entity reporting counterparty” and to replace “swap dealer or major swap participant” in the first sentence of § 45.5(b) with “financial entity.” As proposed, the new title of § 45.5(b) would be “Off-facility swaps with a financial entity reporting counterparty” and the first sentence of § 45.5(b) would begin with “For each off-facility swap where the reporting counterparty is a financial entity . . . .”

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The Commission is similarly proposing to replace references to “swap dealer or major swap participant” in § 45.5(b)(1)(i) and (ii) with “reporting counterparty.”

129

128

See

row “45.5(b)” of the table in section VIII.3 below.

129

See

row “45.5(b)(1)(ii)” of the table in section VIII.3 below.

Second, the Commission is proposing amendments to conform to the Commission's proposed adoption of the UTI. The Commission is proposing to replace all references to USIs with UTIs in § 45.5(b)(1) through (2). In addition, the Commission is proposing to update the phrase in § 45.5(b)(1) that the USI shall consist of a single data “field” that contains two components to a single data “element with a maximum length of 52 characters” so that the length of the UTI is consistent with the UTI Technical Guidance.

130

UTI Technical Guidance, Section 3.6.

The Commission is also proposing to amend § 45.5(b)(1)(i) describing the first component of the UTI's single data element to replace “unique alphanumeric code assigned to” the SD or MSP with “legal entity identifier of” the reporting counterparty so that the identifier used to identify the UTI generating entity is consistent with the UTI Technical Guidance.

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The

Commission is also proposing to delete the phrase in the second half of the sentence stating “by the Commission at the time of its registration as such, for the purpose of identifying the [SD] or [MSP] with respect to the [USI] creation,” because, according to the UTI Technical Guidance, an LEI is used to identify the UTI generating entity instead of an identifier assigned by individual regulators.

131

UTI Technical Guidance, Section 3.5.

Therefore, in light of the above proposed changes, § 45.5(b)(1)

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would require that for off-facility swaps with a financial entity reporting counterparty, the reporting counterparties generate and assign UTIs at or ASATP following execution, but prior to the reporting of required swap creation data, that consist of a single data element with a maximum length of 52 characters containing: (i) The LEI of the reporting counterparty; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the reporting counterparty, which shall be unique with respect to all such codes generated and assigned by that reporting counterparty.

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Current § 45.5(b)(2) would remain unchanged, except for the single updated reference to UTI in § 45.5(b)(2).

4. § 45.5(c)—Off-Facility Swaps With a Non-SD/MSP Reporting Counterparty

The Commission is proposing several amendments to § 45.5(c) for the creation and transmission of USIs for off-facility swaps by non-SD/MSP reporting counterparties. Current § 45.5(c)(1) requires that for off-facility swaps with non-SD/MSP reporting counterparties, the SDR generates and assigns a USI ASATP after receiving the first report of PET data consisting of a single data field containing: (i) The unique alphanumeric code assigned to the SDR by the Commission at the time of its registration for the purpose of identifying them with respect to USI creation; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the SDR, which shall be unique with respect to all such codes generated and assigned by that SDR.

Current § 45.5(c)(2) requires that the SDR transmit the USI electronically: (i) To the counterparties to the swap ASATP after creation of the USI, and (ii) to the DCO, if any, to which the swap is submitted for clearing ASATP after creation of the USI.

First, the Commission is proposing to replace “non-SD/MSP reporting counterparty” in the title to § 45.5(c) with “non-SD/MSP/DCO reporting counterparty that is not a financial entity” and to replace “reporting counterparty is a non-SD/MSP counterparty” in the first sentence of § 45.5(c) with “reporting counterparty is a non-SD/MSP/DCO counterparty that is not a financial entity.” As proposed, the new title of § 45.5(c) would be “Off-facility swaps with a non-SD/MSP/DCO reporting counterparty that is not a financial entity” and the first sentence of § 45.5(c) would begin with “For each off-facility swap for which the reporting counterparty is a non-SD/MSP/DCO counterparty that is not a financial entity . . . .” As explained in section II.E.3 above, the Commission is proposing to expand UTI generation responsibilities to financial entities,

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and preliminarily believes that this amendment is needed to clarify that proposed § 45.5(c) would apply only where a reporting counterparty is a non-SD/MSP/DCO counterparty that is not a financial entity.

133

17 CFR 45.1 (definition of “financial entity”).

Second, the Commission is proposing to amend § 45.5(c) to provide non-SD/MSP/DCO reporting counterparties that are not financial entities with the option to generate the UTI for an off-facility swap or to request that the SDR to which required swap creation data will be reported to generate the UTI. If the non-SD/MSP/DCO reporting counterparty that is not a financial entity chooses to generate the UTI for an off-facility swap, the reporting counterparty would follow the creation and transmission requirements for financial entity reporting counterparties in § 45.5(b)(1) and (2). If the non-SD/MSP/DCO reporting counterparty that is not a financial entity chooses to request the SDR to generate the UTI, the SDR would follow the creation and transmission requirements for SDRs in § 45.5(c)(1) and (2). The Commission is proposing amendments to the requirements for SDRs in § 45.5(c)(1), as discussed below.

In the Joint SDR Letter, three SDRs expressed the view that the Commission should adopt the UTI Technical Guidance without modification, after which anyone with an LEI would be able to create a USI, and SDRs would no longer need to generate and transmit UTIs.

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The Commission participated in the preparation of the UTI Technical Guidance, which includes guidance to authorities for allocating responsibility for UTI generation, including a generation flowchart that places SDRs at the end.

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The UTI Technical Guidance also notes that “[n]ot all factors” in the flowchart for allocating responsibility for UTI generation “will be relevant for all jurisdictions.”

136

134

Joint SDR Letter at 7-8.

135

UTI Technical Guidance at 12-14.

136

UTI Technical Guidance at 12.

Because the UTI Technical Guidance was produced with the need to accommodate the different trading patterns and reporting rules in jurisdictions around the world, certain factors included in the UTI Technical Guidance generation flowchart are not applicable for the Commission (

e.g.,

factors relating to the principal clearing model

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or electronic confirmation platforms),

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and therefore the Commission is unable to adopt the UTI Technical Guidance without modification. However, the Commission preliminarily believes that none of the provisions of amended § 45.5 conflict with the UTI Technical Guidance, including maintaining the existing obligations for SDRs to generate and transmit UTIs. While UTI generation and transmission responsibilities by SDRs remain in amended § 45.5(c), the Commission also preliminarily believes that the proposed alignment of the UTI generation and reporting counterparty determination for financial entities in amended § 45.5(b) and the proposed reporting option for counterparties that are neither DCOs nor financial entities in amended § 45.5(c) will result in reduced overall UTI generation and transmission burdens for SDRs.

137

UTI Technical Guidance at 12 (Step 2: “Is a counterparty to this transaction a clearing member of a CCP, and if so is that clearing member acting in its clearing member capacity for this transaction?”).

138

UTI Technical Guidance at 12 (Step 6: “Has the transaction been electronically confirmed or will it be and, if so, is the confirmation platform able, willing and permitted to generate a UTI within the required time frame under the applicable rules?”).

The Commission preliminarily believes that amending § 45.5(c) to provide the reporting counterparty with the option to generate the UTI for an off-facility swap where the reporting counterparty is neither a DCO nor financial entity or, if the reporting counterparty elects not to generate the UTI, to request that the SDR to which required swap creation data will be reported to generate the UTI will simultaneously: (i) Provide a reporting counterparty that is neither a DCO nor financial entity with the flexibility to generate the UTI should it choose to do so; and (ii) reduce the number of swaps where an SDR is assigned with UTI generation responsibilities, while also maintaining the existing SDR role as a guarantee that every off-facility swap will be identified with a UTI.

Third, the Commission is proposing amendments to conform to the Commission's proposed adoption of the

UTI. The Commission is proposing to replace all references to USIs with UTIs in § 45.5(c)(1) through (2). In addition, the Commission is proposing to update the phrase in § 45.5(c)(1) that the USI shall consist of a single data “field” that contains two components to a single data “element with a maximum length of 52 characters” so that the length of the UTI is consistent with the UTI Technical Guidance.

139

UTI Technical Guidance, Section 3.6.

The Commission is also proposing to amend § 45.5(c)(1)(i) describing the first component of the UTI's single data element to replace “unique alphanumeric code assigned to” the SDR with “legal entity identifier of” the SDR so that the identifier used to identify the UTI generating entity is consistent with the UTI Technical Guidance.

140

The Commission is also proposing to delete the phrase in the second half of the sentence stating “by the Commission at the time of its registration as such, for the purpose of identifying the [SDR] with respect to the [USI] creation,” because, according to the UTI Technical Guidance, an LEI is used to identify the UTI generating entity instead of an identifier assigned by individual regulators.

140

UTI Technical Guidance, Section 3.5.

Therefore, in light of the above proposed amendments, § 45.5(c)(1)

141

would require that for swaps with a non-SD/MSP/DCO reporting counterparty that is not a financial entity, the reporting counterparty shall either create and transmit a UTI as provided in § 45.5(b)(1) and § 45.5(b)(2), or request that the SDR to which it reports required swap creation data create and transmit one pursuant to § 45.5(c)(1) or (c)(2).

141

Current § 45.5(c)(2) would remain unchanged, except for the updated references to UTI in § 45.5(b)(2)(i)(A) through (B).

Proposed § 45.5(c)(1) would provide that the SDR generate and assign UTIs at or ASATP following receipt of a request from the reporting counterparty, that consist of a single data element with a maximum length of 52 characters containing: (i) The LEI of the SDR; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the SDR, which shall be unique with respect to all such codes generated and assigned by that SDR.

5. § 45.5(d)—Clearing Swaps

The Commission is proposing several amendments to the § 45.5(d) regulations for the creation and transmission of USIs for clearing swaps. Current § 45.5(d) requires that for each clearing swap, the DCO that is a counterparty to such swap shall create and transmit a USI upon, or ASATP after, acceptance of an original swap for clearing, or execution of a clearing swap that does not replace an original swap, and prior to the reporting of required swap creation data for the clearing swap. Current § 45.5(d)(1) requires that the USI shall consist of a single data field that contains: (i) The unique alphanumeric code assigned to the DCO by the Commission for the purpose of identifying it with respect to USI creation; and (ii) an alphanumeric code generated and assigned to that clearing swap by the automated systems of the DCO, which shall be unique with respect to all such codes generated and assigned by that DCO.

Current § 45.5(d)(2) requires that the DCO transmit the USI electronically to: (i) The SDR to which the DCO reports required swap creation data for the clearing swap; and (ii) to the counterparty to the clearing swap, ASATP after accepting the swap for clearing or executing the swap, if it does not replace an original swap.

First, the Commission is proposing to retitle the section “Off-facility swaps with a [DCO] reporting counterparty.” The Commission is proposing to rephrase the introductory text in § 45.5(d) to reflect this shift in terminology.

Second, the Commission is proposing amendments to conform to the Commission's proposed adoption of the UTI. The Commission is proposing to replace all references to USIs with UTIs in § 45.5(d)(1) through (2). In addition, the Commission is proposing to update the phrase in § 45.5(d)(1) that the USI shall consist of a single data “field” that contains two components to a single data “element with a maximum length of 52 characters” so that the length of the UTI is consistent with the UTI Technical Guidance.

142

UTI Technical Guidance, Section 3.6.

The Commission is also proposing to amend § 45.5(d)(1)(i) describing the first component of the UTI's single data element to replace “unique alphanumeric code assigned to the “DCO reporting counterparty with “legal entity identifier of” the DCO so that the identifier used to identify the UTI generating entity is consistent with the UTI Technical Guidance.

143

The Commission is also proposing to delete the phrase in the second half of the sentence stating “by the Commission at the time of its registration as such, for the purpose of identifying the [DCO] with respect to the [USI] creation,” because, according to the UTI Technical Guidance, an LEI is used to identify the UTI generating entity instead of an identifier assigned by individual regulators.

143

UTI Technical Guidance, Section 3.5.

Therefore, in light of the above proposed amendments, § 45.5(d)(1)

144

would require that for off-facility swaps with a DCO reporting counterparty, the reporting counterparty generate and assign UTIs at or ASATP following clearing or execution, but prior to the reporting of required swap creation data for the clearing swap, that consist of a single data element with a maximum length of 52 characters containing: (i) The LEI of the DCO; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the DCO, which shall be unique with respect to all such codes generated and assigned by that DCO.

144

Current § 45.5(d)(2) would remain unchanged, except for the single updated reference to UTI in § 45.5(d)(2).

6. § 45.5(e)—Allocations

The Commission is proposing several amendments to the § 45.5(e) regulations for the creation and transmission of USIs for allocations. The Commission is proposing to replace references to USIs with UTI throughout § 45.5(e) to conform to the Commission's proposed adoption of the UTI. The Commission is also proposing non-substantive technical and language edits to update cross-references and improve readability.

7. § 45.5(f)—Use

The Commission is proposing several amendments to the § 45.5(f) regulations for the use of UTIs by registered entities and swap counterparties. Current § 45.5(f) requires that registered entities and swap counterparties subject to the jurisdiction of the Commission include the USI for a swap in all of its records and all of its swap data reporting concerning that swap, from the time it creates or receives the USI, throughout the existence of the swap and for as long as any records are required by the CEA or Commission regulations to be kept concerning the swap, regardless of any life cycle events or any changes to state data concerning the swap, including, without limitation, any changes with respect to the counterparties to or the ownership of the swap.

Section 45.5(f) also specifies that this requirement shall not prohibit the use by a registered entity or swap counterparty in its own records of any additional identifier or identifiers internally generated by the automated systems of the registered entity or swap counterparty, or the reporting to an

SDR, the Commission, or another regulator of such internally generated identifiers in addition to the reporting of the USI.

145

and make minor technical language edits, including removing reference to ownership of the swap, which is not needed given the reference to counterparties.

145

See

discussion in section II.D.2 above.

Second, the Commission is proposing to remove the provision permitting the reporting of any additional identifier or identifiers internally generated by the automated systems of the registered entity or swap counterparty to an SDR, the Commission, or another regulator. The Commission believes this amendment would improve consistency in the swap data reported to SDRs, and further the goal of harmonization of SDR data across Financial Stability Board (“FSB”) member jurisdictions.

Therefore, in light of the above proposed amendments, § 45.5(f) would require that registered entities and swap counterparties include the UTI for a swap in all of their records and all of their swap data reporting concerning that swap, from the time they create or receive the UTI, throughout the existence of the swap and for as long as any records are required by the CEA or Commission regulations to be kept concerning the swap, regardless of any life cycle events concerning the swap, including, without limitation, any changes with respect to the counterparties to the swap.

8. § 45.5(g)—Third-Party Service Provider

The Commission is proposing to add new § 45.5(g) to its regulations, titled “Third-party service provider.” Proposed § 45.5(g) would create requirements for registered entities and reporting counterparties to, when contracting with third-party service providers to facilitate reporting pursuant to § 45.9, ensure that the third-party service providers create and transmit UTIs.

146

17 CFR 45.9.

As background, the Commission has encountered inconsistencies in the format and standard of USIs for swaps reported using third-party service providers. The Commission preliminarily believes that proposed § 45.5(g) will help ensure consistency with the UTI Technical Guidance in the format and standard of UTIs for swaps reported by third-party service providers. The Commission further believes that proposed § 45.5(g) will reinforce the existing responsibility of a registered entity or reporting counterparty under § 45.9 for the data reported on its behalf by a third-party service provider.

Therefore, proposed § 45.5(g) would provide that if a registered entity or reporting counterparty required by part 45 to report required swap creation data or required swap continuation data contracts with a third-party service provider to facilitate reporting pursuant to § 45.9, the registered entity or reporting counterparty ensures that such third-party service provider creates and transmits the UTI as otherwise required for such category of swap by § 45.5(a) through (e). It would further provide that the UTI shall consist of a single data element with a maximum length of 52 characters that contains: (i) The LEI of the third-party service provider; and (ii) an alphanumeric code generated and assigned to that swap by the automated systems of the third-party service provider, which shall be unique with respect to all such codes generated and assigned by that third-party service provider.

9. § 45.5(h)—Cross-Jurisdictional Swaps

The Commission is proposing to add new § 45.5(h) to its regulations, titled “Cross-jurisdictional swaps.” Proposed § 45.5(h) would clarify that if a swap is also reportable to one or more other jurisdictions with a regulatory reporting deadline earlier than the deadline set forth in § 45.3, the swap is to be identified in all reporting pursuant to part 45 with the same UTI that has been generated according to the rules of the jurisdiction with the earliest regulatory reporting deadline.

The Commission believes that the benefits resulting from global swap data aggregation and harmonization are realizable only if each swap is identified in all regulatory reporting worldwide with a single UTI so as to avoid double- or triple-counting of the swap. While the current requirement in part 45 for swap creation data to be reported ASATP after execution results in the Commission having the earliest regulatory reporting deadline, changes to the reporting deadline in proposed amendments to § 45.3 may result in a cross-jurisdictional swap being required to be reported to another jurisdiction earlier than to the Commission. Because the Commission considers it critical that only one unique UTI is used to identify each swap, whether reportable only to the Commission or to multiple jurisdictions, the Commission proposes that, if a cross-jurisdictional swap is reportable to another jurisdiction earlier than required under part 45, the UTI for such swap reported pursuant to part 45 be generated according to the rules of the jurisdiction with the earliest regulatory reporting deadline.

The Commission preliminarily believes that the new proposed provision would: (i) Ensure consistency with the UTI Technical Guidance;

147

(ii) assist the Commission, SDRs, and swap counterparties to avoid potentially identifying a single cross-jurisdictional trade with multiple UTIs; and (iii) eliminate the potential for market participants to be faced with a situation of attempting to comply with conflicting UTI generation rules.

147

UTI Technical Guidance at 13 (Step 10: “UTI generation rules of the jurisdiction with the sooner reporting deadline should be followed”).

Therefore, proposed § 45.5(h) would require that notwithstanding the provisions of § 45.5(a) through (g), if a swap is also reportable to one or more other jurisdictions with a regulatory reporting deadline earlier than the deadline set forth in § 45.3, the same UTI generated according to the rules of the jurisdiction with the earliest regulatory reporting deadline shall be transmitted pursuant to § 45.5(a)-(g) and used in all recordkeeping and all swap data reporting pursuant to part 45.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to § 45.5.

F. § 45.6—Legal Entity Identifiers

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The Commission is proposing to re-number the requirements of § 45.6 to correct current extensive numbering errors.

1. Introductory Text

The Commission is proposing amendments to the introductory text of the § 45.6 regulations for LEIs. The current introductory text states that each counterparty to any swap subject to the jurisdiction of the Commission shall be identified in all recordkeeping and all swap data reporting pursuant to part 45 by means of a single LEI as specified in § 45.6.

First, the Commission is proposing to replace “each counterparty” with each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any swap. The Commission believes a list of entities would be more precise and help market participants referring to the introductory text.

Second, the Commission is proposing to revise the introductory text to require

each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any swap that is eligible to receive an LEI to “obtain” as well as be identified in all recordkeeping and swap data reporting by a single LEI. The Commission is aware of uncertainty as to whether the requirement to identify each counterparty with an LEI in current § 45.6 also includes a requirement for the counterparty to obtain an LEI, and the Commission preliminarily believes that amending § 45.6 to clarify that a person or entity required to be identified with an LEI in recordkeeping and swap data reporting also has an associated affirmative requirement to obtain an LEI will clarify that identification using LEI necessarily requires the identified person or entity, if eligible to receive an LEI, to obtain an LEI.

The Commission also preliminarily believes that extending the requirement for each counterparty to any swap to be identified in all recordkeeping and swap data reporting by a single LEI to all SEFs, DCMs, DCOs, entities reporting pursuant to § 45.9, and SDRs will ensure consistency with the CDE Technical Guidance, allow for standardization in the identification in recordkeeping and swap data reporting, and encourage global swap data aggregation.

Therefore, in light of the above proposed amendments, the introductory text to § 45.6 would state that each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any swap eligible to receive an LEI shall obtain and be identified in all recordkeeping and all swap data reporting pursuant to part 45 by a single LEI as specified in § 45.6.

2. § 45.6(a)—Definitions

The Commission is proposing several changes to the definitions for the LEI regulations in § 45.6(a). As background, current § 45.6(a) provides definitions for “control,” “legal identifier system,” “level one reference data,” “level two reference data,” “parent,” “self-registration,” “third-party registration,” and “ultimate parent.”

The Commission is proposing to move certain definitions pertaining to LEIs to § 45.1(a). The Commission believes these definitions should be in § 45.1(a) because they are used in regulations outside of § 45.6. These definitions are: “Global Legal Entity Identifier System,”

149

“legal entity identifier” or “LEI,” and “Legal Entity Identifier Regulatory Oversight Committee.” These definitions are discussed in section II.A.1 above.

149

“Global Legal Entity Identifier System” and “local operating unit” would be updated versions of the current definition of “legal identifier system.”

The Commission is also proposing to remove certain definitions pertaining to LEIs from § 45.6(a). These definitions would no longer be necessary in light of the proposed amendments to the LEI regulations, discussed in sections II.F.3 to II.F.8 below. These definitions are: “control,” “level one reference data,” “level two reference data,” “parent,” and “ultimate parent.”

The Commission is proposing to amend certain definitions pertaining to LEIs in § 45.6(a). The Commission is proposing to amend the definition of “self-registration” in several respects. First, the Commission is proposing to remove the specific reference to “level one or level two” reference data, and the accompanying specifier “as applicable.” This amendment would reflect the Commission's proposal to remove the definitions of “level one reference data” and “level two reference data.”

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Instead, as discussed below, the Commission is proposing to add a definition of “reference data.” The proposed amendment to “self-registration” would be consistent with the new definition.

Second, the Commission is proposing to add a reference to “individuals,” to reflect the fact that swap counterparties may be individuals who need to obtain LEIs. As amended, “self-registration” would mean submission by a legal entity or individual of its own reference data.

The Commission is also proposing to amend the definition of “third-party registration.” First, the Commission is proposing to remove the specific references to “level one or level two” reference data, and the accompanying specifier “as applicable.” This amendment would reflect the Commission's proposal to remove the definitions of “level one reference data” and “level two reference data.”

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Instead, as discussed below, the Commission is proposing to add a definition of “reference data.” The proposed amendment to “self-registration” would be consistent with the new definition.

Second, the Commission is proposing to add references to “individuals,” to reflect that swap counterparties may be individuals who need to obtain LEIs. As amended, “third-party registration” would mean submission of reference data for a legal entity or individual that is or may become a swap counterparty, made by an entity or organization other than the legal entity or individual identified by the submitted reference data. Examples of third-party registration include, without limitation, submission by an SD or MSP of reference data for its swap counterparties, and submission by a national numbering agency, national registration agency, or data service provider of reference data concerning legal entities or individuals with respect to which the agency or service provider maintains information.

Finally, the Commission is proposing to add two definitions pertaining to LEIs to § 45.6(a). First, the Commission is proposing to add a definition of “local operating unit.” As proposed, “local operating unit” would mean an entity authorized under the standards of the Global Legal Entity Identifier System to issue legal entity identifiers. Second, the Commission is proposing to add a definition of “reference data.” As proposed, “reference data” would mean all identification and relationship information, as set forth in the standards of the Global Legal Entity Identifier System, of the legal entity or individual to which an LEI is assigned. The terms “local operating unit” and “reference data” are explained in a discussion of the proposed amendments to § 45.6(e) in section II.F.7 below.

3. § 45.6(b)—International Standard for the Legal Entity Identifier

The Commission is proposing several changes to § 45.6(b) regulations for the international standards for LEIs. The proposed amendments to § 45.6(b) would reflect changes that have taken place since the current LEI regulations in § 45.6 were adopted in 2012. As background, § 45.6(b) now states that the LEI used in all recordkeeping and all swap data reporting required by part 45, following designation of the legal entity identifier system as provided in § 45.6(c)(2), shall be issued under, and shall conform to, International Organization for Standardization (“ISO”) Standard 17442, Legal Entity Identifier (LEI), issued by the ISO.

The Commission is proposing to remove the phrase “following designation of the [LEI] system as provided in [§ 45.6(c)(2)].” The governance of the Global Legal Entity Identifier System designed by the FSB with the contribution of private sector participants is now fully in place: While at the beginning of the Global Legal Entity Identifier System, LEI issuers were operating under a temporary endorsement of the LEI ROC, all active LEI issuers have now been accredited.

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The LEI ROC establishes policy standards, such as the definition of the eligibility to obtain an LEI and conditions for obtaining an LEI; the

definition of reference data and any extension thereof, such as the addition of information on relationships between entities; the frequency of update for some or all the reference data; the nature of due diligence and other standards necessary for sufficient data quality; or high level principles governing data and information access.

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Progress report by the LEI ROC, The Global LEI System and regulatory uses of the LEI, 2 (Apr. 30, 2018),

available at https://www.leiroc.org/publications/gls/roc_20180502-1.pdf.

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Id.

Therefore, in light of the above proposed amendments, § 45.6(b) would state that the LEI used in all recordkeeping and all swap data reporting required by part 45 shall be issued under, and shall conform to, ISO Standard 17442, Legal Entity Identifier (LEI), issued by the ISO.

4. § 45.6(b)—Technical Principles for the Legal Entity Identifier

The Commission is proposing to remove this redundantly-numbered § 45.6(b) for the technical principles for the LEI.

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Regulations for LEI reference data are currently located in § 45.6(e), which the Commission is proposing to move to § 45.6(c). The revisions to the current § 45.6(e) reference data regulations are discussed in section II.F.7 below.

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This § 45.6(b) was numbered in error, as there is already a § 45.6(b), discussed in section II.F.3 above.

Currently, this § 45.6(b) regulation enumerates the six technical principles for the legal entity identifier to be used in all recordkeeping and all swap data reporting. The principles in § 45.6(b) are: (i) Uniqueness; (ii) neutrality; (iii) reliability; (iv) open source; (v) extensibility; and (vi) persistence.

The Commission is proposing to remove the above technical principles from § 45.6(b). The Commission adopted § 45.6(b) before global technical principles for the LEI were developed. The Commission has participated in the Global Legal Entity Identifier System and the LEI ROC since their establishment in 2013, through which global technical principles have been developed and a functioning LEI system introduced. The Commission preliminarily believes that deleting this current § 45.6(b) to remove the technical principles for the legal entity identifier to be used in all recordkeeping and all swap data reporting is now warranted because the global technical principles that have been developed conform to the technical principles in § 45.6(b).

5. § 45.6(c)—Governance Principles for the Legal Entity Identifier

The Commission is proposing to remove the current § 45.6(c) regulations for the governance principles for the LEI.

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Regulations for the use of the LEI are currently located in § 45.6(f), which the Commission is proposing to move to § 45.6(d), which would be correctly renumbered as § 45.6(d). The revisions to the current § 45.6(f) use of LEI regulations are discussed in section II.F.8 below.

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Current § 45.6(c) was also numbered in error because of the duplicate § 45.6(b) sections.

Current § 45.6(c) enumerates the five governance principles for the legal entity identifier to be used in all recordkeeping and all swap data reporting. The governance principles are: International governance; reference data access; non-profit operation and funding; unbundling and non-restricted use; and commercial advantage prohibition.

The Commission is proposing to remove the above governance principles from § 45.6(c). The Commission adopted § 45.6(c) before global governance principles for the LEI were developed. The Commission has participated in the Global Legal Entity Identifier System and the LEI ROC since their establishment in 2013, through which global governance principles have been developed and a functioning LEI system introduced. The Commission preliminarily believes that deleting current § 45.6(c) to remove the governance principles for the legal entity identifier to be used in all recordkeeping and all swap data reporting is now warranted because the global governance principles that have been developed conform to the governance principles in § 45.6(c).

6. § 45.6(e)—Designation of the Legal Entity Identifier System

The Commission is proposing to remove the § 45.6(e) regulations for the designation of the legal entity identifier system. Current § 45.6(e) enumerates the procedures for determining whether a legal entity identifier system meets the Commission's requirements and the procedures for designating the legal entity identifier system as the provider of legal entity identifiers to be used in all recordkeeping and all swap data reporting.

The Commission adopted § 45.6(e) before a global legal entity identifier system was developed. The Commission has participated in the Global Legal Entity Identifier System and the LEI ROC since their establishment in 2013, through which a functioning LEI system has been introduced, overseeing the issuance of LEIs by local operating units. The Commission preliminarily believes that deleting this current § 45.6(e) to remove the procedures for determining whether a legal entity identifier system meets the Commission's requirements and the procedures for designating the legal entity identifier system as the provider of legal entity identifiers to be used in all recordkeeping and all swap data reporting is now warranted because such determination and designation procedures are no longer needed due to the establishment of Global Legal Entity Identifier System.

7. § 45.6(e)—Reference Data Reporting

The Commission is proposing changes to the § 45.6(e) regulations for LEI reference data reporting.

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First, the Commission is proposing to move the requirements for reporting LEI reference data in § 45.6(e) to correctly-renumbered § 45.5(c).

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This § 45.6(e) was numbered in error, as there is already a § 45.6(e) directly preceding it.

Second, the Commission is proposing amendments to the requirements for reporting LEI reference data in current § 45.6(e), proposed to be moved to § 45.6(c). Current § 45.6(e)(1) requires level one reference data for each counterparty to be reported via self-registration, third-party registration, or both, and details the procedures for doing so, including the requirement to update level one reference data in the event of a change or discovery of the need for a correction. Current § 45.6(e)(2) contains the requirement, once the Commission has determined the location of the level two reference database, for level two reference data for each counterparty to be reported via self-registration, third-party registration, or both, and the procedures for doing so, including the requirement to update level two reference data in the event of a change or discovery of the need for a correction.

The Commission is proposing to remove the distinction between level one and level two reference data now found in § 45.6(e). Instead, proposed new § 45.6(c) would require that all reference data for each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any swap be reported via self-registration, third-party registration, or both, to a local operating unit in accordance with the standards set by the Global Legal Entity Identifier System. Proposed new § 45.6(c) would retain the requirement in current § 45.6(e) to update the reference data in the event of a change or discovery of the need for a correction.

The Commission adopted § 45.6(e) before a global legal entity identifier system was developed. The Commission

has participated in the Global Legal Entity Identifier System and the LEI ROC since their establishment in 2013, through which a functioning LEI system has been introduced that sets, and updates as needed, the standards governing the identification and relationship reference data required to be provided in order to obtain an LEI. The Commission preliminarily believes that removing § 45.6(e) to remove the distinction between level one and level two reference data, and proposing a new § 45.6(c) to require that all reference data is reported to a local operating unit in accordance with the standards set by the Global Legal Entity Identifier System is warranted because the establishment of Global Legal Entity Identifier System removes the role of individual authorities in determining the standards governing LEI reference data.

While current § 45.6(e) requires that reference data for only the counterparties to a swap be reported, the extension of the requirement to be identified in all recordkeeping and swap data reporting by a single LEI to all SEFs, DCMs, DCOs, entities reporting pursuant to § 45.9, and SDRs described in section II.F.1 above also necessarily requires that all SEFs, DCMs, DCOs, entities reporting pursuant to § 45.9, and SDRs report their LEI reference data.

Therefore, in light of the above proposed amendments, § 45.6(c) would require that LEI reference data regarding each SEF, DCM, DCO, SDR, entity reporting pursuant to § 45.9, and counterparty to any swap shall be reported, by means of self-registration, third-party registration, or both, to a local operating unit in accordance with the standards set by the Global Legal Entity Identifier System. All subsequent changes and corrections to reference data previously reported would be reported, by means of self-registration, third-party registration, or both, to a local operating unit ASATP following occurrence of any such change or discovery of the need for a correction.

8. § 45.6(f)—Use of the Legal Entity Identifier System by Registered Entities and Swap Counterparties

The Commission is proposing changes to the § 45.6(f) regulations for the use of LEIs by registered entities and swap counterparties. Current § 45.6(f)(1) requires that when a legal entity identifier system has been designated by the Commission pursuant to § 45.6(e), each registered entity and swap counterparty shall use the LEI provided by that system in all recordkeeping and swap data reporting pursuant to part 45. Current § 45.6(f)(2) requires that before a legal entity identifier system has been designated by the Commission, each registered entity and swap counterparty shall use a substitute counterparty identifier created and assigned by an SDR in all recordkeeping and swap data reporting pursuant to part 45.

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The requirements for the substitute identifier were set forth in § 45.6(f)(2)(i) through (iv). As the Global Legal Entity Identifier System has been introduced that oversees the issuance of LEIs by local operating units, these requirements are no longer applicable, the Commission will limit the detail of their discussion in this release.

Current § 45.6(f)(3) requires that for swaps reported pursuant to part 45 prior to Commission designation of a legal entity identifier system, after such designation each SDR shall map the LEIs for the counterparties to the substitute counterparty identifiers in the record for each such swap. Current § 45.6(f)(4) requires that prior to October 15, 2012, if an LEI has been designated by the Commission as provided in § 45.6, but a reporting counterparty's automated systems are not yet prepared to include LEIs in recordkeeping and swap data reporting pursuant to part 45, the counterparty shall be excused from complying with § 45.6(f)(1), and shall instead comply with § 45.6(f)(2), until its automated systems are prepared with respect to LEIs, at which time it must commence compliance with § 45.6(f)(1).

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The regulation specified that this paragraph would have no effect on or after October 15, 2012. 17 CFR 45.6(f)(4).

The Commission is proposing to retitle the section “Use of the legal entity identifier,” because, as discussed below, the LEI will no longer be used only by registered entities and swap counterparties. The Commission is also proposing to move the requirements for the use of LEIs from current § 45.6(f) to correctly renumbered § 45.6(d),

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as a result, the Commission's proposed amendments to the requirements for the use of LEIs in current § 45.6(f) discussed below will be captured in new § 45.6(d).

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As previously noted, current § 45.6(c) was numbered in error because of the duplicate § 45.6(b) sections.

The Commission is proposing to remove the sections of § 45.6(f) that are no longer operative, eith

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