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| 3 minutes read

CFTC Proposes Amendments to Swap Reporting Fields...Again

On December 15, 2023, the CFTC approved (by seriatim) a proposed rule that would amend its swap reporting rules and add a number of reportable data fields to both its regulatory and real-time reporting requirements. Simultaneously, the CFTC issued corresponding updates to its Technical Specifications for its reporting fields. The CFTC issued the Technical Specifications in 2020, and amended them in September 2021, August 2022 and March 2023. 

The apparent purpose of the proposed rule was to make certain amendments necessary for the use of the unique product identifier (UPI) in the “other commodity” asset class. However, the addition of dozens of new reportable data fields is likely to garner the most attention because market participants must engage in burdensome and time-consuming efforts to update their reporting systems in order to comply with every change to those fields and the Technical Specifications. 

Altogether, the CFTC proposed to add 49 new data elements, which are divided into seven data categories: Custom Basket; Price; Notional Amount and Quantities; Product; Clearing; Counterparty; and Transaction. 

  • The Custom Basket category would add 5 new data elements: [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 Price category would add 12 new data elements: [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, [5] strike price schedule – unadjusted end date of the strike price, [6] strike price schedule – strike, [7] option exercise end date, [8] option exercise frequency period, [9] option exercise frequency period multiplier, [10] swap pricing method, [11] pricing date schedule of the swap, and [12] start and end time of the settlement window for the floating leg(s).
  • The Notional Amounts and Quantities category would add 12 new data elements related to the notional quantity schedule: [1] unadjusted date on which the associated notional quantity becomes effective, [2] unadjusted end date of the notional quantity, [3] notional quantity, [4] days of the week, [5] unadjusted effective date of days of week, [6] unadjusted end date of days of week, [7] hours from thru, [8] unadjusted effective date of hours from thru, [9] unadjusted end date of hours from thru, [10] load profile type, [11] unadjusted effective date of load profile type, and [12] unadjusted end date of load profile type. Additionally, a new data field for USD equivalent regulatory notional amount would be added to the Notional Amounts and Quantities category.
  • The Product category would add 10 new data elements: [1] underlier ID (other), [2] underlier ID (other) source, [3] underlying asset price source, [4] underlying asset trading platform identifier, [5] crypto asset underlying indicator, [6] physical delivery location, [7] pricing index location, [8] physical commodity contract indicator, [9] product grade, and [10] maturity date of the underlier.
  • The Clearing category would add 2 new data elements: [1] mandatory clearing indicator, and [2] clearing member identifier source.
  • The Counterparty category would add 4 new data elements: [1] counterparty 1 identifier source, [2] counterparty 1 designation, [3] counterparty 2 designation, and [4] counterparty 2 special entity.
  • The Transaction category would add 3 new data elements: [1] SEF or DCM anonymous execution indicator, [2] large notional off-facility swap election indicator, and [3] SEF or DCM indicator.

Many of these fields would only be relevant and mandatory for certain types of swaps. 

The CFTC proposed to set a compliance date for these new data reporting requirements at 365 days following publication of a final rule in the Federal Register. 

Two CFTC Commissioners “concurred” with the proposed rule, while noting their reservations with the addition of several new fields. Commissioner Summer Mersinger, for example, wrote that “we as a Commission often fail to appreciate the incredible amount of effort and resources that market participants must expend whenever we decide to tweak, or issue a new dictate regarding, our swap data reporting requirements.” Additionally, Commissioner Caroline Pham wrote that a “primary objective of the 2020 rule amendments was to … focus on the minimum number of fields that allow the CFTC to perform its oversight functions,” but that these new proposed amendments “threaten to undo the progress made by expanding the data fields from 128 to closer to 200 by adding new data elements, many of which are specific to the CFTC and drive the Commission further away from international harmonization.”

Comments on the proposed rule and the Technical Specifications must be submitted within 60 days of the proposal being published in the Federal Register. 

Co-authored by Dylan Weber.


cftc, swap reporting, sdr, real-time reporting, regulatory reporting, part 43, part 45