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Proposed Rule2023-28350

Real-Time Public Reporting Requirements and Swap Data Recordkeeping and Reporting Requirements

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Published

December 28, 2023

Issuing agencies

Commodity Futures Trading Commission

Abstract

The Commodity Futures Trading Commission (the "Commission" or the "CFTC") is proposing revisions to part 43 and part 45 of the Commission's regulations to: allow for continued geographic masking after the designation of the unique product identifier and product classification system ("UPI") for swaps in the other commodity asset class; implement conforming changes in connection with the geographic masking requirement; add reportable data fields to appendix A to part 43 and appendix 1 to part 45 that promote international harmonization and further the Commission's surveillance and analysis activities; and implement non-substantive revisions to the descriptions of the existing reportable data elements in such appendices.

Full Text

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<title>Federal Register, Volume 88 Issue 248 (Thursday, December 28, 2023)</title>
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[Federal Register Volume 88, Number 248 (Thursday, December 28, 2023)]
[Proposed Rules]
[Pages 90046-90080]
From the Federal Register Online via the Government Publishing Office [<a href="http://www.gpo.gov">www.gpo.gov</a>]
[FR Doc No: 2023-28350]

[[Page 90045]]

Vol. 88

Thursday,

No. 248

December 28, 2023

Part IV

Commodity Futures Trading Commission

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17 CFR Parts 43 and 45

Real-Time Public Reporting Requirements and Swap Data Recordkeeping and
Reporting Requirements; Proposed Rule

Federal Register / Vol. 88 , No. 248 / Thursday, December 28, 2023 /
Proposed Rules

[[Page 90046]]

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COMMODITY FUTURES TRADING COMMISSION

17 CFR Parts 43 and 45

RIN 3038-AF26

Real-Time Public Reporting Requirements and Swap Data
Recordkeeping and Reporting Requirements

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of proposed rulemaking.

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SUMMARY: The Commodity Futures Trading Commission (the ``Commission''
or the ``CFTC'') is proposing revisions to part 43 and part 45 of the
Commission's regulations to: allow for continued geographic masking
after the designation of the unique product identifier and product
classification system (``UPI'') for swaps in the other commodity asset
class; implement conforming changes in connection with the geographic
masking requirement; add reportable data fields to appendix A to part
43 and appendix 1 to part 45 that promote international harmonization
and further the Commission's surveillance and analysis activities; and
implement non-substantive revisions to the descriptions of the existing
reportable data elements in such appendices.

DATES: Comments must be submitted on or before February 26, 2024.

ADDRESSES: You may submit comments, identified by ``Real-Time Public
Reporting Requirements and Swap Data Recordkeeping and Reporting
Requirements, RIN 3038-AF26,'' by any of the following methods:
<bullet> CFTC Comments Portal: <a href="https://comments.cftc.gov">https://comments.cftc.gov</a>. Select
the ``Submit Comments'' link for this rulemaking and follow the
instructions on the Public Comment Form.
<bullet> Mail: Send to Christopher Kirkpatrick, Secretary of the
Commission, Commodity Futures Trading Commission, Three Lafayette
Centre, 1155 21st Street NW, Washington, DC 20581.
<bullet> Hand Delivery/Courier: Follow the same instructions as for
Mail above.
Please submit your comments using only one of these methods. To
avoid possible delays with mail or in-person deliveries, 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
<a href="https://comments.cftc.gov">https://comments.cftc.gov</a>. 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 Sec. 145.9 of the Commission's
regulations.\1\
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\1\ 17 CFR 145.9.
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The Commission reserves the right, but shall have no obligation, to
review, pre-screen, filter, redact, refuse, or remove any or all
submissions from <a href="https://www.comments.cftc.gov">https://www.comments.cftc.gov</a> 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
FOIA.

FOR FURTHER INFORMATION CONTACT: Owen J. Kopon, Associate Chief
Counsel, at (202) 418-5360 or <a href="/cdn-cgi/l/email-protection#49262226392627092a2f3d2a672e263f">[email&#160;protected]</a>, Division of Market
Oversight (``DMO''); Alicia Viguri, Assistant Chief Counsel, at (202)
418-5219 or <a href="/cdn-cgi/l/email-protection#86e7f0efe1f3f4efc6e5e0f2e5a8e1e9f0">[email&#160;protected]</a>, DMO; Isabella Bergstein, Assistant Chief
Counsel, at (202) 418-5182 or <a href="/cdn-cgi/l/email-protection#a2cbc0c7d0c5d1d6c7cbcce2c1c4d6c18cc5cdd4">[email&#160;protected]</a>, DMO; Chase Lindsey,
Assistant Chief Counsel, at (202) 418-5231 or <a href="/cdn-cgi/l/email-protection#5f3c3336313b2c3a261f3c392b3c71383029">[email&#160;protected]</a>, DMO;
Kate Mitchel, Associate Director, at (202) 418-5871 or
<a href="/cdn-cgi/l/email-protection#e68d8b8f92858e838aa685809285c8818990">[email&#160;protected]</a>, Division of Data (``DOD''); Robert Stowsky, IT
Specialist, at (202) 418-5104 or <a href="/cdn-cgi/l/email-protection#ef9d9c9b80989c8496af8c899b8cc1888099">[email&#160;protected]</a>, DOD; John Roberts,
Research Analyst, at (202) 418-5943 or <a href="/cdn-cgi/l/email-protection#48223a272a2d3a3c3b082b2e3c2b662f273e">[email&#160;protected]</a>, Office of the
Chief Economist (``OCE''); Lee Baker, Research Economist at (202) 418-
5175 or <a href="/cdn-cgi/l/email-protection#4f232d2e242a3d0f2c293b2c61282039">[email&#160;protected]</a>, OCE; in each case at the Commodity Futures
Trading Commission, 1155 21st Street NW, Washington, DC 20581.

SUPPLEMENTARY INFORMATION:

I. Background

A. Introduction

The Commission's real-time public reporting and swap data reporting
regulations were first adopted in 2012, and are located in parts 43 and
45 of the Commission's regulations.\2\ The 2012 Real-Time Public
Reporting of Swap Transaction Data Final Rule (the ``2012 RTR Final
Rule'') set forth regulations that require swap counterparties, swap
execution facilities (``SEFs''), and designated contract markets
(``DCMs'') to report publicly reportable swap transactions (``PRST'')
to swap data repositories (``SDRs'').\3\ Additionally, the 2012 RTR
Final Rule set forth regulations that require SDRs to publicly
disseminate swap transaction and pricing data (``STAPD'') in real-time,
subject to certain exceptions.\4\
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\2\ See 17 CFR parts 43, 45; Final Rule, Real-Time Public
Reporting of Swap Transaction Data, 77 FR 1182 (Jan. 9, 2012); Final
Rule, Swap Data Recordkeeping and Reporting Requirements, 77 FR 2136
(Jan. 13, 2012).
\3\ See 2012 RTR Final Rule, 77 FR 1182; 17 CFR 43.3(a).
\4\ See 2012 RTR Final Rule, 77 FR 1182; 17 CFR 43.3(b), 43.4(c)
and (d).
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In the 2012 Swap Data Recordkeeping and Reporting Requirements
Final Rule (``2012 SDRR Final Rule''), the Commission implemented the
swap data reporting rules. The part 45 regulations require SEFs, DCMs,
and reporting counterparties (``RCPs'') (collectively, ``Reporting
Entities'') to report swap data to SDRs.\5\ SDRs collect and maintain
data related to swap transactions, making such data electronically
available for regulators or the public.
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\5\ See 2012 SDRR Final Rule, 77 FR 2136; 17 CFR 45.3, 45.4.
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In 2013, the Commission adopted a block trade rule \6\ to implement
the statutory requirements of Commodity Exchange Act (``CEA'') section
2(a)(13)(E)(i)-(iv).\7\ In 2016, the Commission amended part 45 to set
forth swap data reporting obligations with respect to cleared swaps.\8\
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\6\ Procedures to Establish Appropriate Minimum Block Sizes for
Large Notional Off-Facility Swaps and Block Trades, 78 FR 32866 (May
31, 2013) (the ``Block Trade Final Rule'').
\7\ These CEA sections contain provisions (e.g., time delays)
that the Commission must include in its required rulemakings
governing public reporting of STAPD for the categories of swaps set
forth in CEA sections 2(a)(13)(C)(i) and (ii), 7 U.S.C.
2(a)(13)(C)(i) and (ii). See Notice of Proposed Rulemaking, Real-
Time Public Reporting Requirements, 85 FR 21516 n.5 (Apr. 17, 2020)
(the ``2020 RTR NPRM'').
\8\ Amendments to Swap Data Recordkeeping and Reporting
Requirements for Cleared Swaps, 81 FR 41736 (June 27, 2016).
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In 2020, the Commission amended part 43 and part 45 by issuing a
new Real-Time Public Reporting Requirements final rule (the ``2020 RTR
Final Rule'') \9\ and Swap Data Recordkeeping and Reporting
Requirements final rule (the ``2020 SDRR Final Rule'') \10\
(collectively the ``2020 Final Rules''). The 2020 RTR Final Rule
revised the method and timing for real-time reporting and public
dissemination, generally and for specific types of swaps; the delay and
anonymization of the public

[[Page 90047]]

dissemination of block trades and large notional trades; the
standardization and validation of real-time reporting fields; the
delegation of specific authority to Commission staff; and the
clarification of specific real-time reporting questions and common
issues.\11\
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\9\ Real-Time Public Reporting Requirements, 85 FR 75422 (Nov.
25, 2020) (the ``2020 RTR Final Rule'').
\10\ Swap Data Recordkeeping and Reporting Requirements, 85 FR
75503 (Nov. 25, 2020) (the ``2020 SDRR Final Rule'').
\11\ See 2020 RTR Final Rule, 85 FR at 75422.
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The 2020 SDRR Final Rule generally revised the reporting
regulations to: streamline the requirements for reporting swaps;
require SDRs to validate swap reports; permit the transfer of swap data
between SDRs; alleviate reporting burdens for non-swap dealer (``SD'')/
major swap participant (``MSP'') reporting counterparties; and
harmonize with international technical guidance the swap data elements
that counterparties are required to report to SDRs.\12\
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\12\ See 2020 SDRR Final Rule, 85 FR at 75503, 75504.
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To ensure that the Commission continues to receive accurate and
high-quality data on swap transactions for its regulatory oversight
role, as well as address international swap reporting developments, the
Commission proposes revisions to parts 43 and 45 to: allow for
geographic masking after designation of the UPI for swaps falling
within the other commodity asset class; \13\ implement conforming
changes in connection with the geographic masking requirement; add
reportable data fields to appendix A to part 43 and appendix 1 to part
45; and implement non-substantive revisions to the descriptions of the
existing reportable data elements in such appendices.
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\13\ Other commodity, as used in this notice of proposed
rulemaking, shall have the meaning ascribed to such term in Sec.
43.2 (i.e., any commodity that is not categorized in the interest
rate, credit, foreign exchange or other asset classes as may be
determined by the Commission).
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B. International Harmonization

Since November 2014, regulators overseeing major derivatives
jurisdictions and markets, including the CFTC, have come together
through the Bank for International Settlements Committee on Payments
and Market Infrastructures (``CPMI'') and the International
Organization of Securities Commissions (``IOSCO'') working group for
the harmonization of key over-the-counter (``OTC'') derivatives data
elements (``Harmonisation Group'') to develop global guidance regarding
the definition, format, and usage of key OTC derivatives data elements
reported to trade repositories (``TRs''), including the unique
transaction identifier (``UTI''), the UPI, and other critical data
elements (``CDE'').\14\ The Harmonisation Group published Guidance on
the Harmonisation of Unique Transaction Identifier (``UTI Technical
Guidance'') \15\ and Technical Guidance on the Harmonisation of the
Unique Product Identifier (``UPI Technical Guidance'') \16\ in February
and September 2017, respectively.\17\ 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'').\18\
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\14\ 2020 SDRR NPRM, 85 FR at 21579.
\15\ CPMI-IOSCO, Technical Guidance, Harmonisation of the Unique
Transaction Identifier (Feb. 2017), available at <a href="https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf">https://www.iosco.org/library/pubdocs/pdf/IOSCOPD557.pdf</a> (``UTI Technical
Guidance'').
\16\ CPMI and IOSCO, Technical Guidance: Harmonisation of the
Unique Product Identifier, (Sept. 2017), available at <a href="https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf">https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf</a> (``UPI Technical
Guidance'').
\17\ 2020 SDRR NPRM, 85 FR at 21579-21580.
\18\ 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 <a href="https://www.bis.org/cpmi/publ/d175.pdf">https://www.bis.org/cpmi/publ/d175.pdf</a>.
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In the UPI Technical Guidance, CPMI and IOSCO specify the
requirements necessary for a product identifier to facilitate the
reporting of swap data to TRs and the aggregation of such data by
authorities.\19\ CPMI and IOSCO concluded that semantically meaningless
codes should be assigned to each unique product, with the product
attributes associated with each code discoverable by reference to
standardized tables (``Reference Data Library'' or ``UPI
Taxonomy'').\20\ The UPI Technical Guidance also requires that the
Reference Data Library contain specific reference data elements that
vary by asset class. These required reference data elements detail the
asset class, asset class sub-types, underlying asset, and other swap
product attributes.\21\ The UPI Technical Guidance concluded that a UPI
should satisfy fifteen distinct technical principles,\22\ and appointed
the Financial Stability Board (``FSB'') \23\ to designate one or more
service providers to issue product codes and operate and maintain the
Reference Data Library. In May 2019, the FSB designated the Derivatives
Service Bureau Limited (``DSB'') as the UPI service provider.\24\
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\19\ See Order Designating the Unique Product Identifier and
Product Classification System to be Used in Recordkeeping and Swap
Data Reporting, 88 FR 11790, 11791 (Feb. 24, 2023) (the ``February
2023 UPI Order''); UPI Technical Guidance at 3.
\20\ February 2023 UPI Order at 11791; UPI Technical Guidance at
21.
\21\ February 2023 UPI Order at 11791.
\22\ Id. The fifteen technical principles identified by CPMI and
IOSCO are: jurisdiction neutrality, uniqueness, consistency,
persistence, adaptability, clarity, ease of assignment/retrieval/
query, long-term viability, scope neutrality, compatibility,
comprehensiveness, extensibility, precision, public dissemination,
and representation.
\23\ Id. The FSB is an international body that monitors and
makes recommendations about the global financial system. The
Commission, though not an FSB member, is a member of IOSCO.
\24\ February 2023 UPI Order at 11791; FSB, Press Release: FSB
designates DSB as Unique Product Identifier Service Provider (May 2,
2019), available at <a href="https://www.fsb.org/2019/05/fsb-designates-dsb-as-unique-product-identifier-upi-service-provider/">https://www.fsb.org/2019/05/fsb-designates-dsb-as-unique-product-identifier-upi-service-provider/</a>.
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The CDE Technical Guidance provides technical guidance on the
definition, format, and allowable values of critical data elements that
are reported to TRs and important to facilitate aggregation by
authorities.\25\ A second version of the CDE Technical Guidance was
published in September 2021 and included corrections to the April 2018
CDE Technical Guidance to facilitate the jurisdictional implementations
of the CDE Technical Guidance.\26\ The third version of the CDE
Technical Guidance (the ``2023 CDE Technical Guidance'') was published
in September 2023 and includes certain revisions and new data elements
deemed necessary to further improve standardization and understanding
of swap data.\27\
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\25\ 2020 SDRR NPRM, 85 FR at 21580.
\26\ CPMI-IOSCO, Harmonisation of Critical OTC Derivatives Data
Elements (other than UTI and UPI), Revised CDE Technical Guidance--
Version 2 (``Revised CDE Technical Guidance''), at 11 (Sept. 2021),
available at <a href="https://www.leiroc.org/publications/gls/roc_20210922.pdf">https://www.leiroc.org/publications/gls/roc_20210922.pdf</a>.
\27\ CPMI-IOSCO, Harmonisation of Critical OTC Derivatives Data
Elements (other than UTI and UPI), Revised CDE Technical Guidance--
Version 3, (Oct. 2023), available at <a href="https://www.leiroc.org/publications/gls/roc_20230929.pdf">https://www.leiroc.org/publications/gls/roc_20230929.pdf</a>.
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The Commission is part of the CDE Technical Guidance Harmonisation
Group. In this role, Commission staff works alongside representatives
from several countries to provide feedback regarding the data elements,
as well as participate in CDE Technical Guidance public consultations,
related industry workshops, and conference calls.\28\
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\28\ 2020 SDRR Final Rule, 85 FR at 75505.
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The CDE Technical Guidance is global guidance addressed to
authorities \29\ that ``takes account of relevant international
technical standards where available and is jurisdiction-agnostic, thus
enabling the consistent global aggregation of OTC derivatives
transaction data.'' \30\ As emphasized in the 2020 SDRR Final Rule, the
Commission believes the implementation of the CDE Technical Guidance
will improve the

[[Page 90048]]

harmonization of TRs data across FSB member jurisdictions. Wide
implementation would allow market participants to report swap data to
several jurisdictions in the same format, supporting data aggregation
for the analysis of global systemic risk in swap markets.\31\
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\29\ Revised CDE Technical Guidance--Version 2 at 10.
\30\ See BIS, Harmonisation of Critical OTC Derivatives Data
Elements (other that UTI and UPI)--Technical Guidance (Apr. 2018),
available at <a href="https://www.bis.org/cpmi/publ/d175.htm">https://www.bis.org/cpmi/publ/d175.htm</a>.
\31\ 2020 SDRR Final Rule, 85 FR at 75540.
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The amendments in this proposal demonstrate the Commission's
commitment to the development of global guidance on key OTC derivatives
data elements reported to TRs to achieve international harmony in the
area of swaps reporting.

C. Statutory and Regulatory Framework for Real-Time Public Reporting
and Swap Data Recordkeeping and Reporting

Section 2(a)(13) of the CEA authorizes and requires the Commission
to promulgate rules that provide for the public availability of STAPD
in real-time in such form and at such times as the Commission
determines appropriate to enhance price discovery.\32\ CEA sections
2(a)(13)(C) and (E) reflect Congress' intent that regulators ``ensure
that the public reporting of swap transactions and pricing data does
not disclose the names or identities of the parties to the
transactions.'' \33\
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\32\ 7 U.S.C. 2(a)(13); Notice of Proposed Rulemaking, Real-Time
Public Reporting of Swap Transaction Data, 75 FR 76140, 76141 (Dec.
7, 2010).
\33\ See Notice of Proposed Rulemaking, Real-Time Public
Reporting of Swap Transaction Data, 75 FR 76140, 76150 n.46 (Dec. 7,
2010).; 156 Cong. Rec. S5921 (daily ed. July 15, 2010) (statement of
Sen. Blanche Lincoln).
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Specifically, section 2(a)(13)(C)(iii) of the CEA requires that the
Commission prescribe rules that maintain the anonymity of business
transactions and market positions of the counterparties to an uncleared
swap. Section 2(a)(13)(E)(i) of the CEA directs the Commission to
protect the identities of counterparties to swaps subject to the
mandatory clearing requirement, swaps excepted from the mandatory
clearing requirement, and voluntarily cleared swaps.\34\
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\34\ See Block Trade Final Rule, 78 FR at 32867.
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The Commission implemented the provisions of section 2(a)(13) of
the CEA by adopting the 2012 RTR Final Rule on January 9, 2012. The
real-time reporting regulations are located in part 43 and establish,
inter alia: (1) the entities or persons responsible for reporting
STAPD; (2) the entities or persons responsible for publicly
disseminating such data; and (3) the data fields and guidance on the
appropriate format and manner for STAPD to be reported to the public in
real-time.\35\
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\35\ 2012 RTR Final Rule, 77 FR at 1183.
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The 2012 RTR Final Rule required reporting parties, SEFs and DCMs
to report the actual underlying asset(s) of PRSTs to an SDR.\36\ The
SDR, in turn, is required to publicly disseminate the actual underlying
asset(s) of all publicly reportable swap transactions in the interest
rate, credit, equity, and foreign exchange asset classes.\37\ SDRs are
similarly required to publicly disseminate the actual underlying
asset(s) for certain swaps in the other commodity asset class, subject
to the anonymity protections set out in Sec. 43.4(c)(4).\38\
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\36\ This requirement was originally adopted as 17 CFR
43.4(d)(2), but has since been re-designated as 17 CFR 43.4(c)(2) in
the 2020 RTR Final Rule.
\37\ 17 CFR 43.4(c)(3).
\38\ 17 CFR 43.4(c)(4).
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For all swaps in the interest rate, credit, foreign exchange and
equity classes, the Commission determined that the actual underlying
asset would be disseminated, regardless of whether a swap was executed
on or pursuant to the rules of a SEF or DCM, or if it was an off-
facility swap.\39\ With respect to swaps in the other commodity asset
class, Sec. 43.4(d)(4)(ii) directed that, if the PRST referenced, or
was economically related to, any of the ``Enumerated Physical Commodity
Contracts and Other Contracts'' listed in appendix B to part 43, or if
the swaps were executed on or pursuant to the rules of a SEF or DCM,
the actual underlying physical commodity or referenced price or index
must be publicly disseminated by the SDR.\40\
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\39\ 2012 RTR Final Rule at 1209; 17 CFR 43.4(c)(3) and (4).
\40\ 2012 RTR Final Rule at 1211-1212; 17 CFR 43.4(c)(4)(ii).
Appendix B listed 28 ``Enumerated Physical Commodity Contracts'' as
well as 1 additional contract--swaps referenced to Brent Crude Oil
(ICE) or economically related to Brent Crude Oil (ICE)--under the
``Other Contracts'' section. The 2020 RTR Final Rule relocated Sec.
43.4(d)(4) to Sec. 43.4(c)(4). 85 FR at 75439.
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However, the Commission determined that all off-facility swaps in
the other commodity asset class that did not fall under Sec.
43.4(d)(4)(ii) would not be required to comply with the real-time
reporting and public dissemination requirements under part 43 because
of the increased likelihood that public dissemination of the underlying
asset could disclose the identity, business transactions or market
positions of a counterparty, until the adoption of special
accommodations in a future Commission release to address these
concerns.\41\
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\41\ 2012 RTR Final Rule, 77 FR at 1211.
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The Block Trade Final Rule addressed the public dissemination of
STAPD for the group of other commodity swaps that were not covered
under Sec. 43.4(d)(4)(ii) by adding Sec. 43.4(d)(4)(iii) and appendix
E to part 43. Section 43.4(d)(4)(iii) mandated that SDRs must publicly
disseminate the details about the geographic location of the underlying
assets of the other commodity swaps not described in Sec.
43.4(d)(4)(ii) pursuant to appendix E to part 43. Appendix E provides
top-coding for various geographic regions. \42\ Hence, by complying
with appendix E, the SDRs would mask or disguise the geographic details
related to the underlying assets of a swap when publicly disseminating
such STAPD.\43\ In addition to appendix E, the Block Trade Final Rule
added 13 contracts to appendix B for which an SDR would be required to
publicly disseminate the actual underlying asset without geographic
masking.
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\42\ Block Trade Final Rule, 78 FR at 32910, 32938, 32941.
\43\ Id. at 32909.
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As previously mentioned, the Commission amended parts 43 and 45 in
November 2020. Among other objectives, the 2020 Final Rules revised the
method and timing for swap real-time reporting and public
dissemination, the requirements for swap reporting, and defined and
adopted swap data elements that harmonize with international technical
guidance.\44\
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\44\ 2020 RTR Final Rule, 85 FR at 75422; and 2020 SDRR Final
Rule, 85 FR at 75503.
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In its 2020 Notice of Proposed Rulemaking: Real-Time Public
Reporting Requirements (``2020 RTR NPRM''), the Commission proposed
eliminating appendix B to part 43 and former Sec. 43.4(d)(4)(ii),
which required that SDRs publicly disseminate the actual underlying
assets of certain swaps in the other commodity asset class that either
(i) reference one of the contracts described in appendix B to part 43
or (ii) are economically related to such contracts. The rationale for
the proposal was to extend the geographic masking for all of the
underlying assets for the other commodity asset class, based on the
Commission's belief that other commodity swaps referencing, or
economically related to, the contracts in appendix B could be
sufficiently bespoke to warrant the additional masking.\45\
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\45\ 2020 RTR NPRM, 85 FR at 21530.
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After considering whether the proposed geographic masking expansion
outweighed the associated reduction in transparency, the Commission
declined to adopt the proposed revisions to the masking requirements.
The Commission

[[Page 90049]]

determined that the basis for adopting Sec. 43.4(d)(4) in 2012
remained operative and, as such, left Appendices B and E the same as
had been adopted in the 2012 RTR Final Rules and the Block Trade Final
Rule, respectively.\46\
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\46\ The Commission did make minor technical edits and relocated
Sec. 43.4(d)(4) to Sec. 43.4(c)(4). 2020 RTR Final Rule, 85 FR at
75439.
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Section 21(b) of the CEA directs the Commission to prescribe
standards that specify the data elements for each swap that shall be
collected and maintained by each registered SDR.\47\ In furtherance of
this mandate, in adopting the 2020 Final Rules the Commission reviewed
the STAPD data fields in appendix A to part 43 and the swap data
elements in appendix 1 to part 45 and determined that the STAPD data
fields in appendix A to part 43 would be a subset of the part 45 swap
data elements in appendix 1 to part 45. In an effort to harmonize both
sets of data, the Commission also reviewed the CDE Technical Guidance
to determine which data elements the Commission could adopt.\48\ In
addition to adopting and including the CDE Technical Guidance Data
Elements in appendix A and appendix 1, the Commission, listed
additional CFTC-specific data elements that support the Commission's
regulatory responsibilities in both appendices.\49\
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\47\ 7 U.S.C. 24a(b)(1).
\48\ 2020 RTR Final Rule, 85 FR at 75457; 2020 SDRR Final Rule,
85 FR at 75540.
\49\ 2020 SDRR Final Rule, 85 FR at 75540.
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Simultaneous with the adoption of the 2020 Final Rules, Commission
staff published a technical specification setting forth the form and
manner for reporting the required swap data elements under parts 43 and
45 (the ``Technical Specification''). The Technical Specification
provides technical guidance on the definition, format, allowable values
and validation rules for those data elements required to be reported
and publicly disseminated pursuant to part 43, as well as the
reportable data elements required to be reported to SDRs under part 45.
Commission staff revised the Technical Specification in September 2021,
August 2022 and March 2023 (the ``Revised Technical
Specification'').\50\
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\50\ CFTC, Parts 43 and 45 Technical Specification (March 2023),
available at <a href="https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_18_RealTimeReporting/index.htm">https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_18_RealTimeReporting/index.htm</a> and <a href="https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_17_Recordkeeping/index.htm">https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_17_Recordkeeping/index.htm</a>.
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As discussed above, the Commission has been heavily involved in the
international harmonization efforts of swap data reporting. In
particular, with respect to unique identifiers, the Commission included
the UPI in the 2012 RTR Final Rule \51\ and the 2012 SDRR Final Rule,
as well as the Data Element Appendices.\52\ In the 2020 RTR Final Rule,
the Commission included the UPI in the revised Data Element Appendices.
The Commission also removed Sec. 43.4(e), which gave SDRs discretion
regarding what fields to publicly disseminate after a UPI exists, as
the fields required to be publicly disseminated are included in
appendix A to part 43, as modified by the 2020 RTR Final Rule.\53\ The
requirement to report and disseminate the UPI is set out through the
inclusion of the UPI in appendix A to part 43.\54\
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\51\ 2012 RTR Final Rule, 77 FR at 1212.
\52\ 2012 SDRR Final Rule, 77 FR at 2166.
\53\ See 85 FR at 75439.
\54\ The use of the UPI in real-time public reporting is also
referenced in Sec. 45.7 of the Commission's regulations.
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Section 45.7 provides that each swap must be identified in all
recordkeeping and all swap data reporting pursuant to part 45 by means
of a UPI and product classification system acceptable to the
Commission, when such an identifier and classification system has been
designated by the Commission. The UPI and product classification system
are required to identify and describe the swap asset class and the sub-
type within that asset class to which the swap belongs, and the
underlying product for the swap, with sufficient distinctiveness and
specificity to enable the Commission and other financial regulators to
fulfill their regulatory responsibilities and to assist in real time
reporting of swaps in part 43.\55\
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\55\ 17 CFR 45.7
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Section 45.7 further provides that, once the Commission determines
that a UPI and product classification system is available for use, the
Commission shall designate the UPI and product classification system by
means of an order published in the Federal Register and on the
Commission's website. The designation order will include the notice of
the designation, the contact information of the issuer of such unique
product identifiers, and information concerning the procedure and
requirements to obtain UPIs and use the product classification system.
Finally, Sec. 45.7 directs that each registered entity and swap
counterparty use the UPI and product classification system in all
recordkeeping and swap data reporting once designated by the
Commission. Prior to such designations, the regulation provisionally
mandates use of the internal product identifier or product description
used by the SDR to which a swap is reported in all recordkeeping and
swap data reporting pursuant to part 45.\56\
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\56\ Id.
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On February 16, 2023, the Commission issued the February 2023 UPI
Order designating the UPIs issued by the DSB (``DSB UPIs'') for swaps
in the credit, equity, foreign exchange, and interest rate asset
classes as the UPI and product classification system to be used in
recordkeeping and swap data reporting pursuant to the Commission's
regulations, pursuant to section 21(b) of the Act and Commission
regulation Sec. 45.7.\57\
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\57\ See the February 2023 UPI Order, 88 FR at 11790.
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The Commission determined that the DSB UPIs are acceptable and
satisfy the criteria mandated by Sec. 45.7, as they identify and
describe the swap products with sufficient distinctiveness and
specificity to: (i) enable the Commission and other regulators to
fulfill their regulatory responsibilities, and (ii) assist in real-time
public reporting of swap transaction and pricing data.\58\
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\58\ Id. at 11792.
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As prescribed in the February 2023 UPI Order, registered entities
and swap counterparties shall use the DSB UPIs for swaps in the
interest rate, credit, foreign exchange and equity classes in all
recordkeeping and swap data reporting pursuant to part 45, as well as
in real-time public reporting as required by part 43. The Commission
expects registered entities and swap counterparties to use DSB UPIs in
the aforementioned swap asset classes for part 45 recordkeeping and
swap data reporting and part 43 real-time public reporting purposes by
no later than January 29, 2024.\59\
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\59\ Id. at 11793.
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A designation of a UPI for swap products in the other commodity
asset classes \60\ was not made contemporaneously with the other asset
classes. This delay has allowed additional time to ensure that
appropriate anonymity protections continue to be in place for the swaps
in the other commodity asset class once UPI is implemented in that
asset class. Specifically, the Commission's regulations balance the
CEA's mandate to provide for the public dissemination of STAPD, while
maintaining the anonymity of business transactions and market positions
of the counterparties to a swap. Geographic locations, such as delivery
points, are often key product characteristics of the other commodity
asset class swap products. The

[[Page 90050]]

designation of a UPI code for other commodity asset class swaps would
trigger the obligation under parts 43 and 45 that such UPI be included
in each public dissemination and confidential swap report.\61\ Without
modifications to part 43, this could result in RCPs reporting to SDRs a
UPI that contains detailed geographic information in contravention of
Sec. 43.4(c)(4)(iii) and appendix E to part 43, as explained further
in section II.A. below.
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\60\ The other commodity swap asset class includes all swaps not
contained in the credit, equity, foreign exchange, and interest rate
asset classes. See 17 CFR 45.1.
\61\ 2012 SDRR Final Rule, 77 FR at 2166; 17 CFR 45.7(c)(1).
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To achieve international swap data standardization and promote
post-trade transparency and price discovery,\62\ the Commission
proposes the following modifications to parts 43 and 45 of the
Commission's regulations: (i) amend Sec. 43.4(c) to allow for
geographic masking after the designation of the UPI for the other
commodity asset classes, (ii) implement conforming changes to Sec.
43.4(c) and appendix E to part 43 in connection with the geographic
masking requirement, (iii) implement modifications to Sec. 45.7(b)
with regards to the Commission's authority to subject a UPI designation
order to conditions as deemed appropriate, and to limit, suspend, or
withdraw such designation order after appropriate notice and
opportunity to respond; and (iv) implement conforming and technical
revisions to the title of Sec. 45.7 and the text of Sec. 45.7(c)(2).
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\62\ 2012 RTR Final Rule, 77 FR at 1182, 1185.
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Additionally, the Commission proposes modifications to appendix A
to part 43 and appendix 1 to part 45 (the ``Data Element Appendices'')
to (v) add additional data elements, and (vi) modify the descriptions
of the existing reportable data elements to harmonize with changes done
at the international level and to remove form and manner detail from
the Data Element Appendices that is set out in the Technical
Specification.

II. Proposed Amendments to Part 43 and Part 45

The adoption and implementation of the UPI and product
classification system for swaps in the other commodity asset class
requires certain modifications to part 43. As such, the Commission
hereby proposes modifications to Sec. 43.4(c) to allow for geographic
masking after the designation of the UPI and product classification
system for swaps in the other commodity asset class. In addition, the
Commission is proposing modifications to Sec. 45.7(b) with regards to
the Commission's authority to subject a UPI designation order to
conditions as deemed appropriate, and to limit, suspend, or withdraw
such designation order. Finally, the Commission is proposing certain
conforming and technical changes to Sec. 43.4(c), appendix E to part
43, Sec. 45.7, and Sec. 45.7(c)(2).

A. Proposed Addition of New Sec. 43.4(c)(5)

Prior to the implementation of the UPI and product classification
system for swaps in the other commodity asset class, the regulatory
structure must be in place to satisfy the CEA mandate to require real-
time reporting that will enhance price discovery while also ensuring
the anonymity of the swap counterparties and the confidentiality of
business transactions and market positions.\63\ The Commission is
proposing to further implement this mandate by requiring Reporting
Entities to submit to the SDRs a UPI that limits the geographic detail
of the underlying asset pursuant to appendix E to part 43, for certain
swap transactions in the other commodity asset class, when a UPI and
product classification system has been designated by the Commission
pursuant to regulation 45.7. The Commission is also proposing to
require SDRs to disseminate the appropriately geographically limited
UPI that the Reporting Entities report to the SDRs.
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\63\ Id. at 1209.
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As previously discussed, CEA section 2(a)(13) directs the
Commission to prescribe regulations providing for the public
availability of transaction and pricing data for certain swaps.
However, CEA sections 2(a)(13)(C) and (E) limits this direction by
mandating the protection of the anonymity of swap counterparties,
business transactions and market positions to swap transactions. The
Commission implemented the statutory mandates through the adoption of
the 2012 RTR Final Rule and the Block Trade Final Rule in 2012 and
2013, respectively. Notwithstanding the requirement to publicly
disseminate data that discloses the underlying asset(s) of PRSTs, the
2012 RTR Final Rule prohibited an SDR from publicly disseminating STAPD
in a manner that discloses or otherwise facilitates the identification
of a swap counterparty. The Block Trade Final Rule required the public
dissemination of certain swaps in the other commodity asset class to
limit the geographic detail of the underlying asset pursuant to
appendix E to part 43.
The designation of the UPI for swaps in the other commodity asset
class highlight operational complexities arising from the statutory
requirements to both provide for the public availability of STAPD and
also ensure the anonymity of the parties to a PRST. The implementation
of a UPI code for other commodity asset class swaps pursuant to
regulation 45.7 would trigger the obligation under parts 43 and 45 that
the same UPI be included in each public dissemination and confidential
swap report.\64\ However, an anonymity issue arises because geographic
locations, such as delivery points, are often key product
characteristics of certain other commodity asset class swap products
and, consequently, included in the underlying UPI reference data
library elements. This would mean that key characteristics of each
product, such as geographic locations, would be potentially publicly
accessible, creating a risk that public dissemination of a UPI code
pursuant to part 43 could inadvertently allow for the identification of
the counterparties to the specific other commodity swap transactions.
---------------------------------------------------------------------------

\64\ 17 CFR 45.7(c)(1); 17 CFR part 43, appendix A and 17 CFR
part 45, appendix 1, (Data Element # 87 (Unique Product Identifier
UPI) (noting that the Commission will designate a UPI pursuant to
Sec. 45.7).
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Without modifications to part 43, Reporting Entities would report
to SDRs a UPI that contains detailed geographic information,
dissemination of which could be contrary to Sec. 43.4(c)(4)(iii) and
appendix E. Without a rule amendment, SDRs would not be permitted to
publicly disseminate a UPI for certain swaps in the other commodity
asset class that require geographic masking under the Commission's
current regulations, as such dissemination would violate Sec.
43.4(c)(4)(iii).
Therefore, an extension of the UPI mandate to the other commodity
asset class must provide for the geographic masking requirement
mandated by Sec. 43.4(c)(4)(iii). Under proposed Sec. 43.4(c)(5)(ii),
Reporting Entities would be obligated to comply with the requirement to
provide, and SDRs with their requirement to disseminate, a description
of the underlying asset(s) that limits geographic detail pursuant to
paragraph (c)(4)(iii) of Sec. 43.4 by providing or disseminating, as
applicable, STAPD that includes a UPI that identifies any specific
delivery point or pricing point pursuant to appendix E to part 43.
The proposed rule amendment harmonizes the competing obligations
under Sec. 43.4(c)(4)(iii) related to limiting geographic detail in
public dissemination of certain swaps in the other commodity asset
class and those under appendix A to disseminate a UPI, which may
contain information that is

[[Page 90051]]

not adequately geographically masked. However, the geographically
limited UPI will not satisfy part 45 reporting obligations. Existing
part 45 requires specific delivery and pricing point details to be
reported, which would not be included in UPIs that disclose a more
generic geographic location to comply with Sec. 43.4(c)(4)(iii).
Therefore, Reporting Entities will also need to report a UPI that
contains those details in order to comply with the part 45 reporting
requirements.
Accordingly, proposed Sec. 43.4(c)(5)(iii) provides that,
notwithstanding the requirement under Sec. 43.4(c)(5)(ii) to provide
and disseminate a geographically-masked UPI pursuant to appendix E to
part 43, Reporting Entities shall comply with part 45 reporting
obligations by providing to SDRs a separate UPI that does not limit the
geographic detail of the underlying assets. Finally, proposed Sec.
43.4(c)(5)(i) provides that, for swaps in the interest rate, credit,
equity, and foreign exchange asset classes, as well as swaps in the
other commodity asset class described in Sec. 43.3(c)(4)(ii),
Reporting Entities shall comply with their requirement to provide an
actual description of the underlying asset(s) by providing STAPD that
includes a UPI system, once such identifier has been designated by the
Commission to be used in recordkeeping and swap data reporting pursuant
to regulation 45.7. Proposed Sec. 43.3(c)(5)(i) also provides that an
SDR will be deemed to have complied with the requirement to disseminate
an actual description of the underlying asset(s) by disseminating STAPD
that includes a UPI that has been designated by the Commission.

B. Conforming Changes to Sec. 43.4(c) and Appendix E

The Commission is proposing to make additional conforming and
technical changes to Sec. 43.4(c) and appendix E to align with the
proposed modifications discussed above.
Existing Sec. 43.4(c)(2) requires Reporting Entities to provide an
SDR with STAPD that includes an actual description of the underlying
asset. Because, as discussed above, the requirement to provide a UPI
and, if applicable, a UPI that limits geographic information, is being
proposed in Sec. 43.4(c)(5), the proposal implements a conforming
revision to indicate that the requirement in Sec. 43.4(c)(2) to
provide an actual description of the underlying asset applies to PRST
in the interest rate, credit, equity, and foreign exchange asset
classes. Similarly, the Commission is proposing to address the
requirement that Reporting Entities provide the underlying asset to an
SDR in Sec. 43.4(c)(4), as modified. This change is not meant to be
substantive, but rather is intended as a technical revision to group
requirements that are specific to an asset class within the same
paragraph. The Commission is proposing technical revisions to the title
and text of Sec. 43.4(c)(4) to clarify and conform to the amendments
proposed in section II.A above. As such, the revision to the title
clarifies that the section addresses both the reporting and public
dissemination of the underlying asset(s) for certain swaps in the other
commodity asset class. The technical revision to Sec. 43.4(c)(4) and
Sec. 43.4(c)(4)(i) identifies the Reporting Entities obligated to
provide the SDRs with certain STAPD. Additionally, the proposed
technical revisions to Sec. 43.4(c)(4)(ii) and (iii) address the
obligation to provide the underlying asset(s) of swaps in the other
commodity asset class as stipulated in each of these sections, to
conform with the rest of the regulatory text in the section.
Appendix E to part 43 includes tables E1 and E2 which must be used
by SDRs to disseminate any specific delivery points or pricing points
for PRSTs in the other commodity asset class as required by Sec.
43.4(c)(4)(iii). The Commission proposes to add introductory language
for consistency with the proposed amendments to Sec. 43.4(c) described
above and proposed new Sec. 43.4(c)(5)(ii).

C. Proposed Amendments to Sec. 45.7(b)

In addition to the changes to part 43 discussed above, the
Commission is also proposing modifications to Sec. 45.7(b) with
regards to the Commission's authority to condition or revoke a UPI
designation order. As stated above, Sec. 45.7 provides that when the
Commission determines that a UPI and product classification system is
available for use and meets the requirements of Sec. 45.7, the
Commission shall designate the unique product identifier and product
classification system to be used in recordkeeping and swap data
reporting by means of a Commission order published in the Federal
Register and on the website of the Commission.
Section 45.7(a) establishes the requirements that the UPI and
product classification system must meet to enable the Commission and
other financial regulators to fulfill their regulatory responsibilities
and to assist in real time reporting of swaps as provided in the CEA
and part 43. The Commission is proposing to modify Sec. 45.7 to
address the Commission's authority to condition a designation of a UPI
and product classification system. For example, the Commission may
determine that it is appropriate to condition the designation of a UPI
and product classification system on such an identifier continuing to
meet certain international standards related to distinctiveness and
specificity. As another example, the Commission may include as a
condition of designation an implementation date for use of such UPI and
product classification system. The Commission proposes adding the
following language at the end of Sec. 45.7(b)(2); The Commission may
subject such designation order to conditions to ensure the unique
product identifier and product classification system continue to meet
the requirements set out in paragraph (a) above. The Commission may
also set, in such designation order, a date on which such designation
shall be effective. The Commission is also proposing to address the
Commission's authority to limit, suspend, or revoke a designation order
previously issued by the Commission. The Commission proposes to add
Sec. 45.7(b)(3), to direct that if the Commission determines that a
unique product identifier and product classification system, subject to
a designation order pursuant to paragraph (b) of this section, no
longer satisfies the requirements set forth in this section, the
Commission may limit, suspend, or withdraw the designation order
consistent with the Act after appropriate notice and opportunity to
respond. This amendment seeks to address the unlikely scenario where a
previously designated UPI and product classification system fails to
meet the requirements set out in Sec. 45.7.
Finally, the Commission proposes conforming and technical revisions
to Sec. 45.7. The Commission proposes adding ``and Product
Classification System'' to the title of Sec. 45.7 for consistency with
the rest of the regulatory text. The Commission also proposes a
revision to the language in Sec. 45.7(c)(2) to conform to new proposed
Sec. 45.7(b)(3), which provides for the withdrawal of a previously
issued designation order. Commission regulation 45.7(c)(2) is meant to
set out obligations that are applicable in the absence of a designated
UPI and product classification system. The proposed modifications are
meant to address both a situation where a UPI and product
classification system has not yet been designated by the Commission,
and, now, a situation where a UPI and product classification system was
previously designated but is no longer

[[Page 90052]]

in effect, as contemplated by new, proposed Sec. 45.7(b)(3).

III. Additional Swap Data Elements Reported to the Commission and to
Swap Data Repositories

A. Background

The Commission is proposing to add and further standardize the
required data elements and definitions set out in the Data Element
Appendices. The Data Element Appendices specify the current
requirements for data elements reporting; \65\ the Revised Technical
Specification, published on the Commission's website pursuant to
delegated authority, provides the form and manner specifications for
reporting the required data elements.\66\ Commission staff published
the Revised Technical Specification on March 1, 2023.\67\ The Revised
Technical Specification organizes each data element from the Data
Element Appendices by category and provides for the corresponding
definition, format, allowable values, and validation rules for each
data element.\68\
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\65\ 2020 SDRR Final Rule at 75540 (highlighting the differences
between swap data elements required to be reported to SDRs pursuant
to part 45 in appendix 1 to part 45 and swap transaction and pricing
data elements required to be reported to, and then publicly
disseminated by, SDRs pursuant to part 43 in appendix A to part 43.
Both the appendices are harmonized such that the swap transaction
and pricing data elements are a subset of the swap data elements in
appendix 1 to part 45).
\66\ 17 CFR 43.7(a)(1); 17 CFR 45.15(b).
\67\ CFTC Technical Specification, Version 3.2 (Mar. 1, 2023),
available at <a href="https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download">https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download</a>.
\68\ Id.
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Prior to the implementation of the 2020 Final Rules, SDRs had some
discretion over what swap data was reported, which led to a lack of
standardization across SDRs.\69\ This lack of standardization warranted
the introduction of the revised Data Element Appendices and the
Technical Specification. The Commission's adoption of the 2020 Final
Rules standardized a significant number of data elements reported to
the Commission and to the public.
---------------------------------------------------------------------------

\69\ 2020 SDRR Final Rule, 85 FR at 75539.
---------------------------------------------------------------------------

When the Commission adopted the Data Element Appendices in 2020, it
noted that those appendices did not address the standardization of data
elements specific to swap product terms.\70\ The Commission noted its
expectation that a UPI would be available in two years, and that until
the Commission designated a UPI pursuant to Sec. 45.7, SDRs would
continue to accept, and reporting entities would continue to report the
unstandardized product-related data elements unique to each SDR.\71\ As
discussed above, subsequent to its 2020 Final Rules' adoption, the
Commission has designated DSB as the UPI service provider and expects
reporting of DSB UPIs for the interest rate, credit, foreign exchange,
and equity classes to begin no later than January 29, 2024.
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\70\ Id. at 75540; 2020 RTR Final Rule, 85 FR at 75458
(highlighting the Commission's belief that this temporary solution
will benefit SDRs such that they will only have to change their
systems once when a UPI becomes available, instead of twice if the
Commission created standardized product data elements before UPIs
were available and then later when UPIs were designated).
\71\ 2020 SDRR Final Rule, 85 FR at 75540.
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The Commission is proposing to update the Data Element Appendices
\72\ to include additional data elements. These additional data
elements (1) supplement the UPI Reference Data Library with additional
data elements from the 2023 CDE Technical Guidance; (2) add necessary
information and address reporting quality issues; and (3) further
facilitate the standardization of data elements. At the same time as
the Commission is proposing to update the Data Element Appendices,
staff is publishing draft updated technical specifications for
reporting the swap data elements in the Data Element Appendices.
Commission staff is publishing a draft updated technical specification
(``Technical Specification 3.3''),\73\ when this notice is published so
commenters can comment on both the NPRM and the technical standards and
validation conditions. Commenters are encouraged to comment on the
NPRM, as well as provide feedback on the Technical Specification 3.3
that highlights the form and manner of the required fields within the
Data Element Appendices pursuant to delegated authority. Commission
staff is involved in international efforts for the harmonization of
data elements, and the Commission welcomes comments related to the 2023
CDE Technical Guidance in accordance with the CDE Governance
Arrangements \74\ procedures. To simplify the organization of comments
received, the additional data elements discussed below are divided into
two categories: (1) fields that are included in the 2023 CDE Technical
Guidance (``CDE Fields''); and (2) fields that are not included in the
CDE Technical Guidance (``CFTC Fields'').
---------------------------------------------------------------------------

\72\ Staff note the proposed data elements that are not proposed
to be publicly disseminated and are for regulatory reporting
purposes under part 45 only will be referenced to as additions to
appendix 1 of part 45. The proposed data elements that SDRs are to
publicly disseminate will be referenced as additions to the Data
Element Appendices.
\73\ CFTC Technical Specification 3.3 will be published on the
Commission's website alongside the publication of this NPRM,
available at <a href="https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_18_RealTimeReporting/index.htm">https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_18_RealTimeReporting/index.htm</a> and <a href="https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_17_Recordkeeping/index.htm">https://www.cftc.gov/LawRegulation/DoddFrankAct/Rulemakings/DF_17_Recordkeeping/index.htm</a>.
\74\ CPMI-IOSCO, Governance Arrangements for Critical OTC
Derivatives Data Elements (other than UTI and UPI) (October 2019),
available at <a href="https://www.bis.org/cpmi/publ/d186.htm">https://www.bis.org/cpmi/publ/d186.htm</a> (``CDE
Governance Arrangements'').
---------------------------------------------------------------------------

B. Proposed Data Elements From the CDE Technical Guidance

The Commission previously noted its intent to adopt the CDE
Technical Guidance data elements to the extent possible.\75\ The
Commission also anticipated the need to update the Data Element
Appendices to adopt any changes to the CDE Technical Guidance.\76\ The
Commission is proposing the addition of certain data elements that are
internationally harmonized in the 2023 CDE Technical Guidance. The
Commission believes including certain 2023 CDE Technical Guidance data
elements will create significant efficiencies for reporting entities
and the Commission.
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\75\ 2020 RTR NPRM, 85 FR at 21542; 2020 RTR Final Rule, 85 FR
at 75539-40.
\76\ 2020 RTR Final Rule, 85 FR at 75539-40.
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The Commission is proposing to add nineteen data elements from the
2023 CDE Technical Guidance to the Data Element Appendices. These data
elements are related to the following categories: Custom Baskets,
Price, Product, and Notional Amounts and Quantities.
These proposed fields provide additional swap market transparency
and separate data elements for various quantity, amount, and schedule
date periods. This allows the Commission to access and query the data
in a streamlined manner while also enabling analysis of schedule date
periods with the corresponding valuations. The Commission invites
comments on any of the data elements listed below.
Custom Baskets. The Commission is proposing to add five CDE data
elements \77\ related to custom baskets to proactively address exposure
risks and to allow for the linking of constituents of a custom basket
for cross-basket analysis, among other analyses. These proposed data
elements would not be publicly disseminated to ensure the anonymity of
the swap counterparties and the confidentiality of business
transactions and market positions. The Commission currently requires

[[Page 90053]]

reporting entities to report only one data element \78\ related to
custom baskets that is publicly disseminated.\79\ Existing data element
Custom Basket Indicator \80\ only provides information pertaining to
whether a transaction is associated with a custom basket. The
Commission is proposing to add data elements to appendix 1 of part 45
because it believes that the visibility and reporting accuracy of
holdings in custom baskets provides critical information.\81\ For
example, in order to conduct adequate market surveillance, including
insider trading investigations, it is necessary to identify the
constituents of a custom basket. Without this information, the
Commission would be unable to determine the underlying positions that a
swap counterparty maintained. The Commission is therefore proposing to
adopt these internationally harmonized,\82\ custom basket data
elements.
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\77\ These proposed data elements are Custom basket code (34),
Basket constituent identifier (35), Basket constituent unit of
measure (37), Basket constituent number of units (38), and Basket
constituent identifier source (36), which would be added to appendix
1 to part 45.
\78\ See CFTC Technical Specification, Version 3.2 (March 1,
2023), available at <a href="https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download">https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download</a>.
\79\ 2020 RTR Final Rule, 85 FR at 75458.
\80\ See CFTC Technical Specification, supra note 50, for data
element Custom Basket Indicator (25).
\81\ This view is shared by other financial regulators. See,
e.g., Frequently Asked Questions on Regulation SBSR, U.S. Securities
and Exchange Commission (Aug. 11, 2022), available at <a href="https://www.sec.gov/tm/faqs-reg-sbs">https://www.sec.gov/tm/faqs-reg-sbs</a> (clarifying Rule 901(c)(1) requires the
reporting of specific underlying reference assets); See also CPMI
and IOSCO, Technical Guidance: Harmonisation of the Unique Product
Identifier (Sept. 2017) at 20, available at <a href="https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf">https://www.iosco.org/library/pubdocs/pdf/IOSCOPD580.pdf</a> (explaining that authorities have
an interest in data related to any custom basket of assets
underlying an OTC derivative product in order to understand the
economics of the product).
\82\ In addition, the European Securities and Markets Authority
(ESMA) and Ontario Securities Commission (OSC), respectively, are
planning to implement or have proposed to implement certain
identifying information related to the frequency, creator, and
underlier related information of basket creation, among other items,
from the CDE Technical Guidance. See, generally, July 10, 2022 O.J.
(L 262), available at <a href="https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN">https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN</a>; Proposed Amendments to OSC
Rule 91-507 Trade Repositories and Derivatives Data Reporting and
Proposed Changes to OSC Companion Policy 91-507CP and Proposed
Changes to OSC Companion Policy 91-506CP, R.R.O. 2022--45 (OSC)
(highlighting fields 120-124), available at <a href="https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf">https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf</a>.
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Prices. The Commission is proposing to add six CDE data elements to
the Data Element Appendices related to price schedules.\83\ The
Commission currently requires SDRs to publicly disseminate certain non-
schedule related information within the price category.\84\ The Data
Element Appendices do not currently contain elements related to price
schedules. As such, SDRs currently receive and disseminate several data
elements related to price schedules as unstandardized product-related
fields. The proposed price schedule data elements are critical for the
Commission to receive because it is common for swap transactions to
have price-related terms that vary over the duration of the swap,
particularly for the equity and other commodity asset classes. These
terms impact the transaction value over time. Without the reporting of
these price related schedule data elements, the value of the swap
transaction over time that is implied from the swap data would be
misleading. The proposed fields have been internationally harmonized
and are expected to be implemented across multiple jurisdictions.\85\
The Commission believes that the inclusion of these data elements in
the Data Element Appendices will not only further international
harmonization efforts but also increase the accuracy and utility of the
swap data reported to, and disseminated by, SDRs.
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\83\ These proposed data elements are Price schedule-unadjusted
effective date of the price (99), Price schedule-unadjusted end date
of the price (100), Price schedule-price (101), Strike price
schedule-Unadjusted effective date of the strike price (108), Strike
price schedule-unadjusted end date of the strike price (109), and
Strike price-schedule-strike price (110). These proposed data
elements will be added to the Data Element Appendices.
\84\ Currently, SDRs publicly disseminate nine data elements
uniquely related to the commodity asset class and eight data
elements uniquely related to the equity asset class in the price
category. Data Field Option Premium Payment Date (#81) is not
publicly disseminated.
\85\ See, e.g. July 10, 2022 O.J. (L 262) (highlighting fields
50-52 and 135-137), available at <a href="https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN">https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN</a>.
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Product. As discussed above, there are certain proposed data
elements related to underlier information that capture data not
included in the UPI Taxonomy but are within the CDE Technical Guidance.
Additionally, there are certain proposed data elements that are not
captured in either the UPI Taxonomy or the CDE Technical Guidance. The
Commission will first discuss the proposed CDE Fields specific to the
product underlier, and then will discuss the proposed CFTC fields that
are supplemental to the CDE Fields and the UPI Taxonomy in section
III.C below.
The UPI includes granular product-level information, such as
underlier and identifier information.\86\ When a reporting entity
submits a request for a UPI Code to the unique product identifier
service provider, the reporting entity submits a set of product
reference data elements.\87\ When an underlier is not recognized by a
unique product identifier service provider, the reporting entity will
submit the value ``other'' for the Underlier ID and Underlier ID Source
fields to the UPI service provider. If approved by the UPI service
provider, the corresponding issued UPI Reference Data Library would not
include detailed underlier information that would allow the Commission
to determine the underlying product of the swap transaction. Without
this granular information, the Commission would not have sufficient
understanding of the financial product and would be unable to
distinguish between different products that are represented by the same
``other'' underlier type. Proposed fields ``Underlier ID (Other)'' and
``Underlier ID (Other) source'' would allow for this granular
information to be reported and allow the Commission to understand the
characteristics of the non-standard underliers across asset classes at
a level of granularity not provided in the UPI Taxonomy that resolves
to the ``other'' underlier type.\88\
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\86\ See UPI Technical Guidance supra note 16 at 6.
\87\ Id. at 13-18. (highlighting that the UPI Reference Data
include attributes such as ``Asset Class'', ``Instrument Type'',
``Delivery Type'', ``UPI Code'', ``CFI Code'', ``Underlier Name'',
``Underlying Asset Type'', ``Underlier ID Source'', ``Underlying
ID'', among others).
\88\ These proposed data elements are Underlier ID (Other) (126)
and Underlier ID (Other) source (127). These proposed data elements
would be added to appendix 1 to part 45.
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The Commission is proposing two additional CDE product-related
fields that are necessary to understand specific product information
related to the source of the price of an underlier. The UPI Taxonomy
does not include the trading venue of an underlier. For example, in the
case of an equity swap, although the underlier would be part of the UPI
Taxonomy, if that underlier were traded on a venue in a non-U.S.
jurisdiction, that venue would not be included in the UPI Taxonomy. For
those transactions that occur off-venue, the source of the price of the
underlier is also not included in the UPI Taxonomy. Without that source
being reported, the Commission would be unable to consistently
determine the benchmark value of the source of the underlier. Proposed
CDE data elements ``Underlying asset trading platform identifier'' and
``Underlying asset price source'' will enable the Commission to receive
critical pricing information in a consistent manner across various
sources.\89\ Moreover, receiving

[[Page 90054]]

information specifying the underlying asset price source is critical to
the Commission's benchmark manipulation surveillance efforts. In order
to adequately conduct such surveillance efforts, the Commission must be
able to reliably understand what source is being used to price the
underlier of the swap transaction.
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\89\ These proposed data elements are Underlying asset trading
platform identifier (129) and Underlying asset price source (128),
which would be added to appendix 1 to part 45.
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Finally, the proposed ``Crypto asset underlying indicator'' data
element \90\ provides for the identification of derivative transaction
underliers that include crypto assets. This data element is
particularly important given the quickly-evolving market for crypto
assets and the current lack of standardization in the representation of
swap transactions with crypto asset underliers.\91\ The submission of
this indicator will allow the Commission and the public to more easily
identify those transactions that have crypto asset underliers,
regardless of the underlying product. This indicator is internationally
harmonized and expected to be implemented across multiple
jurisdictions.\92\
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\90\ The proposed data element is Crypto asset underlying
indicator (130). This proposed data element will be added to the
Data Element Appendices.
\91\ For example, crypto asset transactions are often reported
differently across transactions. However, there is currently no ISO
currency code corresponding to crypto assets. See Kath Lockett, The
down-low on digital currency, ISO focus: The New Wave of Finance
(Jan. 9, 2020), available at <a href="https://www.iso.org/files/live/sites/isoorg/files/news/magazine/ISOfocus%20">https://www.iso.org/files/live/sites/isoorg/files/news/magazine/ISOfocus%20</a>(2013-NOW)/en/2020/
ISOfocus_138/ISOfocus_138_en.pdf.
\92\ See, e.g., July 10, 2022 O.J. (L 262) (highlighting field
12), available at <a href="https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN">https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN</a>; See Proposed Amendments to OSC
Rule 91-507 Trade Repositories and Derivatives Data Reporting and
Proposed Changes to OSC Companion Policy 91-507CP and Proposed
Changes to OSC Companion Policy 91-506CP, R.R.O. 2022--45 (OSC)
(highlighting field 119), available at <a href="https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf">https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf</a>.
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Notional Amounts and Quantities. The Commission is proposing to add
three data elements related to notional quantity schedules to the Data
Element Appendices.\93\ These data elements would be applicable to the
other commodity asset class, where notional is often stated as a
quantity rather than a dollar amount. While the Data Element Appendices
include certain data elements related to schedules, data elements
addressing the non-monetary quantities for these types of instruments
are currently not included in the Data Element Appendices.\94\ Similar
to the discussion of the price-related schedule fields above, the
notional quantity fields being proposed are necessary in order to
understand the economics and value of a swap transaction changing over
time. These notional quantity schedule fields are a part of the CDE
Technical Guidance and expected to be adopted across multiple
jurisdictions.\95\
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\93\ These proposed data elements, which would be added to the
Data Element Appendices, are: Notional quantity schedule--unadjusted
date on which the associated notional quantity becomes effective
(57), Notional quantity schedule--unadjusted end date of the
notional quantity (58), and Notional quantity schedule--notional
quantity (59).
\94\ Existing Data Element Appendices currently include the
following data elements related to Notional Amount and Quantity
schedules: Notional amount schedule--notional amount in effect on
associated effective date (33); Notional amount schedule--unadjusted
effective date of the notional amount (34); and Notional amount
schedule--unadjusted end date of the notional amount (35).
\95\ See, e.g., July 10, 2022 O.J. (L 262), available at <a href="https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN">https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN</a>; See Proposed Amendments to OSC Rule
91-507 Trade Repositories and Derivatives Data Reporting and
Proposed Changes to OSC Companion Policy 91-507CP and Proposed
Changes to OSC Companion Policy 91-506CP, R.R.O. 2022--45 (OSC)
(highlighting field 37-39), available at <a href="https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf">https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf</a>.
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C. Proposed CFTC Data Elements

The Commission is proposing to supplement the Data Element
Appendices with data fields sourced beyond the UPI Reference Data
Library and CDE Technical Guidance by adding Commission-related data
elements to further standardization efforts and address data quality
concerns. As discussed below, these proposed data elements will ensure
the Commission has access to data needed to facilitate market oversight
through surveillance and compliance review.
Primarily, the UPI system is comprised of a UPI code and associated
UPI reference data. The UPI reference data elements include three
levels of information: instrument type (e.g., forwards, options,
swaps), instrument characteristics (e.g., physical delivery, Bermudan
exercise), and certain information about the product (e.g., elements of
underliers such as identifiers). The UPI system is not designed to
identify contract- or transaction-level information. The proposed data
elements are intended to facilitate the reporting of information not
discernable through the reporting of the UPI. As discussed below, in
cases where the underlier product-level information has been assigned
the value of ``other''--as may be the case for certain bespoke or
basket transactions--additional information will be needed to
adequately identify the transaction.
In addition to the proposed UPI-related fields, the Commission is
proposing to add additional fields to the Data Element Appendices that
will enhance data quality and standardization. The Commission noted the
significant effort that must be done to standardize swap data.\96\
Periodic review of internal processes, market transparency efforts, and
proactively addressing the market's use of new technology is consistent
with the Commission's mission to promote the integrity, resilience, and
vibrancy of the U.S. derivatives markets through sound regulation.
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\96\ See 2020 SDRR Final Rule, 85 FR at 75539.
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Thus, the Commission is proposing to add thirty data elements
related to the following categories: Clearing, Counterparty, Notional
Amounts and Quantities, Price, Product, and Transaction Categories. The
Commission invites comments on any of the data elements listed below;
additionally, Commission staff invite separate comment on the draft
Technical Specification 3.3 now published on the Commission website
that is intended, upon finalization, to provide technical instructions
on the acceptable form and manner for transmitting required data
elements to an SDR.
Clearing. The Commission is proposing to add two clearing-related
fields to appendix 1 to part 45: ``Mandatory clearing indicator'' and
``Clearing member identifier source.'' \97\ The current Data Element
Appendices contain a number of clearing related data elements.\98\
These data elements provide significant information regarding the
clearing-related attributes of a given transaction, however, the
currently required clearing-related data elements do not provide an
indication as to whether a swap transaction is subject to mandatory
clearing. For example, currently the ``Cleared'' field, which is
populated with either yes, no, or intent to clear, does not enable the
Commission to determine whether a

[[Page 90055]]

trade is required to be cleared or voluntarily cleared. Although the
Commission previously noted that it may be able to determine this
information through a separate analysis based on underlying product
fields, it also noted the difficulties in obtaining such
information.\99\ The Commission believes that the provision of this
data element will allow staff to efficiently monitor compliance with
the clearing mandate. In addition, the Commission believes market
participants already engage in determinations as to whether a specific
transaction is subject to mandatory clearing and as such collection of
this indicator should not present a significant burden to market
participants.
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\97\ These proposed data elements are Mandatory clearing
indicator (14) and Clearing member identifier source (5). Data
Element Mandatory clearing indicator (14) will be added to the Data
Element Appendices. Data Element Clearing member identifier source
(5) will be added to appendix 1 of part 45.
\98\ Appendix A of part 43 contains one clearing-related data
element, Cleared (1). Appendix 1 of part 45 contains the following
clearing-related data elements: Central counterparty (2), Clearing
account origin (3), Clearing member (4), Clearing swap USIs (5),
Clearing swap UTIs (6), Original swap USI (7), Original swap UTI
(8), Original Swap SDR identifier (9), Clearing receipt timestamp
(10), Clearing exceptions and exemptions--Counterparty 1 (11), and
Clearing exceptions and exemptions--Counterparty 2 (12).
\99\ 2020 SDRR Final Rule, 85 FR at 75541 n.315.
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In addition to the ``Mandatory clearing indicator'' data element,
the Commission is proposing to include a ``Clearing member identifier
source'' data element in appendix 1 to part 45. This data element would
provide significant data quality benefits. In order for the SDRs to be
able to validate values that are submitted in the ``Clearing member''
data element, the swap data repositories must know what the source of
the identifier is. Because Legal Entity Identifiers (``LEIs''), natural
person identifiers, and Privacy Law Identifiers (``PLIs'') have
different characteristics, without knowing the relevant source for the
value submitted in the ``Clearing member'' data element, adequate
validations cannot be applied to that data element. This results in
data quality that is lower than it would otherwise be with the
implementation of the ``Clearing member identifier source.''
Counterparty. The Commission is proposing to add four counterparty-
related data elements to appendix 1 to part 45 that will enhance data
quality in various ways.\100\ Similar to the ``Clearing member
identifier source'' data element discussed above, the proposed addition
of a ``Counterparty 1 identifier source'' will provide significant data
quality benefits because it will more readily allow for adequate data
validation of the Counterparty 1 data element.\101\
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\100\ These proposed data elements are Counterparty 1 Identifier
Source (16), Counterparty 1 Designation (28), Counterparty 2
Designation (29), and Counterparty 2 Special Entity (30). These
proposed data elements will be added to appendix 1 to part 45.
\101\ In addition, the inclusion of this field will align the
Counterparty 1 elements with the Counterparty 2 elements, as
``Counterparty 2 identifier source'' is included in the existing
Appendix 1 to part 45 (#15).
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The Commission is also proposing to add three data elements that
indicate the entity designations of counterparties to a transaction.
``Counterparty 1 designation'' and ``Counterparty 2 designation'' will
indicate if a counterparty is a SD, MSP, derivatives clearing
organization (``DCO''), or non-SD/MSP/DCO. Similarly, ``Counterparty 2
special entity'' will indicate if Counterparty 2 is a special entity.
These entity designation fields are important for the Commission
because many of the Commission's regulations apply based on entity
designation. For example, certain business conduct standards are
applicable specifically to transactions entered into with a special
entity.\102\ The proposed ``Counterparty 2 special entity'' data
element is necessary for the Commission to be able to determine whether
a special entity is a party to a given transaction. Similarly, the
``Counterparty 1 designation'' and ``Counterparty 2 designation'' data
elements are necessary to determine whether, for example, a SD is a
party to a transaction, which is critical to understanding both
regulatory obligations as well as market dynamics.
---------------------------------------------------------------------------

\102\ See, e.g., 17 CFR 23.450.
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Notional Amounts and Quantities. The Commission is proposing to add
ten data \103\ elements related to Notional Amounts and Quantities to
appendix 1 to part 45. Nine of these data elements are specific to the
other commodity asset class. These nine data elements would provide
information that is necessary to understand the characteristics of the
commodity transaction. These data elements provide additional
information that is not included in the UPI Reference Data Library and,
without adoption of these proposed elements, would not be reported once
a unique product identifier and classification system is designated for
the other commodity asset class. Specifically, these data elements
provide information related to the load profile type, applicable hours,
and days of the week for the delivery of power. This information is not
included in the UPI Reference Data Library and is necessary to
understand the economics of a transaction for the delivery of power.
---------------------------------------------------------------------------

\103\ These proposed data elements are Notional quantity
schedule--days of week (60), Notional quantity schedule--hours from
thru (63), Notional quantity schedule -load profile type (66), USD
equivalent regulatory notional amount (42), Notional quantity
schedule--unadjusted effective date of days of week (61), Notional
quantity schedule--unadjusted end date of days of week (62),
Notional quantity schedule--unadjusted effective date of hours from
thru (64), Notional quantity schedule--unadjusted end date of hours
from thru (65), Notional quantity schedule -unadjusted effective
date of load profile type (67), and Notional quantity schedule-
unadjusted end date of load profile type (68). These proposed data
elements will be added to appendix 1 of part 45.
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Finally, the Commission is proposing to add the data element ``USD
equivalent regulatory notional amount'' to appendix 1 to part 45.\104\
This data element will allow for the consistent reporting of notional
amounts for transactions denominated in U.S. dollars. The reporting of
USD notional amount will allow Commission staff to more efficiently
monitor swap market activity, specifically for swap dealer de minimis
monitoring, part 43 market transparency calculations, and for risk
surveillance purposes.
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\104\ The proposed data element is USD equivalent regulatory
notional amount (42).
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Price. The Commission is proposing to add six price-related data
elements to the Data Element Appendices, three of which specifically
relate to option-type instruments.\105\ The proposed data elements
``Option exercise end date'', ``Option exercise frequency period'', and
``Option exercise frequency period multiplier'' will provide
information that is critical to understanding the economics of a
particular swap transaction. In particular, these data elements will
provide key dates and schedules of the option contract, which is
necessary to conduct market surveillance and identify potential cases
of market manipulation.
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\105\ These proposed data elements are Option exercise end date
(113), Option exercise frequency period (114), and Option exercise
frequency period multiplier (115). These proposed data elements will
be added to the Data Element Appendices.
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In addition to these three price-related elements, the Commission
is proposing to add three data elements related to settlement price
analysis to appendix A to part 45.\106\ Similar to the three proposed
fields above, these fields will further market surveillance. For
example, proposed ``Swap pricing method'' and ``Pricing date schedule
of the swap'' fields will facilitate market surveillance and
identification of situations where the value of a derivative position
impacts the value of the underlying asset on the settlement day in a
way that benefits the position.
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\106\ These proposed data elements are Swap pricing method
(116), Pricing date schedule of the swap (117), and Start and end
time of the settlement window for the floating leg(s) (118). These
proposed data elements will be added to appendix 1 of part 45.
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Product. The Commission is proposing to add two product-related
data elements to the Data Element Appendices \107\ and three product-
related data elements to appendix 1 to

[[Page 90056]]

part 45.\108\ The proposed ``Pricing index location'' and ``Physical
delivery location'' fields would allow the Commission to receive
critical pricing and delivery location information in the case where
the UPI is reported with an underlier of ``other'' or other instances
where the pricing or delivery locations could not be derived from the
Underlier ID. Proposed ``Physical commodity contract indicator''
provides critical information related to whether a swap in the other
commodity asset class is related to or references one of the contracts
in appendix B to part 43. This information is important to perform
cross-market analysis and surveillance. The UPI Reference Data Library
does not provide for the reporting of the product grade for swaps in
the other commodity asset class. The proposed ``Product grade'' field
would aid in the analysis of an entities' exposure, which can vary
based on the grade of the commodity. Finally, the proposed ``Maturity
date of the underlier'' field would provide information about the
underlier that is relevant for swaption and swap products referencing
exchange traded derivative products. This data element is expected to
be implemented across jurisdictions.\109\
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\107\ These data elements are Physical commodity contract
indicator (131) and Maturity date of the underlier (133).
\108\ These proposed data elements are Physical delivery
location (124), Pricing index location (125), and Product grade
(132).
\109\ See, generally, July 10, 2022 O.J. (L 262), available at
<a href="https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN">https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32022R1855&from=EN</a>; See Proposed Amendments to OSC Rule
91-507 Trade Repositories and Derivatives Data Reporting and
Proposed Changes to OSC Companion Policy 91-507CP and Proposed
Changes to OSC Companion Policy 91-506CP, R.R.O. 2022--45 (OSC)
(highlighting field 37-39), available at <a href="https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf">https://www.osc.ca/sites/default/files/2022-06/cp_20220609_91-507_trade-repositories-derivatives-data-reporting.pdf</a>.
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Transaction Related. The Commission is proposing to add two
transaction-related data elements to the Data Element Appendices \110\
and one additional transaction-related data element to appendix 1 to
part 45.\111\ These elements are intended to facilitate an SDR's
ability to meet its regulatory obligations under parts 43 and 49 of the
Commission's regulations. Commission regulation 43.5(d) requires an SDR
to disseminate swap transaction and pricing data for transactions
executed on or pursuant to the rules of a SEF or DCM subject to a
specified time delay. The proposed ``SEF or DCM indicator'' data
element would provide an SDR with information necessary to indicate
when its obligations under Commission regulation 43.5(d) apply. In
addition to dissemination delay requirements specifically related to
SEFs and DCMs, Sec. 43.5 generally sets out required time delays for
block trades and large notional swap transactions. Proposed data
element ``Large notional off-facility swap election indicator'' would
provide an SDR with information necessary to indicate when a time delay
is applicable to a large notional off-facility swap transaction. This
proposed data element is analogous to the ``Block trade election
indicator'' that is already included in the Data Element Appendices.
Finally, the Commission is proposing to add the data element ``SEF or
DCM anonymous execution indicator'' to provide SDRs with information
necessary to comply with Sec. 49.17(f)(2), which requires SDRs to make
a swap transaction accessible to either counterparty to the swap. In
providing this access, Sec. 49.17(f)(2) requires an SDR to not
identify one counterparty to another in instances where the swap is
executed anonymously on a SEF or DCM and cleared in accordance with
Sec. Sec. 1.74, 23.610, and 39.12(b)(7) of the Commission's
regulations. This proposed data element will provide an SDR with
information that is necessary to satisfy the requirements of Sec.
49.17(f)(2).
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\110\ These proposed data elements are Large notional off-
facility swap election indicator (140) and SEF or DCM indicator
(146). These proposed data elements will be added to the Data
Element Appendices.
\111\ The proposed data element is SEF or DCM anonymous
execution indicator (147). This proposed data element will be added
to the Data Element Appendices.
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Request for Comment
The Commission invites comments on any of the data elements listed
above; additionally, Commission staff invite separate comment on the
draft Technical Specification 3.3 now published on the Commission
website that is intended, upon finalization, to provide technical
instructions on the acceptable form and manner for transmitting
required data elements to an SDR. The Commission also requests specific
comment on the following:
(1) Are there any data elements not included in the proposed Data
Element Appendices that commenters believe are necessary to facilitate
further standardization of reporting?
(2) For proposed data element #30 Counterparty 2 special entity,
are there any impediments that reporting entities would experience in
providing additional information related to special entities, such as
whether counterparty 2 is a ``utility special entity''?
(3) For proposed data element #116 Swap pricing method, are there
additional allowable values other than those published in the Technical
Specification that reporting entities believe may be applicable for
this data element?
(4) For proposed data element #42 USD equivalent regulatory
notional amount, are there impediments that reporting entities would
experience in calculating and reporting USD equivalent notional amount?
The Commission also seeks comment on the cited calculation methodology
and the utility of the notional values calculated according to the
methodology.
The Commission requests comment on the following questions related
to swap transactions that reference the delivery of power.
Specifically, the Commission requests comments on any burden or
obstacles for reporting entities in reporting data elements related to
these questions.\112\
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\112\ At least one other jurisdiction intends to collect data
elements related to these questions. See July 10, 2022 O.J. (L 262)
(Fields 121 Load Type; 122 Delivery interval start time; 123
Delivery interval end time; 124 Delivery start date; 125 Delivery
end date; and 127 Days of the week).
---------------------------------------------------------------------------

(5) Days of week: Are there scenarios where the ``Days of Week''
for delivery vary over the duration of a transaction that necessitates
the reporting of multiple ``Days of Week'' occurrences for a single
transaction? Alternatively, is the reporting of a single occurrence of
``Days of the Week'' sufficient, and can this value be derived from
commonly known and available data related to the referenced hub?
(6) Hours from Thru: Are there scenarios where the ``Hours from
Thru'' for delivery vary over the duration of a transaction that
necessitates the reporting of multiple ``Hours from Thru'' occurrences
for a single transaction? Alternatively, is the reporting of a single
occurrence of ``Hours from Thru'' sufficient, and can this value be
derived from commonly known and available data related to the
referenced hub?
(7) Load Profile Type: Are there scenarios where the ``Load Profile
Type'' (e.g., Peak, Off-Peak) for delivery varies over the duration of
a transaction that necessitates the reporting of multiple ``Load
Profile Type'' occurrences for a single transaction? Alternatively, is
the reporting of a single occurrence of ``Load Profile Type''
sufficient, and can this value be derived from commonly known and
available data related to the referenced hub?

IV. Proposed Revisions to the Descriptions of Existing Data Elements in
Appendix A to Part 43 and Appendix 1 to Part 45

The Commission is proposing several modifications to the existing
field descriptions in the Data Element

[[Page 90057]]

Appendices. Some of these modifications are being proposed to harmonize
the descriptions contained in the Data Element Appendices with the
descriptions adopted at the international level by the Regulatory
Oversight Committee and related subcommittees.\113\ For example,
``Reporting timestamp'' in appendix 1 to part 45 is proposed to be
modified to add ``as reported'' to the data element description so that
it reads, ``Data and time of the submission of the report as reported
to the trade repository'' to align the description with the CDE
Technical Guidance.
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\113\ The following existing data elements in appendix 1 to part
45 are proposed to be modified in this way, ``Action type'' (26);
``Event type'' (27); ``Event identifier'' (29); ``Event timestamp''
(30); ``Reporting timestamp'' (97); ``Delta'' (109); ``Valuation
amount'' (110).
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In addition, the descriptions contained in the appendices would be
revised to eliminate detail that describes the form and manner of
reporting the data element.\114\ The form and manner detail proposed to
be removed from the Data Element Appendices would be incorporated in
the Technical Specification 3.3. The Commission believes setting out
the form and manner in one location, namely the Technical
Specification, simplifies the requirements. Moreover, removing such
form and manner detail from the Data Element Appendices would avoid
inconsistent form and manner instructions in those appendices and the
Technical Specification, in the case where such form and manner
instruction is modified in a revised Technical Specification. For
example, data element #56 ``Floating rate reset frequency multiplier''
represents the number of time units, as expressed by data element #55
``Floating rate reset frequency period,'' that determines the frequency
at which periodic payment dates for reset occur. In the Data Element
Appendices, the description of data element #56 includes an example of
a transaction with reset payments occurring every two months. The Data
Element Appendices state that in such case data element #55 should be
populated with ``MNTH'' and data element #56 should be populated with
``2.'' As another example, data element #77 ``Strike price currency/
currency pair'' currently states, in part, that for foreign exchange
(``FX'') options, the manner in which the field should be expressed is
as unit currency/quoted currency. In the Commission's proposed
modifications, these types of form and manner instructions would be
removed from the Data Element Appendices and incorporated in the
Technical Specification.
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\114\ Nearly all of the data elements in the Data Element
Appendices contain such changes.
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Similar to the proposed modifications above, the Commission is also
proposing to remove the asset class references in the Data Element
Appendices. The removal of the asset class information will provide
more clarity to reporting entities as the Technical Specification
contains more specific information related to asset classes. For
example, currently the Data Element Appendices merely indicate, with a
checkmark, whether a data element is applicable for a specific asset
class. The Technical Specification, however, provides more specific
information related to when a particular data element is applicable to
a transaction. This specificity provides more information about when
and how to report a certain data element. Eliminating the asset class
reference from the appendices will avoid any confusion that the more
generic indicator in the appendices may create when read in conjunction
with the more specific information provided in the Technical
Specification. This proposed modification would impact each of the data
elements in the Data Element Appendices.

V. Compliance Date

The Commission understands that market participants would need
sufficient time to adjust reporting systems to account for the proposed
modifications to parts 43 and 45 of the Commission's regulations,
including the reporting of additional data elements not currently
required by parts 43 and 45. In order to provide market participants
with sufficient time, the Commission is proposing that the compliance
date for the rules proposed herein be 365 days following publication of
a final rule in the Federal Register.

Request for Comment

The Commission requests comment on all aspects of the proposed
compliance date. The Commission also requests specific comment on the
following:
(8) Is the proposed compliance date of 365 days after publication
of a final rule in the Federal Register an adequate amount of time for
compliance with respect to the additional data elements in the Data
Element Appendices? If not, please propose an alternative timeline and
provide reasons supporting that alternative timeline.

VI. Related Matters

A. Cost-Benefit Considerations

1. Introduction
Section 15(a) of the CEA requires the Commission to ``consider the
costs and benefits'' of its actions before promulgating a regulation or
issuing certain orders under the CEA.\115\ Section 15(a) further
specifies that the costs and benefits shall be evaluated in light of
five broad areas of market and public concern: (1) protection of market
participants and the public; (2) efficiency, competitiveness, and
financial integrity of futures markets; (3) price discovery; (4) sound
risk management practices; and (5) other public interest
considerations. The Commission considers the costs and benefits
resulting from its discretionary determinations with respect to the
section 15(a) factors.
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\115\ 7 U.S.C. 19(a).
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While, as discussed previously and further below, the Commission
preliminarily believes the proposed amendments--measured relative to
the baseline of status quo conditions--would create meaningful benefits
for market participants and the public, it also recognizes that they
likely would result in some incremental costs. The Commission has
endeavored to enumerate material costs and benefits and, when
reasonably feasible, assign a quantitative value to them. Where it is
not reasonably feasible to quantify costs and benefits of the proposed
amendments, those costs and benefits are discussed qualitatively.
This cost-benefit consideration proceeds by discussing the
background; describing the status quo baseline; identifying and
assessing costs and benefits attributable to proposed non-data element
changes to part 43 and part 45; identifying and assessing costs and
benefits attributable to the proposed expansion of the required data
elements, separated into CDE and non-CDE data elements, the latter
referred to as CFTC data elements; \116\ and, assessing how the costs
and benefits it has identified bear upon each CEA section 15(a)
factors.
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\116\ The cost analysis in section VI. C., as required by the
Paperwork Reduction Act (PRA), is consistent, but not identical to
the costs discussed in this section because for purposes of the PRA,
estimated burden costs are divided between parts 43 and 45, whereas
in this section, the cost and benefits discussions are divided
between CDE data elements and CFTC data elements. Because of these
methodological differences, the estimated costs might not be the
same, but the underlying assumptions are the same.

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[[Page 90058]]

2. Background
As discussed above, the Commission has undertaken several
rulemakings since 2012 related to real-time public reporting (part 43)
and swap data reporting and recordkeeping (part 45). These rulemakings
have common threads, including: the Commission's continued attention to
uphold its CEA section 2(a)(13) obligations \117\ and the Commission's
continued progress toward harmonizing data element reporting across
international jurisdictions as well as Commission registrants (of which
use of a shared UPI and product classification system is a critical
piece).\118\
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\117\ 7 U.S.C. 2(a)(13) (requiring, among other things, that the
Commission promulgate rules that provide for real-time public
availability of STAPD for uncleared swaps in a form and manner to
enhance price discovery while maintaining the anonymity of business
transactions and market positions of the counterparties as well as
ensuring that transaction participants remain anonymous); see also,
e.g., 2012 RTR Final Rule, 77 FR at 1209 (``[T]he Commission is
requiring real-time reporting that will enhance price discovery
while ensuring the anonymity of the swap counterparties and the
confidentiality of business transactions and market positions.'').
\118\ See, e.g., 2012 RTR Final Rule, 77 FR at 1212 (noting
Commission work with prudential regulators to develop unique product
identifiers for the industry); 2012 SDRR Final Rule, 77 FR at 2166
(adopting 17 CFR 45.7 providing that swaps be identified in
recordkeeping and swap data reporting by means of a UPI and product
classification system upon designation by the Commission of such an
identifier and classification system for this purpose); 2020 SDRR
Final Rule, 85 FR at 75540 (discussing expectation for UPI
availability within two years and methods for interim reporting to
SDRs until the Commission designates a UPI provider pursuant to 17
CFR 45.7).
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In the current proposed rulemaking, the Commission builds upon
these prior rulemakings by, among other things, seeking to amend: (i)
Sec. 43.4(c) to allow for geographic masking after the designation of
the UPI for the other commodity asset classes (along with conforming
language amendments to related provisions); (ii) Sec. 45.7(b) to
explicitly state the Commission's authority to condition orders it
issues pursuant to the section, and to limit, suspend or withdraw the
designation of a designated UPI service provider and classification
system; and (iii) the Data Element Appendices consistent with
international harmonization and to provide additional necessary
information, address reporting quality issues and make non-substantive
conforming changes.
Proposed Amendment to Sec. 43.4(c).
Since 2012, the Commission's regulations have incorporated the
concept of UPIs for purposes of both part 43 real-time public reporting
and part 45 swap data reporting and recordkeeping.\119\ In order to
fully implement the use of UPIs in SDR swap data reporting and
recordkeeping as well as real-time public reporting, two challenges
must be addressed. First, at least one UPI service provider capable of
providing Reporting Entities with product codes and operating a
corresponding product classification system needed to exist, be deemed
by the Commission to meet the requirements set out in Sec. 45.7(a) and
be designated under Sec. 45.7(b) for use for swap data reporting and
recordkeeping purposes.\120\ Second, the Commission's regulations must
ensure that CEA section 2(a)(13) anonymity requirements are satisfied
for PRSTs--a necessity that remains operative upon the Commission's
designation of a UPI service provider under Sec. 45.7 and Reporting
Entities' undertaking to report UPI product information data elements
to SDRs for transactions subject to real-time reporting of PRST.
Current Sec. 43.4(c)(4) and appendix E reflect the Commission's
rulemaking efforts up to the present in this regard.\121\ Summarized
through its cumulative rulemakings, the Commission has determined that
with one exception--i.e., off-facility swaps in the other commodity
asset class for which the PRST is not referenced or not economically
related to any of the ``Enumerated Physical Commodity Contracts and
Other Contracts'' listed in appendix B to part 43--compliance with part
43's real-time reporting and public dissemination requirements is
required given the relatively low risk of revealing counterparty
identity, business transactions or market positions.\122\ As to the
certain other commodity asset class swap exception, Sec.
43.4(c)(4)(iii) now mandates that SDRs publicly disseminate the
geographic location detail in a top-coded (i.e., masked) manner as
provided in appendix E to part 43.\123\
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\119\ See 2012 RTR Final Rule, 77 CFR at 1212; 2012 SDRR Final
Rule, 77 FR at 2165, 2166.
\120\ 17 CFR 45.7. Paragraph (c)(2) of the current rule provides
that prior to the Commission's designation of a UPI and product
classification system, Reporting Entities are to use SDRs' internal
product identification or description systems for their swap data
reporting and recordkeeping. Id. 45.7(c)(2).
\121\ 17 CFR 43.4(c)(4); id. part 43 appendix E; see also 2012
RTR Final Rule, 77 CFR at 1208-1212 (determining that all off-
facility swaps in the other commodity asset class that did not fall
under Sec. 43.4(d)(4)(ii) would not be required to comply with the
real-time reporting and public dissemination requirements under part
43 because of the increased likelihood that public dissemination of
the underlying asset could disclose the identity, business
transactions or market positions of a counterparty, until the
adoption of special accommodations in a future Commission release to
address these concerns); Block Trade Final Rule, 78 FR at 32910,
32938, 32941 (adding Sec. 43.4(d)(4)(iii), which mandated that SDRs
must publicly disseminate the details about the geographic location
of the underlying assets of the other commodity swaps not described
in Sec. 43.4(d)(4)(ii) pursuant to the newly added appendix E to
part 43, which allowed for top-coding various geographic regions);
2020 RTR Final Rule, 85 FR at 75439 (declining to adopt proposed
revisions to the masking requirements); discussion in section I.C.,
above.
\122\ See 2012 RTR Final Rule at 1209-1212.
\123\ Block Trade Final Rule, 78 FR at 32910, 32938, 32941.
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By designating a UPI and product classification system for swaps in
the credit, equity, foreign exchange, and interest rate asset classes,
the UPI February 2023 UPI Order significantly advanced the Commission's
progress towards fully implementing UPI data reporting. However, the
Commission remains concerned that its current regulations fall short of
what is necessary to address the eventuality of designating a UPI and
product classification system under Sec. 45.7 for swap contracts in
the other commodity asset class. More specifically, SDRs could face an
operational dilemma after the designation of a UPI code for other
commodity asset class swaps because such designation would trigger the
obligation under parts 43 and 45 that such UPI be included in each
public dissemination and confidential swap report,\124\ yet the UPI may
reference data library elements that reveal key, unmasked geographic
locations such as delivery points. In some circumstances, it may be
impossible for them to meet their general Sec. 43.4(a) obligation to
provide real-time price transparency by publicly disseminating the data
specified in appendix A that Reporting Entities submit to them for
other commodity asset class transactions (i.e., unmasked UPI data
elements) without violating Sec. 43.4(c)(4)(iii)'s requirement that
publicly disseminated geographical information be masked in accordance
with appendix E. Proposed Sec. 43.4(c)(5) is intended to resolve this
problem and allow for full UPI reporting implementation.
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\124\ 2012 SDRR Final Rule, 77 FR at 2166; 17 CFR 45.7(c)(1).
---------------------------------------------------------------------------

Proposed Amendment to Sec. 45.7(b).
The Commission also proposes to amend Sec. 45.7(b) to expressly
state its authority to issue UPI designation orders subject to
conditions and to amend, suspend, or withdraw any such designation
order after appropriate notice and opportunity to respond.
Proposed Amendment to Data Element Appendices
This rulemaking also seeks to amend the Data Element Appendices by
adding

[[Page 90059]]

data elements, including product-related data elements it refrained
from including in the 2020 Final Rules out of concern that they would
become redundant with the implementation of the UPI.\125\ Since the
2020 Final Rules, the Commission has identified product-level data
elements important for effective market oversight, but that are not
determinable through the UPI and associated data library. The proposed
new data elements broadly fall into two categories: CDE fields and CFTC
fields. The proposed CDE data elements will further harmonize reported
swaps data across jurisdictions, and the proposed CFTC fields will
improve the Commission's ability to oversee its registrants. With
respect to the latter, for example, the current Commission regulations
do not consider that certain power swaps have associated schedules
specific to the delivery process or specific details of the underlying
option exercise--a shortcoming that limits transparency into
information that can be revelatory and important for oversight
purposes.
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\125\ Besides the UPI, the current list of data elements
required pursuant to appendix 1 of part 45 includes four other
product-related fields; two of these are also included in appendix A
of part 43. In the 2020 SDRR Final Rule, the Commission noted that
SDRS would continue to accept, and reporting counterparties would
continue to report, the product-related data elements unique to each
SDR until the Commission designated a UPI. See 85 FR at 75540; 17
CFR 45.7(c)(2).
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3. Baseline
The Commission identifies and considers costs and benefits relative
to a status quo baseline. In this case that baseline is defined by
three components: (1) the Commission's existing requirements under its
part 43, part 45 and part 49 regulations; (2) its February 2023 UPI
Order; and (3) non-US jurisdictions' movement to implement harmonized
swap data reporting regimes that incorporate a UPI and product
classification system operated and maintained by a FSB-designated
entity, i.e., DSB, in the near future to the extent that they have not
done so already.
Current regulations require Reporting Entities to report STAPD,
along with swap creation and continuation data, to an SDR as
information specified in the Data Element Appendices.\126\ As discussed
above, the Data Element Appendices currently include UPI data elements,
some data elements that are internationally harmonized and included in
the CDE Technical Guidance, and some data elements that are specific to
the CFTC. SDRs are required to accept these defined data elements from
the Reporting Entities and maintain systems to validate the swap data
they receive.\127\ If a swap is a PRST, an SDR generally must
disseminate the data elements listed in appendix A to part 43 to the
general public,\128\ and, for certain other commodity swaps, must do so
in the manner prescribed in appendix E to part 43 to geographically
mask the underlying asset.\129\ The February 2023 UPI Order requires
Reporting Entities to use UPIs issued by DSB for swaps in the credit,
equity, foreign exchange, and interest rate asset classes in all
recordkeeping and swap data reporting pursuant to part 45 and to
facilitate real-time public reporting as required by part 43.\130\
Finally, the Commission's movement towards implementation of UPI usage
in swap reporting, as reflected in its past rulemakings, the February
2023 UPI Order and these proposed amendments, is part of a larger
global movement by international derivatives regulators, discussed in
detail above, to adopt and implement harmonized global swap reporting
around commonly accepted criteria, of which UPI is a key
component.\131\
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\126\ See 17 CFR 43.3(d)(1), 45.13(a)(1). The Commission assumes
for purposes of this cost-benefit consideration that Reporting
Entities report this data in the form and manner provided in the
technical specification published by staff on its website (see 17
CFR 43.7(a)(1), 45.15(b)(1)). The current Technical Specification is
Version 3.2 (as revised in March 2023), available at <a href="https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download">https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download</a>.
\127\ See 17 CFR 49.10(a), (c)(1).
\128\ See 17 CFR 43.4(a) and 17 CFR 49.15(b).
\129\ See 17 CFR 43.4(c)(4)(iii); id. part 43 appendix A. SDRs
are additionally required to retain the swap creation and
continuation data and make it available to the Commission. See 17
CFR 49.17(c).
\130\ Order Designating the Unique Product Identifier and
Product Classification System to be Used in Recordkeeping and Swap
Data Reporting, 88 FR 11790, 11791 (Feb. 24, 2023).
\131\ See discussion at section I.B., above.
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The Commission notes that this cost-benefit consideration is based
on its understanding that the derivatives market regulated by the
Commission functions internationally with: (1) transactions that
involve U.S. entities occurring across different international
jurisdictions; (2) some entities organized outside of the United States
that are registered with the Commission; and (3) some entities that
typically operate both within and outside the United States and that
follow substantially similar business practices wherever located. Where
the Commission does not specifically refer to matters of location, that
discussion of costs and benefits below refers to the effects of the
proposed regulations on all relevant derivatives activity, whether
based on their actual occurrence in the United States or on their
connection with activities in, or effect on, U.S. commerce.
The Commission requests comment on the baseline outlined in this
section, including any of its components and what, if any, additional
factors that should be considered.
4. Proposed Non-Data Element Amendments to Part 43 and Part 45 Costs
and Benefits
First, the proposed addition of Sec. 43.4(c)(5) would require
Reporting Entities to report a geographically masked UPI to SDRs once a
UPI and product classification system has been designated under Sec.
45.7. This proposed change would shift the responsibility to limit the
geographic information that is publicly disseminated for certain swaps
in the other commodity asset class from SDRs, as currently set out in
Sec. 43.4(c)(4), to Reporting Entities. The Commission expects that
Reporting Entities will incur minimal costs to implement this proposed
modification. The Commission understands that currently, in most
instances, in order to facilitate the geographic masking now required
in Sec. 43.4(c)(4), Reporting Entities already submit underlier
information that limits geographic information for those swaps
described in Sec. 43.4(c)(iii). In addition, the Commission believes
that Reporting Parties are in the best position to determine, and
currently do determine, whether a swap transaction meets the criteria
set out in Sec. 43.4(c)(iii). Furthermore, the Commission believes
Reporting Entities have developed systems to send required data
elements to an SDR that can accommodate reporting specific to part 43.
With respect to the SDRs, if Reporting Entities report a UPI that
limits the geographic information according to Appendix E to part 43 to
an SDR, the SDR will be able to disseminate that UPI without incurring
additional costs that would otherwise be required to appropriately mask
the geographic information in the reported UPI. For these reasons, the
Commission believes costs to Reporting Entities and SDRs will be
minimal. The Commission expects market participants and the general
public to benefit from this modification since it provides the
necessary regulatory groundwork for the Commission to designate a UPI
and product classification system in the other commodity asset class
designed to assure the real-time public dissemination of those swaps
occurs with the requisite anonymity protection. The use of UPI in the
other commodity asset class would significantly increase data quality
and standardization in the data that is publicly disseminated and

[[Page 90060]]

the part 45 swap data received by the Commission. The reporting of a
UPI that limits the geographic detail would ensure that geographic
masking is done in a consistent manner and help to eliminate reporting
errors.
Second, further proposed modifications to part 43 include
implementing conforming and technical changes to Sec. 43.4(c) and
appendix E in connection with the geographic masking requirement, as
described in section II.B above. Preliminarily, the Commission does not
anticipate any material costs or benefits resulting from this proposal.
Third, the Commission proposes modifications to Sec. 45.7(b) to
expressly articulate its authority to condition a designation of a UPI
and product classification system and to limit, suspend or withdraw a
designation order after appropriate notice and opportunity to respond.
Preliminarily, the Commission does not anticipate any material costs or
benefits resulting from this proposal.\132\
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\132\ The Commission recognizes that limiting, suspending or
withdrawing a designation order potentially could pose costs to an
impacted designee if the Commission were to have cause to exercise
this expressly-stated amended Sec. 45.7(b) authority. The
Commission, consistent with its obligations under CEA section 15(a)
and the Administrative Procedure Act, would consider any such
potential costs, along with potential benefits, at the time of
deciding whether to exercise its authority in any particular case. 7
U.S.C. 19(a); 5 U.S.C. 706.
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Request for Comments
The Commission requests comment on the above assessment of benefits
and costs. Are there additional costs or benefits that the Commission
should consider? Is there data or other information that the Commission
should consider to assist its efforts to quantify costs and benefits?
Is there an alternative approach to what the Commission is proposing
that would be preferable on cost/benefit grounds and, if so, what is it
and why would it be preferable? Commenters are encouraged to include
both qualitative and quantitative assessments of these costs and/or
benefits and to provide substantiating data, statistics, and any other
supportive information for positions they may posit.
5. Additional Swap Data Elements Reported to the Commission and to Swap
Data Repositories: Proposed CDE Data Elements \133\
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\133\ Besides the proposed data element additions considered in
this section and section 6 below, the proposed rulemaking also
includes several non-substantive changes to the Data Element
Appendices. Specifically, the Commission proposes to remove language
setting out the form and manner for reporting specific data elements
from the Data Element Appendices, as that language is generally
duplicative of the technical specifications published separately for
the purpose of addressing the form and manner for reporting. The
Commission preliminarily foresees no significant costs or benefits
attendant to these non-substantive changes.
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Introduction
This section considers the costs and benefits of the nineteen new
data elements that are currently included in the recommended list of
CDE data elements. As previously discussed in the 2020 Final Rules, the
Commission believes that new data elements selected from the CDE
Technical Guidance will further improve the harmonization of SDR data
across FSB-member jurisdictions.\134\ And, as the Commission and
regulators in other FSB-member jurisdictions define data elements
reflecting the CDE Guidance, standardization across SDRs and TRs
internationally will support data aggregation for the analysis of
global systemic risk in swaps markets.\135\
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\134\ See, e.g., Final Rule, Swap Data Reporting and
Recordkeeping, 85 FR 75503, 75539-40 (Nov. 25, 2020) (``As a general
matter, the Commission believes the implementation of the CDE
Technical Guidance will further improve the harmonization of SDR
data across FSB jurisdictions.'').
\135\ See, e.g., Final Rule, Swap Data Reporting and
Recordkeeping, 85 FR 75540 (Nov. 25, 2020) (``This harmonization,
when widely implemented, would also allow the Commission to
potentially receive more standardized information regarding swaps
reported to TRs regulated by other authorities. For instance, such
standardization across SDRs and TRs could support data aggregation
for the analysis of global systemic risk in swaps markets.'').
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These new data elements are related to four data categories: custom
basket, prices, notional amount and quantities, and product. A subset
of these new data elements (ten) are set to also become required under
part 43 real-time swap transaction reporting.
There are five data elements in the custom basket category: [1]
custom basket code, [2] basket constituent identifier, [3] basket
constituent unit of measure, [4] basket constituent number of units,
and [5] basket constituent identifier source. The Commission believes
these fields are essential to capture the underlying products that
determine the value of the swap. This category of swaps can be
especially important to monitor risk and used to aggregate swaps that
have similar risk and reward characteristics. The Commission expects
Reporting Entities to have easy access to these details as they
represent a key feature of the negotiated swap.
There are six data elements in the price category: [1] price
schedule--unadjusted effective date of the price, [2] price schedule--
unadjusted end date of the price, [3] price schedule--price, [4] strike
price schedule--unadjusted effective date of the strike price, [4]
strike price schedule--unadjusted end date of the strike price, and [6]
strike price schedule--strike. All six data elements will be reported
under part 43. The Commission is aware of many examples of equity and
other commodity swaps that contain a well-defined price schedule, which
determines the risk/reward profile of the swap. Similarly, swaptions
can be structured to have strike prices that change over the life of
the swap according to a well-defined schedule determined at the time of
trade. By adding the strike price schedule data elements, Commission
staff would be able to determine if the change was due to an error or
part of the normal lifecycle of the swap.
There are five data elements in the product category: [1] underlier
ID (other), [2] underlier ID (other) source, [3] underlying asset price
source, [4] underlying asset trading platform identifier, and [5]
crypto asset underlying indicator. Only the last data element here
(crypto asset underlying indicator) will be reported under part 43. The
Commission believes the first two data elements are now necessary
following the introduction of the UPI. As Reporting Entities send
information about the underlier to the UPI provider, it is possible
that the information will be new and not on a pre-defined list of
underliers maintained by the UPI provider, in which case the provided
UPI will simply note the underlier of ``other.'' Requiring Reporting
Entities to submit this information would ensure it is retained and
sent to the SDR. This will allow for updates to the reference list of
underliers maintained by the UPI provider and will allow the Commission
to identify the necessary information to understand the swap. The
Commission expects the underlying asset price source field will be
necessary to monitor possible manipulation attempts of benchmarks, for
example from an oil price reporting agency or index publisher. The
Commission is aware that equity and other commodity swaps might trade
on a foreign trading venue and thus the new underlying asset trading
platform identifier is required to note if the swap is valued in a non-
US currency. Finally, considering the increase in trading in
cryptocurrency derivatives, the Commission believes that receiving
additional information with respect to cryptocurrency swap transactions
will assist with identification of swaps that reference a
cryptocurrency asset as the underlier.
There are three data elements in the notional amounts and
quantities category: [1] notional quantity

[[Page 90061]]

schedule--unadjusted date on which the associated notional quantity
becomes effective, [2] notional quantity schedule--unadjusted end date
of the notional quantity, and [3] notional quantity schedule--notional
quantity. All three data elements will be reported under part 43. These
fields are similar to existing data elements in the Data Element
Appendices, but with a key difference. That key difference is that the
proposed fields point to ``non-monetary amounts.'' The new fields are
being proposed to capture swaps in the other commodity asset class,
which specify, for example, a quantity of oil or wheat. The Commission
believes these new fields are essential to capture details of the swap
not captured by the UPI or other currently required fields.
Benefits
The Commission believes including certain CDE Technical Guidance
3.0 data elements will create significant efficiencies for the
Commission and Reporting Entities. By including certain CDE fields, the
Commission believes it will receive more cohesive, more standardized,
and, ultimately, more accurate data without sacrificing the ability to
oversee the markets robustly. Higher-quality swap data will improve the
Commission's oversight capabilities of registrants, and, in turn, will
aid in protecting markets, participants, and the public in general.
The Commission proposes adding CDE fields related to custom baskets
because it believes that the visibility and reporting accuracy of
holdings in custom baskets provides critical information required to
ensure robust oversight of registrants. The proposed additional fields
related to product are necessary to understand the characteristics of
the non-standard underliers across asset classes at a level of
granularity not provided in the UPI Taxonomy. A more complete
identification of certain underliers will allow the Commission to
distinguish between positions in different contracts that may not
currently be distinguishable, allowing better oversight of registrants
and thereby protecting the financial integrity of the swaps market.
Moreover, receiving information specifying the underlying asset price
source is critical to the Commission's benchmark manipulation
surveillance efforts, thereby enhancing the protections afforded to the
markets generally.
Since some of these proposed CDE data elements will be publicly
disseminated pursuant to part 43, the Commission believes this proposal
will provide additional swap market transparency to market participants
and to the general public. For example, the Commission is aware of
swaps that contain price and/or notional amounts that vary according to
a defined schedule. Certain aspects of these defined schedules are not
currently disseminated on the real-time ticker. The proposed fields
address this problem and will allow for more accurate and complete
information, thereby allowing market participants to better analyze
STAPD.
The Commission believes that proposing additional CDE fields will
benefit cross-jurisdictional Reporting Entities by reducing compliance
and reporting costs. As standards are adopted across various
jurisdictions, these Reporting Entities can develop a single reporting
system that can send the standardized information regardless of data
reporting requirements.
The Commission believes adding these CDE data elements will provide
access to high-quality swap data that is essential for the public, and
for regulators to monitor the swaps market for systemic risk or
unusually large concentrations of risk in individual swaps markets or
asset classes, thereby promoting financial integrity.
Costs
The Commission believes that because all the new data elements
represent important price-forming details of the swap they should
readily be available to reporters in the normal course of business. For
example, schedules capturing changes in price and strike price or
specific details of the underlier along with knowledge of the custom
basket constituents are key aspects of a swap. Based on this belief,
the Commission expects data access and transmission costs to be minimal
since reporting entities have immediate access to the new information
and the ability to use current systems and processes to send it to the
SDR.
The Commission does acknowledge that the proposed changes could
result in some costs to SDRs and Reporting Entities to modify their
electronic systems to accommodate the new data elements; to the extent
any SDRs and Reporting Entities are already in the process of (or have
completed) modifying their electronic systems to accommodate the new
data elements for reporting in other jurisdictions, their costs will
likely be lower since a fixed component of the infrastructure costs for
such modifications may have already been incurred. The Commission,
however, does not have access to data to indicate the degree to which
SDRs and Reporting Entities have undertaken these modifications
already; accordingly, its cost estimates represent the upper limit,
with the likely actual costs being lower. These cost burdens are hourly
rate for a mix of computer programmer, compliance officer, and lawyer
professionals.\136\ The Commission estimates the cost burden for SDRs
to be $18,195 to $36,391.\137\ The Commission estimates the cost burden
for Reporting Entities to be $3,639 to $7,278.\138\
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\136\ Commission staff arrived at an hourly rate of $93.31 using
figures from a weighted average of salaries and bonuses across
different professionals contained in the most recent BLS Occupation
Employment and Wages Report (May 2022) multiplied by 1.3 to account
for overhead and other benefits. The Commission estimated wage rate
is a weighted national average of mean hourly wages for the
following occupations (and their relative weight): ``computer
programmer--industry: securities, commodity contracts, and other
financial investment and related activities'' (50% weight);
``compliance officer--industry: securities, commodity contracts, and
other financial investment and related activities'' (25% weight);
and ``lawyer- industry: securities, commodity contracts, and other
financial investment and related activities'' (25% weight).
Commission staff chose this methodology to account for the variance
in skill sets that may be used to accomplish the collection of
information.
\137\ This estimate incorporates the hourly rate of $93.31 as
discussed above. For the purpose of considering the cost burden to
SDRs, the Commission estimates a lower and upper bound for the
number of hours required to adjust current electronic systems to
send and/or receive swaps data, along with necessary requirements to
validate data. For SDRs, the Commission expects a range of 500 to
1,000 hours. The CDE data elements represent 39 percent of the
proposed additional data elements, so the range of expected hours
for SDRs for the CDE data elements is 195 to 390 hours.
\138\ This estimate incorporates the hourly rate of $93.31 as
discussed above. For the purpose of considering the cost burden to
Reporting Entities, the Commission estimates a lower and upper bound
for the number of hours required to adjust current electronic
systems to send and/or receive swaps data, along with necessary
requirements to validate data. For Reporting Entities, the
Commission expects a range of 100 to 200 hours. The CDE data
elements represent 39 percent of the proposed additional data
elements, so the range of expected hours for Reporting Entities for
the CDE data elements is 39 to 78 hours.
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Request for Comments
The Commission requests comment on the above assessment of benefits
and costs, including on the identified benefits for SDRs, Reporting
Entities, market participants and the public generally; and on the
range of costs and the estimates of cost burdens to SDRs and Reporting
Entities to comply with the proposed amendments related to the addition
of the new CDE data elements. Are there additional costs or benefits
that the Commission should consider? Is there data or other information
that the Commission should consider to assist its efforts to quantify
costs and benefits (including improved efficiency) and/or to understand
the degree to which SDRs

[[Page 90062]]

and Reporting Entities have already modified their electronic systems
to accommodate the new data elements, or are in the process of doing
so? Are there alternatives to what the Commission is proposing that
would be preferable on cost/benefit grounds and, if so, what are they
and why would they be preferable? Commenters are encouraged to include
both qualitative and quantitative assessments of these costs and/or
benefits and to provide substantiating data, statistics, and any other
supportive information for positions they may posit.
6. Additional Swap Data Elements Reported to the Commission and To Swap
Data Repositories: Proposed CFTC Data Elements
Introduction
This section considers the costs and benefits of the thirty new
data elements that are not included in the recommended list of CDE data
elements. These new data elements can be broken into six data
categories: prices, product, notional amount and quantities, clearing,
counterparty, and transaction. A subset of these new data elements
(eight) are set to also become required under part 43 real-time swap
transaction reporting. We consider these CFTC new data elements
separately from the CDE new data elements discussed above due to the
differences that arise in both the costs and the benefits.
There are six data elements in the prices category: [1] option
exercise end date, [2] option exercise frequency period, [3] option
exercise frequency period multiplier, [4] swap pricing method, [5]
pricing date schedule of the swap, and [6] start and end time of the
settlement window for the floating leg(s). Three of these fields
(related to option exercise) are reported also under part 43. The
Commission expects a primary use-case for these data elements will
focus on analysis of important swap-level characteristics that
determine the payoffs--specifically noting important exercise and
settlement details that will not be captured by the UPI. These details
are essential for the Commission to monitor and identify potential
cases of market manipulation. The Commission believes these details
should be well known to both sides of the swap and be easy to report to
the SDR.
There are five data elements in the product category: [1] physical
delivery location, [2] pricing index location, [3] physical commodity
contract indicator, [4] product grade, and [5] maturity date of the
underlier. Two of these fields are reported also under part 43. Except
for the last new data element, maturity date of the underlier, all the
data elements here in the product category apply only to the other
commodity asset class. As previously discussed, prior part 43 and part
45 rulemakings included minimal non-UPI product-related data elements,
and the Commission believes the addition of these five data elements
will provide it with information essential to understanding the price
and risk of swaps in the other commodity asset class that the UPI alone
will not capture.
There are 10 data elements in the notional amounts and quantities
category, and 9 of these proposed schedule-related fields concern the
delivery of power, which can be divided into four data elements related
to the following three groups: [1] days of the week, [2] hours from
thru, and [3] load profile type. The Commission understands that this
delivery information, which is necessary to fully understand the
economics of swaps for the delivery of power, will not be captured by
UPIs. Further, the Commission believes this information should be
readily available to both sides of the swap transaction. The remaining
element is USD equivalent regulatory notional amount, which will allow
for standardized and consistent reporting of notional amount and will
be used to aggregate and monitor swaps market activity.
There are two data elements in the clearing category: [1] mandatory
clearing indicator, and [2] clearing member identifier source. One of
these fields is reported also under part 43.
There are four data elements in the counterparty category: [1]
counterparty 1 identifier source, [2] counterparty 1 designation, [3]
counterparty 2 designation, [4] counterparty 2 special entity.
Counterparty 1 identifier source is very similar to a currently
required data element for counterparty 2 and is now being added to
address the introduction of certain swaps that trade without a required
swap dealer or LEI. Counterparty designation fields are necessary to
distinguish dealers from non-dealers. Counterparty 2 special entity
will be used for identifying reporting thresholds and exemptions.
There are three data elements in the transaction category: [1] SEF
or DCM anonymous execution indicator, [2] large notional off-facility
swap election indicator, and [3] SEF or DCM indicator. Two fields are
reported under part 43. The Commission preliminarily believes that
these fields are currently being reported to the SDRs and they are
required for the SDR to perform its required responsibilities. The
Commission expects this information is available to the Reporting
Entities who also have systems in place to send this information to the
SDRs.
Benefits
Similar to the 2020 Final Rules in which the Commission first
adopted some CFTC-specific data elements, the Commission believes
expanding the number of CFTC data elements is necessary to support the
Commission's regulatory responsibilities. The expanded set of CFTC data
elements will assist the Commission's efforts to investigate potential
violations of the CEA and the CFTC regulations. For example, the
product fields will be used to investigate price manipulation and
disruptive trading practices, which provides benefits to market
participants and the general public who could otherwise fall victim.
Further, the Commission expects the new CFTC data elements in this
proposed rulemaking will benefit market participants and the general
public by increasing transparency. Eight of these data elements will
become part of the real-time ticker established under part 43 of the
CFTC regulations.\139\ The Commission believes the expanded public
information increases the value of the post-trade public dissemination.
The general public benefits with the increased transparency as the
information can be used to generate reports that increase knowledge
related to trade activity. This information is also included in the
expanded set of regulatory data required under part 45, which further
benefits market participants and the general public by allowing
Commission staff to incorporate publicly accessible data into its
market oversight and compliance responsibilities.
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\139\ See 17 CFR part 43.
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The Commission believes that the new CFTC data elements will
benefit SDRs by providing them with required information to comply more
easily with Commission regulations. For example, the `mandatory
clearing indicator' represents information that should be known to the
Reporting Entity but might be uncertain to the SDR, which requires
precise information to comply with required time delays pursuant to
Sec. 43.5.
Costs
As discussed above regarding the proposed CDE data elements, the
Commission believes the cost burden to SDRs and Reporting Entities will
likely be limited to the costs required to modify and expand existing
electronic systems and databases to accommodate the new CFTC data
elements. While the

[[Page 90063]]

subset of proposed data elements considered here are not considered
CDE, the Commission expects the majority are essential price-forming
details of the swap and should be readily available to the Reporting
Entity to send to an SDR without incurring significant costs.
Using the same methodology employed, above, to estimate costs
related to proposed CDE data elements, the Commission estimates the
costs to SDRs and Reporting Entities associated with the need to modify
their electronic systems to accommodate the new proposed CFTC data
elements to be as follows: SDRs--$28,460 to $56,919; \140\ Reporting
Entities--$5,692 to $11,384.\141\
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\140\ This estimate incorporates the hourly rate of $93.31 as
discussed above. The Commission expects the SDRs will be required to
spend 500 to 1,000 hours to update systems to accommodate the new
data elements. The CFTC data elements represent 61 percent of the
proposed additional data elements, so the range of expected hours
for SDRs for the CFTC data elements is 305 to 610 hours.
\141\ This estimate incorporates the hourly rate of $93.31 as
discussed above. The Commission expects the Reporting Entities will
be required to spend 100 to 200 hours to update systems to
accommodate the new data elements. The CFTC data elements represent
61 percent of the proposed additional data elements, so the range of
expected hours for Reporting Entities for the CFTC data elements is
61 to 122 hours.
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Request for Comments
The Commission requests comment on the above assessment of benefits
and costs, including on the identified benefits for SDRs, market
participants and the public generally; and on the range of costs and
the estimates of cost burdens to SDRs and Reporting Entities to comply
with the proposed amendments related to the addition of the new CFTC
data elements. Are there additional costs or benefits that the
Commission should consider? Is there data or other information that the
Commission should consider to assist its efforts to quantify costs and
benefits? Are there alternatives to what the Commission is proposing
that would be preferable on cost/benefit grounds and, if so, what are
they and why would they be preferable? Commenters are encouraged to
include both qualitative and quantitative assessments of these costs
and/or benefits and to provide substantiating data, statistics, and any
other supportive information for positions they may posit.
7. Section 15(a) Considerations
Factor 1: Protection of Market Participants and the Public
The Commission believes the proposed changes will enhance
protections already in place for market participants and the public. By
adding new data elements, the Commission believes it will receive more
cohesive, more standardized, and, ultimately, more accurate data
without sacrificing the ability to oversee the markets robustly.
Higher-quality swap data will improve the Commission's oversight
capabilities, and, in turn, will aid it in protecting markets, market
participants, and the public in general. The Commission views this
benefit, in combination with the others it recognizes, to warrant the
relatively minor expected costs that it has identified.
Factor 2: Efficiency, Competitiveness, and Financial Integrity of
Futures Markets
The Commission believes that the proposed amendments may
potentially have a beneficial effect for the financial integrity of the
swap markets because the proposed amendments would assist the
Commission in its supervision of registrants and oversight of the
derivatives markets. More complete and more accurate publicly
disseminated swap transactions data may improve market efficiency and
competitiveness by helping the public make better informed decisions.
Moreover, as discussed above, the Commission believes that adding
certain CDE fields will benefit cross-jurisdictional Reporting Entities
by reducing compliance and reporting costs, and the Commission believes
that in some instances the new proposed CFTC data elements will benefit
SDRs by providing them with information that can be used to comply with
the Commission's regulations. Again, the Commission views this benefit,
in combination with the others it recognizes, to warrant the relatively
minor expected costs that it has identified.
Factor 3: Price Discovery
Section 2(a)(13) of the CEA and the Commission's existing
regulations in part 43 implementing CEA section 2(a)(13) require STAPD
to be made available to the public in real time. The Commission
believes inaccurate and incomplete STAPD hinders the use of the STAPD,
which harms transparency and price discovery. The Commission expects
market participants will be better able to analyze STAPD as a result of
the additional publicly disseminated data elements, because the fields
will make STAPD more accurate and complete. The Commission views this
benefit, in combination with the others it recognizes, to warrant the
relatively minor expected costs that it has identified.
Factor 4: Sound Risk Management Practices
The Commission believes the proposed rules will improve the quality
of swap data reported to SDRs and, hence, improve the Commission's
ability to monitor the swaps market, react to changes in market
conditions, and fulfill its regulatory responsibilities generally. The
Commission believes regulator access to high-quality swap data is
essential for regulators to monitor the swaps market for systemic risk
or unusually large concentrations of risk in individual swaps markets
or asset classes. The Commission views this benefit, in combination
with the others it recognizes, to warrant the relatively minor expected
costs that it has identified.
Factor 5: Other Public Interest Considerations
The Commission believes the improved accuracy resulting from
improvements to data entry by market participants via the proposed
rules has other beneficial public interest impacts including: [1]
Increased understanding for the public, market participants, and the
Commission of the interaction between the swaps market, other financial
markets, and the overall economy; [2] Improved regulatory oversight and
enforcement capabilities; and [3] Enhanced information for the
Commission and other regulators so that they may establish more
effective public policies to monitor and, where necessary, reduce
overall systemic risk. The Commission views these benefits, in
combination with the others it recognizes, to warrant the relatively
minor expected costs that it has identified.
General Request for Comments
The Commission generally requests comments on all aspects of its
consideration of costs and benefits, including the identification and
assessment of any costs and benefits not discussed herein; data and any
other information to assist or otherwise inform the Commission's
ability to quantify or qualitatively describe the costs and benefits of
the proposed amendments; and substantiating data, statistics, and any
other information to support positions posited by commenters with
respect to the Commission's discussion. The Commission welcomes comment
on such costs and benefits, particularly from existing Reporting
Entities and SDRs that can provide quantitative cost and benefit data
based on their respective experiences. The

[[Page 90064]]

Commission also welcomes comments on alternatives to the proposed
amendments that may be preferable on cost-benefit grounds and why.

B. Regulatory Flexibility Act

The Regulatory Flexibility Act \142\ (``RFA'') requires that
agencies, in proposing rules, consider the impact of those rules on
``small entities.'' \143\ The Commission has defined ``small entities''
as used by the Commission in evaluating the impact of its rules in
accordance with the RFA.\144\ The amendments to part 43 and part 45
proposed herein would have a direct effect on the operations of DCMs,
DCOs, MSPs, PBs,\145\ SDs, RCPs, SEFs, and SDRs. The Commission has
previously certified that DCMs,\146\ DCOs, \147\ MSPs,\148\ SDs,\149\
SEFs,\150\ and SDRs \151\ are not small entities for RFA purposes.
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\142\ 5 U.S.C. 601 et seq.
\143\ See 5 U.S.C. 603. The RFA applies to rules subject to
notice and comment rulemakings issued pursuant to section 553(b) of
the Administrative Procedure Act, 5 U.S.C. 553(b), or any other law.
Id.
\144\ See Policy Statement and Final Establishment of
Definitions, 47 FR 18618 (Apr. 30, 1982).
\145\ The Commission understands that all prime brokers
(``PBs'') currently acting as such in connection with swaps are SDs.
Consequently, the RFA analysis applicable to SDs applies equally to
PBs.
\146\ See 1982 RFA Release.
\147\ The Commission has previously certified that DCOs are not
small entities for purposes of the RFA. See DCO General Provisions
and Core Principles, 76 FR 69334, 69428 (Nov. 8, 2011).
\148\ See SD and MSP Recordkeeping, Reporting, and Duties Rules,
77 FR 20128, 20194 (Apr. 3, 2012) (basing determination in part on
minimum capital requirements).
\149\ See id.
\150\ See Core Principles and Other Requirements for SEFs, 78 FR
33476, 33548 (June 4, 2013).
\151\ See Swap Data Repositories, 75 FR 80898, 80926 (Dec. 23,
2010) (basing determination in part on the central role of SDRs in
swaps reporting regime, and on the financial resource obligations
imposed on SDRs).
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The proposed amendments to part 43 and part 45 would have a direct
impact on all RCPs. These RCPs may include SDs, MSPs, DCOs, and non-SD/
MSP/DCO counterparties. Regarding whether non-SD/MSP/DCO reporting
counterparties are small entities for RFA purposes, the Commission
notes that section 2(e) of the CEA prohibits a person from entering
into a swap unless the person is an eligible contract participant
(``ECP''), except for swaps executed on or pursuant to the rules of a
DCM.\152\ The Commission has previously certified that ECPs are not
small entities for purposes of the RFA.\153\
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\152\ See 7 U.S.C. 2(e).
\153\ See 2020 RTR Final Rule, 85 FR at 75461.
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The Commission has analyzed swap data reported to each SDR \154\
across all five asset classes to determine the number and identities of
non-SD/MSP/DCOs that are reporting counterparties to swaps under the
Commission's jurisdiction. A recent Commission staff review of swap
data, including swaps executed on or pursuant to the rules of a DCM,
identified nearly 1,600 non-SD/MSP/DCO reporting counterparties.
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\154\ The sample data sets varied across SDRs and asset classes
based on relative trade volumes. The sample represents data
available to the Commission for swaps executed over a period of one
month. These sample data sets captured 2,551,907 FX swaps, 603,864
equity swaps, 357,851 other commodity swaps, 276,052 IRS, and 98,145
CDS.
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Based on its review of publicly available data, the Commission
believes that the overwhelming majority of these non-SD/MSP/DCO
reporting counterparties that have reporting obligations under parts 43
and 45 are either ECPs or do not meet the definition of ``small
entity'' established in the RFA. Accordingly, the Commission does not
believe the Final Rule will affect a substantial number of small
entities.
Based on the above analysis, the Commission does not believe that
this proposal will have a significant economic impact on a substantial
number of small entities. Thus, under section 3(a) of the RFA,\155\ the
Chairman, on behalf of the Commission, certifies that the proposed
rules will not have a significant economic impact on a substantial
number of small entities. The Commission nonetheless invites comment
from any entity which believes that these rules would have a
significant economic impact on its operations.
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\155\ 5 U.S.C. 605(b).
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C. Paperwork Reduction Act

The Paperwork Reduction Act (``PRA'') \156\ imposes certain
requirements on Federal agencies, including the Commission, in
connection with agencies' conducting or sponsoring any collection of
information, as defined by the PRA. This proposed rulemaking would
result in the collection of information within the meaning of the PRA.
The Commission has previously received control numbers from the Office
of Management and Budget (``OMB'') for each of the collections impacted
by this rulemaking: OMB Control Numbers 3038-0070 (relating to part 43
Real-Time Public Reporting) and 3038-0096 (relating to part 45 Swap
Data Recordkeeping and Reporting Requirements).
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\156\ 44 U.S.C. 3501 et seq.
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The Commission is proposing to amend the above information
collections to accommodate newly proposed and revised information
collection requirements for participants in the swaps markets that
require approval from OMB under the PRA. The amendments are expected to
modify the existing annual burden for complying with certain
requirements of parts 43 and 45. Specifically, the Commission is
proposing to amend regulation 43.4(c) to incorporate the UPI and
product classification system for the other commodity asset class and
amending appendix A to part 43 and appendix 1 to part 45 to add
additional data elements to be reported by Reporting Entities.
Until the Commission designates a UPI and product classification
system for the other commodity asset class, Reporting Entities will use
the internal product identifiers or product descriptions used by the
SDR for the reporting of swaps in the other commodity asset class. As a
result, until the Commission designates a UPI for the other commodity
asset class, the burden estimates for the product fields are already
accounted for in the current burden estimates for Sec. Sec. 45.3 and
45.4. To avoid double-counting, the Commission is not revising the
burden estimate for the implementation of a UPI and product
classification system for the other commodity asset class until the
Commission designates a UPI.
The Commission also proposes to amend appendix A to part 43 and
appendix 1 to part 45 to require the reporting and public dissemination
of certain additional details regarding swap transactions. Appendix A
to part 43 describes the fields for which an SDR must publicly
disseminate swap transaction and pricing data, and appendix 1 to part
45 lists the swap data elements required to be reported to SDRs. The
Commission is proposing to add nineteen data elements from the CDE
Technical Guidance 3.0 (of which ten are required to be publicly
disseminated) and thirty data elements not included in the CDE
Technical Guidance 3.0 (of which eight are required to be publicly
disseminated) to the Data Element Appendices. The reporting of these
additional data elements will affect the burden estimates for part 43
(Real-Time Public Reporting) and part 45 (Swap Data Recordkeeping and
Reporting Requirements).\157\
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\157\ As discussed above in the Cost-Benefit Considerations
section, the following cost burden estimations are based on an
estimated hourly rate for a mix of computer programmer, compliance
officer, and lawyer professionals. Commission staff arrived at an
hourly rate of $93.31 using figures from a weighted average of
salaries and bonuses contained in the most recent BLS Occupation
Employment and Wages Report (May 2022) multiplied by 1.3 to account
for overhead and other benefits.

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[[Page 90065]]

The Commission is therefore submitting this proposal to the OMB for
its review in accordance with 44 U.S.C. 3507(d) and 5 CFR 1320.11.
Responses to this collection of information by reporting firms pursuant
to the parts 43 and 45 regulations would be mandatory. The Commission
will protect proprietary information according to the Freedom of
Information Act \158\ and 17 CFR part 145, ``Commission Records and
Information.'' In addition, CEA section 8(a)(1) strictly prohibits the
Commission, unless specifically authorized by the CEA, from making
public ``data and information that would separately disclose the
business transactions or market positions of any person and trade
secrets or names of customers.'' \159\ The Commission is also required
to protect certain information contained in a government system of
records according to the Privacy Act of 1974.\160\
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\158\ 5 U.S.C. 552.
\159\ 7 U.S.C. 12(a)(1).
\160\ 5 U.S.C. 552a.
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1. Part 43: Revisions to Collection 3038-0070 (Real-Time Public
Reporting)
Regulation 43.3 requires reporting counterparties, SEFs, and DCMs
to send swap transaction and pricing data as described in appendix A of
part 43 to SDRs as soon as technologically practicable after execution.
Regulation 43.4 requires SDRs to publicly disseminate the swap
transaction and pricing data described in appendix A of part 43. The
Commission estimates that the highly automated nature of part 43
reporting virtually eliminates the marginal costs associated with the
ongoing recordkeeping or reporting burden for each proposed additional
data element to appendix A of part 43. Rather, the costs for the
proposed amendments will mostly be incurred to develop, modify, and
test existing processes to capture and transmit the proposed additional
data elements. Accordingly, the Commission is retaining its previous
estimated numbers of reports, burden hours per report, and average
burden hour cost under Sec. Sec. 43.3 and 43.4. However, the
Commission does estimate Reporting Entities will incur the following
costs to implement the additional new data fields.
Under Sec. 43.3, the Commission estimates that the cost for a
Reporting Entity, which includes DCMs, DCOs, SDs, MSPs, non-SD/MSP/
DCOs, and SEFs, to modify their systems and to adopt the proposed
addition of data elements to appendix A to part 43 could range from
$3,000-$6,000, assuming it takes each Reporting Entity an estimated
total of 33-67 hours to perform the necessary tasks. There are an
estimated 1,729 Reporting Entities. Since the Commission cannot enter a
range of estimates, the Commission has averaged its estimates of $3,000
to $6,000 as $4,500 for the 1,729 reporting entities, for a total of
$7,780,500 ($4,500 * 1,729 reporting entities). Based on five-year,
straight line depreciation, this amounts to annualized total capital/
start-up costs for all covered entities of $1,556,100 ($7,780,500/5).
The estimated cost is based on a number of assumptions that cover tasks
required to design, test, and implement an updated data system based on
the new swap data elements contained in part 43.
Under Sec. 43.4, the Commission estimates that the cost for an SDR
to modify their systems, including their data reporting, ingestion, and
validation systems, and maintain those modifications going forward may
range from $16,000-$31,000 per SDR, assuming it takes each Reporting
Entity an estimated total of 170-330 hours to perform the necessary
tasks. There are currently three SDRs. Since the Commission cannot
enter a range of estimates, the Commission has averaged its estimates
of $16,000-$31,000 as $23,500 for the three SDRs, for a total of
$70,500 ($23,500 * 3 reporting entities). Based on five-year, straight
line depreciation, this amounts to annualized total capital/start-up
costs for all covered entities of $14,100 ($70,500/5). The estimated
cost range is based on assumptions that cover the set of tasks required
for the SDR to design, test, and implement a data system based on the
list of swap data elements contained in part 43.
2. Part 45: Revisions to Collection 3038-0096 (Swap Data Recordkeeping
and Reporting Requirements)
Under Sec. Sec. 45.3 and 45.4, SEFs, DCMs, and reporting
counterparties must report swap creation data and swap continuation
data as described in the data elements in appendix 1 to part 45 and in
the form and manner provided in the technical specification published
by the Commission under Sec. 45.15.\161\ SDRs are required to accept
the data elements from the Reporting Entities and maintain systems to
validate swap data.\162\ Similar to the discussion above in connection
with the burden estimates for part 43, the Commission estimates that
the highly automated nature of part 45 reporting virtually eliminates
the marginal costs associated with the ongoing reporting or
recordkeeping burden for each proposed additional data element to
appendix 1 of part 45. Rather, the costs for the proposed amendments
will primarily be incurred to develop, modify, and test existing
processes to capture and transmit the proposed additional data
elements. Accordingly, the Commission is retaining its previous
estimated numbers of reports, burden hours per report, and average
burden hour costs for reporting and recordkeeping under Sec. Sec. 45.3
and 45.4. However, the Commission does expect Reporting Entities to
incur the following capital/start-up costs under Sec. 45.3 to
implement the additional new data fields.\163\
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\161\ See 17 CFR 45.3, 45.4, and 45.15.
\162\ See 17 CFR 45.4(b), 49.10.
\163\ The Commission included the estimated capital/start-up
costs associated with modification of systems to implement the
additional new data fields in appendix 1 to part 45 under Sec.
45.3. To avoid double counting, these estimates also cover any
capital/start-up costs under Sec. 45.4 for a Reporting Entity to
modify its systems to implement the proposed addition of data
elements to appendix 1. As noted above, the Commission is soliciting
comments on the revised burden estimates for part 45, including the
estimated costs related to the modification or maintenance of
systems in order to comply with the proposed amendments.
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The Commission estimates that the cost for a Reporting Entity to
modify their systems to adopt the proposed addition of data elements to
appendix 1 of part 45 could range from $37,000-$75,000, assuming an
estimated total of 400-800 hours per reporting to perform the necessary
tasks. There are an estimated 1,732 Reporting Entities. Since the
Commission cannot enter a range of estimates, the Commission has
averaged its estimates of $37,000-$75,000 as $56,000 for the 1,732
Reporting Entities, for a total of $96,992,000 ($56,000 * 1,732
reporting entities). Based on five-year, straight line depreciation,
this amounts to annualized total capital/start-up costs for all covered
entities of $19,398,400 ($96,992,000/5). The estimated cost range is
based on a number of assumptions that cover tasks required to design,
test, and implement an updated data system based on the new swap data
elements contained in part 45.
Request for Comment
The Commission invites the public and other Federal agencies to
comment on any aspect of the proposed information collection
requirements

[[Page 90066]]

discussed above. The Commission will consider public comments on this
proposed collection of information in:
(1) Evaluating whether the proposed collection of information is
necessary for the proper performance of the functions of the
Commission, including whether the information will have a practical
use;
(2) Evaluating the accuracy of the estimated burden of the proposed
collection of information, including the degree to which the
methodology and the assumptions that the Commission employed were
valid;
(3) Enhancing the quality, utility, and clarity of the information
proposed to be collected; and
(4) Minimizing the burden of the proposed information collection
requirements on those who are to respond, including through the use of
appropriate automated, electronic, mechanical, or other technological
information collection techniques, e.g., permitting electronic
submission of responses.
Copies of the submission from the Commission to OMB are available
from the CFTC Clearance Officer, 1155 21st Street NW, Washington, DC
20581, (202) 418-5714 or from <a href="https://RegInfo.gov">https://RegInfo.gov</a>. Organizations and
individuals desiring to submit comments on the proposed information
collection requirements should send those comments to:
<bullet> The Office of Information and Regulatory Affairs, Office
of Management and Budget, Room 10235, New Executive Office Building,
Washington, DC 20503, Attn: Desk Officer of the Commodity Futures
Trading Commission;
<bullet> (202) 395-6566 (fax); or
<bullet> <a href="/cdn-cgi/l/email-protection#1d52544f5c6e687f70746e6e7472736e5d72707f3378726d337a726b">[email&#160;protected]</a> (email).
Please provide the Commission with a copy of submitted comments so
that comments can be summarized and addressed in the final rulemaking,
and please refer to the ADDRESSES section of this rulemaking for
instructions on submitting comments to the Commission. OMB is required
to make a decision concerning the proposed information collection
requirements between 30 and 60 days after publication of this release
in the Federal Register. Therefore, a comment to OMB is best assured of
receiving full consideration if OMB receives it within 30 calendar days
of publication of this release. Nothing in the foregoing affects the
deadline enumerated above for public comment to the Commission on the
proposed rules.

D. Antitrust Considerations

CEA section 15(b) requires the Commission to take into
consideration the public interest to be protected by the antitrust laws
and endeavor to take the least anticompetitive means of achieving the
objectives of the CEA in issuing any order or adopting any Commission
rule or regulation.\164\
---------------------------------------------------------------------------

\164\ 7 U.S.C. 19(b).
---------------------------------------------------------------------------

The Commission believes that the public interest to be protected by
the antitrust laws is generally to protect competition. The Commission
requests comment on whether the proposed rules implicate any other
specific public interest to be protected by the antitrust laws.
The Commission has considered the proposed rules to determine
whether they are anticompetitive and has preliminarily identified no
anti-competitive effects. The Commission requests comment on whether
the proposed rules are anticompetitive and, if so, how and what the
anticompetitive effects are.
Because the Commission has preliminarily determined that the
proposed rules are not anticompetitive and have no anticompetitive
effects, the Commission has not identified any less anticompetitive
means of achieving the purposes of the CEA. To the extent, however, any
commenter may disagree with this assessment, the Commission requests
comment on whether there are less anticompetitive means of achieving
the relevant purposes of the CEA that would otherwise be served by
adopting the proposed rules.

List of Subjects

17 CFR Part 43

Consumer protection, Reporting and recordkeeping requirements,
Swaps.

17 CFR Part 45

Data recordkeeping requirements, Data reporting requirements,
Swaps.

For the reasons stated in the preamble, the Commodity Futures
Trading Commission proposes to amend 17 CFR chapter I as follows:

PART 43--REAL TIME PUBLIC REPORTING

0
1. The authority citation for part 43 continues to read as follows:

Authority: 7 U.S.C. 2(a), 12a(5), and 24a, as amended by Pub. L.
111-203, 124 Stat. 1376 (2010).

0
2. Amend Sec. 43.4 by revising paragraphs (c)(2), (c)(4) introductory
text, (c)(4)(i), (c)(4)(ii) introductory text, and (c)(4)(iii) and
adding paragraph (c)(5) to read as follows:

Sec. 43.4 Swap transaction and pricing data to be publicly
disseminated in real-time.

* * * * *
(c) * * *
(2) Actual product description reported to swap data repository.
For all publicly reportable swap transactions in the interest rate,
credit, equity, and foreign exchange asset classes, reporting
counterparties, swap execution facilities, and designated contract
markets shall provide a swap data repository with swap transaction and
pricing data that includes an actual description of the underlying
asset(s). This requirement is separate from the requirement that a
reporting counterparty, swap execution facility, or designated contract
market shall report swap data to a swap data repository pursuant to
section 2(a)(13)(G) of the Act and 17 CFR chapter I.
* * * * *
(4) Reporting and public dissemination of the underlying asset(s)
for certain swaps in the other commodity asset class. Reporting
counterparties, swap execution facilities, and designated contract
markets shall provide a swap data repository, and a swap data
repository shall publicly disseminate, swap transaction and pricing
data in the other commodity asset class as described in this paragraph.
(i) Reporting counterparties, swap execution facilities, and
designated contract markets shall provide a swap data repository, and a
swap data repository shall publicly disseminate, swap transaction and
pricing data for publicly reportable swap transactions in the other
commodity asset class in the manner described in paragraphs (c)(4)(ii)
and (iii) of this section.
(ii) The actual underlying asset(s) shall be provided and publicly
disseminated for the following publicly reportable swap transactions in
the other commodity asset class:
* * * * *
(iii) Reporting counterparties, swap execution facilities, and
designated contract markets shall provide a swap data repository the
actual underlying assets of swaps in the other commodity asset class
that are not described in paragraph (c)(4)(ii) of this section, which
shall be publicly disseminated by limiting the geographic detail of the
underlying asset(s). The identification of any specific delivery point
or pricing point associated with the underlying asset of such other
commodity swap

[[Page 90067]]

shall be publicly disseminated pursuant to appendix E of this part.
* * * * *
(5) Unique Product Identifiers and Product Classification System.
(i) When a unique product identifier and product classification system
has been designated by the Commission to be used in recordkeeping and
swap data reporting pursuant to regulation 45.7, reporting
counterparties, swap execution facilities, and designated contract
markets shall comply with the requirement to provide, and swap data
repositories shall comply with any requirement to disseminate, an
actual description of the underlying asset(s) by providing or
disseminating, as applicable, swap transaction and pricing data that
includes a unique product identifier and product classification system
designated by the Commission.
(ii) For swaps described in paragraph (c)(4)(iii) of this section,
when a unique product identifier and product classification system has
been designated by the Commission to be used in recordkeeping and swap
data reporting pursuant to regulation 45.7, reporting counterparties,
swap execution facilities, and designated contract markets shall comply
with the requirement to provide, and swap data repositories shall
comply with their requirement to disseminate, a description of the
underlying asset(s) that limits geographic detail pursuant to paragraph
(c)(4)(iii) of this section by providing or disseminating, as
applicable, swap transaction and pricing data that includes a unique
product identifier and product classification system designated by the
Commission that identifies any specific delivery point or pricing point
pursuant to appendix E of this part.
(iii) Notwithstanding the requirements in paragraph (c)(5)(ii) of
this section to provide and disseminate a unique product identifier and
product classification system that limits geographic detail pursuant to
appendix E of this part, reporting counterparties, swap execution
facilities, and designated contract markets shall also comply with part
45 reporting obligations by providing to swap data repositories a
unique product identifier and product classification system that does
not limit the geographic detail of the underlying assets. The
requirement established in paragraph (c)(5)(ii) of this section is
separate from and in addition to the requirements set out in Sec.
45.7.
* * * * *
0
3. Revise appendix A to part 43 to read as follows:

Appendix A to Part 43--Swap Transaction and Pricing Data Elements

Allowable values for data elements are set forth in the
technical specification published pursuant to Sec. 43.7(a)(1)
providing the form and manner for reporting and publicly
disseminating the swap transaction and pricing data elements.

------------------------------------------------------------------------
# Data element name Definition for data element
------------------------------------------------------------------------
Category: Clearing
1............... Cleared............ Indicator of whether the
transaction has been cleared, or
is intended to be cleared, by a
central counterparty.
14.............. Mandatory clearing An indicator of whether the swap
indicator. transaction is subject to
mandatory clearing under the
Commission's regulations.
Category: Custom
baskets
31.............. Custom basket Indicator of whether the swap
indicator. transaction is based on a custom
basket.
Category: Events
37.............. Action type........ Type of action taken on the
transaction or type of end-of-
day reporting.
Allowable values for action type
are subject to removals and
additions as set forth in the
technical specification and
might include, but not be
limited to, new, modify,
correct, error, terminate,
revive, transfer out, valuation,
and collateral/margin update.
38.............. Event type......... Explanation or reason for the
action being taken on the
transaction.
Allowable values for event type
are subject to removals and
additions as set forth in the
technical specification and
might include, but not be
limited to, trade, novation/step-
in, post trade risk reduction
exercise, early termination,
clearing, exercise, allocation,
clearing & allocation, credit
event, corporate event and
transfer.
39.............. Amendment indicator Indicator of whether the
modification of the transaction
reflects newly agreed upon
term(s) from the previously
negotiated terms.
41.............. Event timestamp.... Date and time of occurrence of
the event.
Category: Notional
amounts and
quantities
43.............. Notional amount.... For each leg of the transaction,
where applicable:
--For OTC derivative
transactions negotiated in
monetary amounts, amount
specified in the contract.
--For OTC derivative
transactions negotiated in
non-monetary amounts, refer
to appendix in the swap data
technical specification for
converting notional amounts
for non-monetary amounts.
44.............. Notional currency.. For each leg of the transaction,
where applicable: currency in
which the notional amount is
denominated.
45.............. Notional amount For each leg of the transaction,
schedule--notional where applicable: For OTC
amount in effect derivative transactions
on associated negotiated in monetary amounts
effective date. with a notional amount schedule:
<bullet> Notional amount which
becomes effective on the
associated unadjusted
effective date.
46.............. Notional amount For each leg of the transaction,
schedule--unadjust where applicable: For OTC
ed effective date derivative transactions
of the notional negotiated in monetary amounts
amount. with a notional amount schedule:
<bullet> Unadjusted date on which
the associated notional amount
becomes effective.
47.............. Notional amount For each leg of the transaction,
schedule--unadjust where applicable: For OTC
ed end date of the derivative transactions
notional amount. negotiated in monetary amounts
with a notional amount schedule:
<bullet> Unadjusted end date of
the notional amount.
48.............. Call amount........ For foreign exchange options, the
monetary amount that the option
gives the right to buy.
49.............. Call currency...... For foreign exchange options, the
currency in which the Call
amount is denominated.

[[Page 90068]]

50.............. Put amount......... For foreign exchange options, the
monetary amount that the option
gives the right to sell.
51.............. Put currency....... For foreign exchange options, the
currency in which the Put amount
is denominated.
52.............. Notional quantity.. For each leg of the swap
transaction where applicable,
for swap transactions negotiated
in non-monetary amounts with
fixed notional quantity for each
schedule period.
53.............. Quantity frequency. For each leg of the swap
transaction where applicable,
the rate at which the quantity
is quoted on the swap
transaction.
54.............. Quantity frequency For each leg of the swap
multiplier. transaction where applicable,
the number of time units for the
Quantity frequency.
55.............. Quantity unit of For each leg of the transaction,
measure. where applicable: unit of
measure in which the Total
notional quantity and Notional
quantity are expressed.
56.............. Total notional For each leg of the transaction,
quantity. where applicable: aggregate
Notional quantity of the
underlying asset for the term of
the transaction.
57.............. Notional quantity For each leg of the transaction,
schedule--unadjust where applicable: for OTC
ed date on which derivative transactions
the associated negotiated in non-monetary
notional quantity amounts with a Notional quantity
becomes effective. schedule.
<bullet> Unadjusted date on which
the associated notional quantity
becomes effective.
58.............. Notional quantity For each leg of the transaction,
schedule--unadjust where applicable: for OTC
ed end date of the derivative transactions
notional quantity. negotiated in non-monetary
amounts with a Notional quantity
schedule.
<bullet> Unadjusted end date of
the notional quantity.
59.............. Notional quantity For each leg of the transaction,
schedule--notional where applicable: for OTC
quantity. derivative transactions
negotiated in non-monetary
amounts with a Notional quantity
schedule.
<bullet> Notional quantity which
becomes effective on the
associated unadjusted effective
date.
Category: Packages
69.............. Package indicator.. Indicator of whether the swap
transaction is part of a package
transaction.
71.............. Package transaction Traded price of the entire
price. package in which the reported
derivative transaction is a
component.
72.............. Package transaction Currency in which the Package
price currency. transaction price is
denominated.
73.............. Package transaction Manner in which the Package
price notation. transaction price is expressed.
74.............. Package transaction Traded price of the entire
spread. package in which the reported
derivative transaction is a
component of a package
transaction.
Package transaction price when
the price of the package is
expressed as a spread,
difference between two reference
prices.
75.............. Package transaction Currency in which the Package
spread currency. transaction spread is
denominated.
76.............. Package transaction Manner in which the Package
spread notation. transaction spread is expressed.
Category: Payments
77.............. Day count For each leg of the transaction,
convention. where applicable: day count
convention (often also referred
to as day count fraction or day
count basis or day count method)
that determines how interest
payments are calculated. It is
used to compute the year
fraction of the calculation
period, and indicates the number
of days in the calculation
period divided by the number of
days in the year.
79.............. Floating rate reset For each floating leg of the swap
frequency period. transaction where applicable,
time unit associated with the
frequency of resets.
80.............. Floating rate reset For each floating leg of the swap
frequency period transaction where applicable,
multiplier. number of time units (as
expressed by the Floating rate
reset frequency period) that
determines the frequency at
which periodic payment

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This is legal information, not legal advice. Laws vary by jurisdiction and change frequently. Always verify current law with official sources and consult a licensed attorney in your jurisdiction for advice on your specific situation.