§ 45.4 - Swap data reporting: Continuation data.

§ 45.4 Swap data reporting: Continuation data.

Cross Reference

Link to an amendment published at 85 FR 75561, Nov. 25, 2020.

Registered entities and swap counterparties must report required swap continuation data electronically to a swap data repository as set forth in this section and in the manner provided in § 45.13

(

b). The rules governing acceptance and recording of such data by

a

swap data repository are set forth in § 49.10 of this chapter. The reporting obligations of registered entities and swap counterparties with respect to swaps executed prior to the applicable compliance date and in existence on or after July 21, 2010, the date of enactment of the Dodd-Frank Act, are set forth in part 46 of this chapter. This section and § 45.3 establish the general swap data reporting obligations of swap dealers, major swap participants, non-SD/MSP counterparties, swap execution facilities, designated contract markets, and derivatives clearing organizations to report swap data to a swap data repository. In addition to the reporting obligations set forth in this section and in § 45.3, registered entities and swap counterparties are subject to other reporting obligations set forth in this chapter, including, without limitation, the following: Swap dealers, major swap participants, and non-SD/MSP counterparties are also subject to the reporting obligations with respect to corporate affiliations reporting set forth in § 45.6; swap execution facilities, designated contract markets, swap dealers, major swap participants, and non-SD/MSP counterparties are subject to the reporting obligations with respect to real time reporting of swap data set forth in part 43 of this chapter; and, where applicable, swap dealers, major swap participants, and non-SD/MSP counterparties are subject to the reporting obligations with respect to large traders set forth in parts 17 and 18 of this chapter.

(a) Continuation data reporting method generally. For each swap, regardless of asset class, reporting counterparties and derivatives clearing organizations required to report required swap continuation data must do so in a manner sufficient to ensure that all data in the swap data repository concerning the swap remains current and accurate, and includes all changes to the primary economic terms of the swap occurring during the existence of the swap. Reporting entities and counterparties fulfill this obligation by reporting either life cycle event data or state data for the swap shall report life-cycle-event data for the swap electronically to a swap data repository in the manner provided in § 45.13(a) within the applicable deadlines set forth in this section. Reporting counterparties and derivatives clearing organizations required to report swap continuation data for a swap may fulfill their obligation to report either life cycle event data or state data by reporting:

(

1) Life cycle event data to a swap data repository that accepts only life cycle event data reporting;

(2) State data to a swap data repository that accepts only state data reporting; or

(3) Either life cycle event data or state data to a swap data repository that accepts both life cycle event data and state data reporting.

(b) Continuation data reporting for clearing original swaps. For all clearing swaps, required continuation data must be reported as provided in this section.

(1) Life cycle event data or state data reporting. The derivatives clearing organization, as reporting counterparty, must report to the swap data repository either:

(i) All life cycle event data for the swap, reported on the same day that any life cycle event occurs with respect to the swap; or

(ii) All state data for the swap, reported daily.

(2) Valuation data reporting. Valuation data for the swap must be reported by the derivatives clearing organization, as reporting counterparty, daily.

(c) Continuation data reporting for original swaps. For all original swaps, required

each original swap, the derivatives clearing organization shall report required swap continuation data, including terminations,

must be reported

electronically to the swap data repository to which the swap that was accepted for clearing was reported pursuant to § 45.3

(a) through (d)

in the manner provided in § 45.13(

b

a) and in this section, and

must

such required swap continuation data shall be accepted and recorded by such swap data repository as provided in § 49.10 of this chapter.

(1)

Life cycle event data or state data reporting.

The derivatives clearing organization that accepted the swap for clearing

must report to the swap data repository either: (i) All life cycle event data for the swap, reported on the same day

shall report all life-cycle-event data electronically to a swap data repository in the manner provided in § 45.13(a) not later than the end of the next business day following the day that any life cycle event occurs with respect to the swap

; or (ii) All state data for the swap, reported daily

.

(2) In addition to all other

necessary

required swap continuation data

fields

, life-cycle-event data

and state data must

shall include all of the following:

(i) The legal entity identifier of the swap data repository to which all required swap creation data for each clearing swap was reported by the derivatives clearing organization pursuant to § 45.3(

e

b);

(ii) The unique

swap

transaction identifier of the original swap that was replaced by the clearing swaps; and

(iii) The unique

swap

transaction identifier of each clearing swap that replaces a particular original swap.

(

d

c)Continuation data reporting for

uncleared

swaps other than original swaps. For

all swaps

each swap that

are not

is not an original swap, including clearing swaps and swaps not cleared by a derivatives clearing organization,

including swaps executed on or pursuant to

the

rules of a swap execution facility or designated contract market, the

reporting counterparty

must

shall report all required swap continuation data electronically to a swap data repository in the manner provided in § 45.13(a) as provided in this

section

paragraph (c).

(1) Life-cycle-event data

or state data paragraphs

reporting.

The reporting counterparty for the swap must report to the swap data repository either all life cycle event data for the swap or all state data for the swap, within the applicable deadline set forth in

(

d)(1)(

i)

or (ii) of this section. (i)

If the reporting counterparty is a swap dealer

or

, major swap participant

: (A) Life cycle event data must be reported on the same day

, or derivatives clearing organization, the reporting counterparty shall report life-cycle-event data electronically to a swap data repository in the manner provided in § 45.13(a) not later than the end of the next business day following the day that any life cycle event

occurs

occurred, with the sole exception that life-cycle-event data relating to a corporate event of the non-reporting counterparty

must

shall be reported

no

in the manner provided in § 45.13(a) not later than the end of the second business day

after

following the day

on which

that such corporate event

occurs

occurred.

(

B) State data must be reported daily. (

ii) If the reporting counterparty is a non-SD/MSP

counterparty: (A) Life cycle event data must be reported no later than the end of the first business day following the date of any life cycle event; with the sole exception that life cycle event data relating to a corporate event of the non-reporting counterparty must be reported no

/DCO counterparty, the reporting counterparty shall report life-cycle-event data electronically to a swap data repository in the manner provided in § 45.13(a) not later than the end of the second business day following

such event.

(B) State data must be reported daily.

(

the day that any life cycle event occurred.

(2) Valuation, margin, and collateral data reporting.

Valuation data for the swap must be reported by the reporting counterparty for the swap as follows:

(i) If the reporting counterparty is a swap dealer

or

, major swap participant,

the reporting counterparty must report all valuation data for the swap, daily. (

or derivatives clearing organization, swap valuation data shall be reported electronically to a swap data repository in the manner provided in § 45.13(b) each business day.

(ii) If the reporting counterparty is a

non-SD/MSP counterparty, the reporting counterparty must report the current daily mark of the transaction as of the last day of each fiscal quarter. This report must be transmitted to the swap data repository within 30 calendar days of the end of each fiscal quarter. If a daily mark of the transaction is not available for the swap, the reporting counterparty satisfies this requirement by reporting the current valuation of the swap recorded on its books in accordance with applicable accounting standards. [81 FR 41774, June 27, 2016

swap dealer or major swap participant, collateral data shall be reported electronically to a swap data repository in the manner provided in § 45.13(b) each business day.

[85 FR 75561, Nov. 25, 2020]