2024-11798
[Federal Register Volume 89, Number 107 (Monday, June 3, 2024)]
[Rules and Regulations]
[Pages 47439-47460]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 2024-11798]
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COMMODITY FUTURES TRADING COMMISSION
17 CFR Part 17
RIN 3038-AF27
Large Trader Reporting Requirements
AGENCY: Commodity Futures Trading Commission.
ACTION: Final rule.
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SUMMARY: The Commodity Futures Trading Commission (``Commission'' or
``CFTC'') is amending certain regulations setting forth large trader
position reporting requirements for futures and options. The
amendments, among other things, remove the 80-character submission
standard and delegate authority to the Director of the Office of Data
and Technology to designate a modern submission standard for reports
required to be submitted, and replace certain data fields previously
with an appendix specifying and adding certain applicable data
elements.
DATES:
Effective date: The effective date for this final rule is August 2,
2024.
Compliance date: Futures commission merchants (``FCMs''), clearing
members, foreign brokers, and designated contract markets (``DCMs'')
required to submit reports under Sec. 17.00(a) (collectively,
``reporting firms''), must comply with the amendments to the rules by
June 3, 2026.
[[Page 47440]]
FOR FURTHER INFORMATION CONTACT: Owen Kopon, Associate Chief Counsel,
at (202) 418-5360 or [email protected], Paul Chaffin, Assistant Chief
Counsel, at (202) 418-5185 or [email protected], Chase Lindsey,
Assistant Chief Counsel, at (202) 740-4833 or [email protected], Jason
Smith, Assistant Chief Counsel, at (202) 418-5698 or [email protected],
each of the Division of Market Oversight, James Fay, IT Specialist, at
(202) 418-5293 or [email protected], Division of Data, or Daniel Prager,
Research Economist, (202) 418-5801 or [email protected], Office of the
Chief Economist, in each case at the Commodity Futures Trading
Commission, 1155 21st Street NW, Washington, DC 20581.
SUPPLEMENTARY INFORMATION:
Table of Contents
I. Background
A. Introduction
B. Statutory and Regulatory Framework for Large Trader Position
Reporting
II. Amendments to Part 17
A. Submission Standard--Sec. Sec. 17.00(g), 17.00(h), 17.03(d)
B. Data Elements--Appendix C to Part 17 and Sec. 17.03(d)
III. Compliance Period
IV. Frequency of Publication of COT Report
V. Related Matters
A. Cost-Benefit Considerations
B. Regulatory Flexibility Act
C. Paperwork Reduction Act
D. Antitrust Considerations
I. Background
A. Introduction
Part 17 of the Commission's regulations governs large trader
position reporting for futures and options. Section 17.00(a) requires
reporting firms to report daily position information for ``special
accounts'' \1\--accounts that represent the largest futures and options
traders--to the Commission.\2\ Since the 1980s, Commission regulations
have required reporting firms to submit Sec. 17.00(a) large trader
position reports in the highly-specified 80-character record format set
out in Sec. 17.00(g).\3\ Data reporting technology has evolved since
that time, and it is no longer efficient for the Commission or market
participants to report and maintain large trader position data in the
traditional Sec. 17.00(g) record format. For example, the Sec.
17.00(g) data submission format is unique to Sec. 17.00(a) reports and
not easily integrated with other datasets submitted to the Commission.
Additionally, because the current Sec. 17.00(g) record format does not
support automated data quality checks from Commission staff to
reporting firms, the current error correction process puts the
timeliness of publication of the Commitments of Traders (``COT'')
report, which is built using Sec. 17.00(a) data, in jeopardy. And, the
current Sec. 17.00(g) record format cannot accommodate reporting
positions in various newer contracts, such as bounded options.
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\1\ 17 CFR 15.00(r).
\2\ 17 CFR 17.00(a).
\3\ 17 CFR 17.00(g); see Final Rule, Reports Filed by Contract
Markets, Futures Commission Merchants, Clearing Members, Foreign
Brokers, and Large Traders, 51 FR 4712 (Feb. 7, 1986).
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Accordingly, on June 27, 2023, the Commission published in the
Federal Register a notice of proposed rulemaking (herein, the
``Proposal'') \4\ that set out revisions to part 17 to modernize that
record format and update the data elements required to be reported in
Sec. 17.00(a) reports.\5\ Specifically, the Commission proposed to
remove the Sec. 17.00(g) record format, which contains both a data
submission standard and data elements to be reported. To implement a
modern data submission standard, the Commission proposed to revise
Sec. 17.03(d) to delegate authority to the Director of the Office of
Data and Technology to permit or require one or more particular data
submission standards. Contemporaneously with publication of the
Proposal, the Commission also published a proposed Part 17 Guidebook
(the ``Proposed Part 17 Guidebook''),\6\ which would designate
Financial Information eXchange Markup Language (``FIXML'') as the data
submission standard for Sec. 17.00(a) reports. To replace the data
elements previously contained in the Sec. 17.00(g) record format, the
Commission proposed to add an appendix C to part 17 (``proposed
appendix C'') enumerating and adding certain data elements to be
reported in Sec. 17.00(a) reports. Revised Sec. 17.03(d) proposed to
delegate authority to the Director of the Office of Data and Technology
to determine the form and manner for reporting the data elements
contained in the new appendix C to part 17. Combined, these proposed
amendments to part 17 would modernize the data submission standard for
Sec. 17.00(a) reports, bringing that data submission standard in line
with the extensible-markup-language-based data submission standards
used for virtually all other Commission data reporting regimes, and
would enable reporting of positions in certain futures and options
contracts that cannot be represented in the current Sec. 17.00(g)
record format.
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\4\ Notice of Proposed Rulemaking, Large Trader Reporting
Requirements, 88 FR 41522 (June 27, 2023).
\5\ Id.
\6\ See Proposed Part 17 Guidebook (May 30, 2023), available at
https://www.cftc.gov/media/8701/GuidebookPart17_053123/download.
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The public comment period for the Proposal ended August 28,
2023,\7\ and the Commission received 12 substantive public comment
letters.\8\ After considering the comments, the Commission has
determined to largely adopt the amendments as proposed, with certain
non-substantive revisions for clarity. Additionally, in response to
certain comments, the Proposed Part 17 Guidebook has been revised to
enable reporting firms to submit certain of the product-related data
elements enumerated in appendix C using a ``Unique Instrument Code.''
The Commission believes the amendments it is adopting herein will
improve data quality and modernize the Commission's large trader
position data reporting scheme for futures and options.
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\7\ 88 FR at 41522.
\8\ The following entities and persons submitted substantive
comment letters: Better Markets (``Better Markets''); Bloomberg L.P.
(``Bloomberg''); CBOE Global Markets, Inc. (``CBOE''); CME Group
(``CME''); Martha Denkevitz (``Denkevitz''); Futures Industry
Association (``FIA''); Global LEI Foundation (``GLEIF''); ICE
Futures U.S. (``ICE''); International Standards Organization,
Standards Advisory Group (``ISO''); National Grain and Feed
Association (``NGFA''); The Options Clearing Corporation (``OCC'');
and William Wood (``Wood'').
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B. Statutory and Regulatory Framework for Large Trader Position
Reporting
Sections 4a, 4c(b), 4g, and 4i of the Commodity Exchange Act
(``CEA'') provide the Commission with authority to promulgate large
trader position reporting regulations. Section 4a of the CEA permits
the Commission to set and approve exchange-set limits and enforce
speculative position limits.\9\ Section 4c(b) of the CEA gives the
Commission plenary authority to regulate transactions that involve
commodity options.\10\ Section 4g of the CEA imposes reporting and
recordkeeping obligations on registered entities, and requires each
registered entity to file such reports as the Commission may require on
proprietary and customer transactions and positions in commodities for
future delivery executed on any board of trade.\11\ Additionally,
section 4g of the CEA requires registered entities to maintain daily
trading records as required by the Commission and permits the
Commission to require that such daily trading records be made available
to the Commission.\12\ Section 4i of the CEA requires the filing of
such reports as the
[[Page 47441]]
Commission may require when positions made or obtained on DCMs equal or
exceed Commission-set levels.\13\
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\9\ 7 U.S.C. 6a.
\10\ 7 U.S.C. 6c(b).
\11\ 7 U.S.C. 6g.
\12\ Id.
\13\ 7 U.S.C. 6i.
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The Commission has set out reporting requirements for futures and
options in Parts 15, 16, 17, 18, 19, and 21 of the Commission's
regulations. Part 16 requires contract markets to submit certain
information to the Commission; Parts 17 and 21 require reporting firms
to submit certain information to the Commission; and Parts 18 and 19
require individual traders to submit certain data to the Commission.
Within this framework, part 17 requires the submission of large
trader position reports and certain account identifying information for
accounts of large traders. Section 17.00(a) requires reporting firms to
submit daily reports to the Commission providing positions in open
contracts for ``special accounts''--that is, futures and options trader
accounts that exceed Commission-set reporting levels.\14\ More
specifically, Sec. 17.00(a) requires reporting firms to submit a Sec.
17.00(a) large trader position report--historically referred to as a
``series '01 report''--that itemizes by special account certain
positions, deliveries of futures, and exchanges of futures for related
positions associated with each account that carries a reportable
position.\15\
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\14\ 17 CFR 17.00(a); 17 CFR 15.00(r).
\15\ Section 17.01 requires, separately, that reporting firms
submit information, via Form 102, identifying the traders behind
special accounts by name, address, and occupation, once an account
accrues a reportable position. 17 CFR 17.01. Reporting firms, as
appropriate, submit Form 102 to the Commission for each account when
that account becomes reportable as a special account. By aggregating
information from Sec. 17.00(a) large trader reports and Form 102,
the Commission can determine the size of each reportable trader's
overall positions across special accounts held with multiple FCMs,
clearing members, or foreign brokers.
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Section 17.00(g) provides the data submission standard and data
elements for the reportable positions by special accounts in the form
of an 80-character record format.\16\ Section 17.02(a) provides the
time of filing of Sec. 17.00(a) reports.\17\ Section 17.03(a)
delegates the authority to the Director of the Office of Data and
Technology to determine whether reporting firms may submit Sec.
17.00(a) reports using some other format than the required format, upon
a determination that such person is unable to report the information
using the format, coding structure, or electronic data transmission
procedures otherwise required.\18\ Section 17.03(d) delegates authority
to the Director of the Office of Data and Technology to approve a
format and coding structure other than that set forth in Sec.
17.00(g).\19\
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\16\ 17 CFR 17.00(g).
\17\ 17 CFR 17.02(a).
\18\ 17 CFR 17.03(a).
\19\ 17 CFR 17.03(d).
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II. Amendments to Part 17
A. Submission Standard--Sec. Sec. 17.00(g), 17.00(h), 17.03(d)
1. Background and Summary of the Final Rule
Currently, the Sec. 17.00(g) record format contains an 80-
character, Cobol-based \20\ data submission standard.\21\ The Proposal
discussed several disadvantages of that data submission standard.\22\
First, the data submission standard contained in the current Sec.
17.00(g) record format is outdated and inconsistent with data
submission standards required by other Commission reporting
regulations.\23\ Second, the current Sec. 17.00(g) record format is
also error-prone, and the manual error correction process currently
employed puts the timeliness of the weekly COT report in jeopardy.
Third, data received in the current Sec. 17.00(g) record format is
difficult to query outside of the Integrated Surveillance System
(``ISS'') \24\ and therefore difficult to integrate with other
Commission datasets. Fourth, certain contract features, such as
multiple strike prices, cannot be represented in the current Sec.
17.00(g) record format.
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\20\ ``Cobol'' refers to Common Business Oriented Language, a
programming language.
\21\ See 17 CFR 17.00(g); 88 FR at 41532.
\22\ See 88 FR at 41524-25.
\23\ See, e.g., Final Rule, Ownership and Control Reports, Forms
102/102S, 40/40S, and 71, 78 FR 69178, 69188 (Nov. 18, 2013)
(establishing a ``web-based portal'' and ``an XML-based, secure FTP
data feed'' for reporting ownership and control information under
Sec. 17.01); Advanced Notice of Proposed Rulemaking, Account
Ownership and Control Report, 74 FR 31642, 31644 (July 2, 2009)
(section 16.02 data to be reported in FIXML); Large Trader Reporting
for Physical Commodity Swaps: Division of Market Oversight Guidebook
for Part 20 Reports (June 22, 2015), available at https://www.cftc.gov/idc/groups/public/@newsroom/documents/file/ltrguidebook062215.pdf (incorporating FpML and FIXML data standards
for Part 20 reporting); CFTC Technical Specification, Parts 43 and
45 swap data reporting and public dissemination requirements,
Version 3.2 (March 1, 2023), available at https://www.cftc.gov/media/8261/Part43_45TechnicalSpecification03012023CLEAN/download
(incorporating FIXML data standard for parts 43 and 45 reporting).
\24\ The Commission's Integrated Surveillance System receives
and stores end-of-day position reports submitted to the Commission,
and allows the Commission's divisions and offices to monitor daily
activities of large traders. See, e.g., 78 FR at 69180.
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To address these shortcomings, the Commission proposed amendments
to Sec. Sec. 17.00(g), 17.00(h), and 17.03(d). The Commission proposed
to remove the 80-character record format from Sec. 17.00(g), and to
instead provide in that regulation that Sec. 17.00(a) reports be
submitted in the form and manner published by the Commission or its
designee pursuant to Sec. 17.03. Section 17.03 addresses, among other
things, the delegation of certain authority to the Director of the
Office of Data and Technology. The Commission proposed to revise Sec.
17.03(d), which currently delegates the authority to the Director of
the Office of Data and Technology to approve a format and coding
structure other than that set forth in Sec. 17.00(g), to provide
instead that authority be delegated to the Director of the Office of
Data and Technology to determine the form, manner, coding structure,
and electronic data transmission procedures for reporting the data
elements in appendix C to part 17 and to determine whether to permit or
require one or more particular data standards. These amendments would
delegate authority to the Director of the Office of Data and Technology
to designate a data submission standard for Sec. 17.00(a) reports in a
Guidebook.
Contemporaneously with the publication of the Proposal, the
Commission published the Proposed Part 17 Guidebook, which designated
FIXML as the data submission standard for Sec. 17.00(a) reports. The
Proposed Part 17 Guidebook would permit reporting firms to either
submit Sec. 17.00(a) reports in FIXML through a secure file transfer
protocol (``FTP'') data feed, or through the CFTC Portal, which would
in turn convert those reports into FIXML. The Commission believes that
providing those two methods for submitting Sec. 17.00(a) reports will
accommodate varied technological capabilities of reporting firms.\25\
Whereas it may be more efficient for a more sophisticated reporting
firm with a large volume of reports to submit such reports in FIXML by
secure FTP, it may be more efficient for a less sophisticated firm or a
firm with a smaller volume of reports to manually submit such reports
through the CFTC Portal.
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\25\ See 88 FR at 41532 (addressing reporting firms that would
automate submitting Sec. 17.00(a) reports and firms that would
manually submit Sec. 17.00(a) reports through the CFTC Portal); see
also 78 FR at 69188 (Nov. 18, 2013) (``The Commission is offering
two filing methods [for ownership and control reports] for each form
because it anticipates a wide range of technological capabilities
among reporting parties (varying based on the relative size and
experience of a given reporting party).'').
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The Commission also proposed non-substantive edits to Sec.
17.00(h), concerning correction of errors and omissions. Current Sec.
17.00(h) provides that corrections of errors or omissions in Sec.
17.00(a) reports be filed ``on series '01 forms'' or ``in the format,
coding structure and data transmission
[[Page 47442]]
procedures approved in writing by the Commission or its designee.''
\26\ The Commission proposed to delete the reference to ``series '01
forms'' and to specify that the form and manner for submitting
corrections of errors and omissions shall be published by the
Commission or its designee pursuant to the delegation of authority in
Sec. 17.03. Pursuant to this provision, the form and manner for
submitting corrections of errors and omissions would be set out in the
Part 17 Guidebook published by the Office of Data and Technology.
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\26\ 17 CFR 17.00(h).
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In this final rule, the Commission is adopting the amendments to
Sec. Sec. 17.00(g), 17.00(h), and 17.03(d) as proposed.
2. Comments on the Proposed Rule
The Commission solicited comment concerning the advantages and
disadvantages of designating a FIXML data submission standard for Sec.
17.00(a) reports, the proposal to permit reporting firms to submit
Sec. 17.00(a) reports through the CFTC Portal in addition to
submission by secure FTP, and the advantages and disadvantages of
correcting errors in Sec. 17.00(a) reports in the manner set forth in
the Part 17 Guidebook. The Commission also requested comments on all
aspects of the changes to the data submission standard described in the
Proposal.
The Commission received ten comments that related to changes to the
data submission standard for Sec. 17.00(a) reports. Those comments
generally concerned the appropriateness of a FIXML data submission
standard, the scope of the delegation of authority in Sec. 17.03(d),
the process for updating the Part 17 Guidebook, and the process for
correcting errors in Sec. 17.00(a) data.
a. Comments Concerning the Part 17 Guidebook Designating a FIXML Data
Submission Standard for Sec. 17.00(a) Reports
The Proposal sought comment on whether the Part 17 Guidebook should
designate FIXML as the data submission standard for Sec. 17.00(a)
large trader position reports. Commenters were generally supportive of,
and did not oppose, a FIXML data submission standard, with the option
to submit Sec. 17.00(a) reports manually through the CFTC Portal. FIA
stated that it supported the Commission's efforts to modernize the
large trader reporting process and transition from the current Sec.
17.00(g) record format to a FIXML data submission standard.\27\ CME
stated that it ``wholeheartedly'' supported the Commission's efforts to
modernize and enhance large trader position reporting and that ``the
conversion from an 80-byte file to FIXML is warranted.'' \28\
Similarly, ICE was ``generally supportive'' of the Commission's efforts
to modernize large trader reporting requirements, although ICE did not
specifically reference the proposed transition to an XML-based data
submission standard.\29\
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\27\ FIA Letter at 1.
\28\ CME Letter at 1-2.
\29\ ICE Letter at 1.
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The Commission also received several comments concerning the
proposed revisions to Sec. 17.03(d) to delegate authority to the
Director of the Office of Data and Technology to designate a data
submission standard and the process by which Commission staff might
update the designated data submission standard in the Part 17 Guidebook
in the future. FIA stated that it supported delegating authority to the
Director of the Office of Data and Technology to set out data
submission standards in the Part 17 Guidebook,\30\ and ICE stated that
it appreciated the rationale for delegating authority to designate a
data submission standard and that it generally supported FIA's comments
related to the proposed delegation of authority.\31\ No commenters
opposed delegating authority to designate a data submission standard
for Sec. 17.00(a) reports to the Director of the Office of Data and
Technology. However, some commenters requested clarification as to the
scope of the delegation and proposed modifications related to the
implementation of that delegated authority.\32\
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\30\ FIA Letter at 7.
\31\ ICE Letter at 2.
\32\ See FIA Letter at 7; ICE Letter at 2; OCC Letter at 4.
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Certain commenters suggested revisions to the Proposal providing
that if, in the future, the Director of the Office of Data and
Technology changed the designated data submission standard in some way,
reporting firms be consulted or given advance notice.\33\ For example,
FIA suggested the Commission modify the Proposal or the Proposed Part
17 Guidebook to provide that, before changing the designated data
submission standard, Commission staff consult with reporting firms,
provide reasonable notice of changes, and provide a reasonable
implementation period.\34\ ICE suggested that the Commission modify the
Proposal and Proposed Part 17 Guidebook to require that the Commission
consult with reporting firms regarding any changes to the designated
data submission standard.\35\ OCC suggested the Commission modify the
Proposal to provide that reasonable notice and implementation time be
provided if at some point the Director of the Office of Data and
Technology changes the designated data submission standard.\36\
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\33\ The same commenters also expressed concerns about potential
costs associated with hypothetical future changes in the designated
data submission standard for Sec. 17.00(a) reports. Specifically,
FIA, ICE, and OCC each stated that future changes to the data
submission standard set out in the Part 17 Guidebook could require
costly technology and infrastructure changes for reporting firms.
See, e.g., FIA Letter at 7; ICE Letter at 2; OCC Letter at 4.
\34\ FIA Letter at 7.
\35\ ICE Letter at 2.
\36\ OCC Letter at 4.
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The Commission has determined to adopt the changes to Sec.
17.03(d) as proposed. The Commission believes the revisions described
in the comments may unduly constrain the Commission's ability to adjust
the process by which it receives information. The Commission has
considered similar comments in other reporting contexts and declined to
specify in regulations particular implementation timelines applicable
to possible future changes in exercises of delegated authority.\37\
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\37\ See, e.g., Final Rule, Certain Swap Data Repository and
Data Reporting Requirements, 85 FR 75601, 75625 (Nov. 25, 2020)
(declining to revise proposed regulation to include provision that
would state that compliance with changes in technical specifications
need only be achieved ``as soon as practicable'').
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The Commission intends for staff to consult with reporting firms
with respect to appropriate data submission standards in order to
ensure that any changes in the designated data submission standards or
standards for Sec. 17.00(a) reports will be effective and suitable. As
explained in the Proposal, the purpose of delegating the authority to
designate a data submission standard or standards is to enable the
Commission and Commission staff to quickly respond to changing market
and technological conditions and to remain consistent with industry
best practices.\38\ Typically, updates to technical specifications and
guidebooks issued pursuant to delegated authority are accompanied by
implementation periods.\39\ The Commission expects that
[[Page 47443]]
when publishing any updates to the Part 17 Guidebook, staff will
provide reasonable notice and an adequate implementation period.
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\38\ 88 FR at 41526.
\39\ See, e.g., CFTC Press Release, CFTC Staff Announces
Modifications to the Technical Specification for Parts 43 and 45,
Release No. 8673-23 (Mar. 10, 2023), https://www.cftc.gov/PressRoom/PressReleases/8673-23 (announcing in March 2023 modifications to the
Technical Specifications for Parts 43 and 45 to be implemented in
January 2024); CFTC Press Release, CFTC's Division of Market
Oversight Issues Updated Guidebook and Appendices for Part 20
Reports, Release No. 7189-15 (June 22, 2015), https://www.cftc.gov/PressRoom/PressReleases/7189-15 (``Commission staff will implement
the improved validation rules in a test environment on July 6, 2015.
Commission staff expects that the improved validation rules will go
live in the production environment on August 31, 2015.'').
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b. Comments Concerning Submitting Sec. 17.00(a) Reports Through the
CFTC Portal
As discussed, the Proposal requested comments on allowing reporting
firms to submit Sec. 17.00(a) reports either in the FIXML data
submission standard designated in the Part 17 Guidebook, or through the
CFTC Portal.\40\ In its comment letter, FIA stated that it supported
the continued operation of the CFTC Portal as a means of reporting. FIA
also stated that it believed the Commission should (1) implement
changes to the CFTC Portal simultaneously with the implementation of
the final rule; (2) consult with industry concerning changes to the
CFTC Portal; (3) provide a three-month testing period for the revised
CFTC Portal; and (4) include certain specific features in the CFTC
Portal, including automatic creation of a Report ID, search
functionality for prior submissions by Report ID, a correction process,
and a process to export filed reports from the CFTC Portal.
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\40\ The CFTC Portal is also referred to as the ``PERT Portal,''
which abbreviates ``Position Entry for Reportable Traders.'' See
Large Trader Reporting Program, https://www.cftc.gov/IndustryOversight/MarketSurveillance/LargeTraderReportingProgram/index.htm (last visited April 23, 2024).
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As discussed below, in the final rule, the Commission is extending
the compliance date to a date two years following publication of a
final rule in the Federal Register. The Commission expects the updated
CFTC Portal to become available for testing approximately six months
after publication of the final rule. The Commission believes this
should provide reporting firms with adequate time to test the new CFTC
Portal prior to the final rule's compliance date.
With respect to the features FIA has described, the Commission
expects that some of these features will be available in the CFTC
Portal. For example, the Commission expects the CFTC Portal will
include functionality for identifying specific reports,\41\ a process
for submitting changes or corrections to previously filed reports, and
a process for exporting reports in FIXML format. The updated CFTC
Portal may in the future include time-limited search functionality to
query previously-filed reports.
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\41\ See, e.g., Part 17 Guidebook section 3.10.1 (discussing
Reference IDs).
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c. Comments Concerning Error Corrections
Currently, Sec. 17.00(h) provides that, unless otherwise approved
by the Commission or its designee, corrections of errors and omissions
in data required to be reported under Sec. 17.00(a) shall be filed on
series '01 forms or in the format, coding structure and data
transmission procedures approved in writing by the Commission or its
designee.\42\ Given alterations to the Sec. 17.00(g) record format--
which provides the format for the ``series '01 form'' \43\--the
Commission proposed to revise the data submission standard and form and
manner for error corrections to be consistent with the new data
submission standard and the form and manner for submitting Sec.
17.00(a) reports. Significantly, the Proposal explained that
implementing a modern data submission standard will allow Commission
staff to use an automated process for notifying reporting firms of
errors identified in reports during the ingest process on the same day
those reports are submitted.\44\ Currently, staff manually notifies
reporting firms when it identifies errors in Sec. 17.00(a) reports
submitted by those firms. The Commission expects automating the process
for sending notice of errors will facilitate more rapid corrections to
reported data, which will improve the quality of the Commission's data.
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\42\ 17 CFR 17.00(h).
\43\ As noted previously, these final rules remove this
reference to the ``series '01 form'' as well.
\44\ See 88 FR at 41526.
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The Commission received several comments concerning error
corrections. First, NGFA voiced support for automating the process for
notifying reporting firms of errors.\45\ Second, Wood and Denkevitz
speculated that reporting firms could ``game'' the error correction
process \46\ by submitting intentionally inaccurate reports and
subsequently correcting those reports, and expressed a concern that the
Commission might ``delete records'' following submission of error
corrections, thereby making it difficult to detect such ``gaming.''
\47\ Both respectively suggested that ``[n]o deletions should ever be
allowed'' and ``[d]eletions should not be allowed.'' \48\ The Proposal
did not discuss ``deleting records'' and did not propose to delete any
records. As discussed in the Proposal, the ``Record Type'' data
element--both in the current Sec. 17.00(g) record format and appendix
C--identifies submissions that correct errors or omissions.\49\
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\45\ See, e.g., NGFA Letter at 1.
\46\ Wood speculates about several other forms of ``gaming''
related to part 17 large trader position reporting, including the
prospect that a trader might conceal ownership of accounts and
submit optional Sec. 17.00(a) reports that are anonymous and at the
same time contain ``misleading'' data. See Wood Letter. These
concerns speak more to the reporting of information pertaining to
ownership and control under Sec. 17.01 than to reporting of
positions of special accounts under Sec. 17.00(a). In any event,
Wood does not propose any changes to the Proposal on the basis of
these concerns.
\47\ See Wood Letter, Denkevitz Letter.
\48\ Id.
\49\ See 88 FR at 41526 n.60.
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d. Comments Concerning Certain Late Claimed Give-ups and Transfers
The Commission also received comments from FIA concerning the
filing of change updates to account for ``certain late claimed give-ups
and transfers.'' \50\ CBOE echoed these comments.\51\
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\50\ FIA Letter at 6. To the extent CME and ICE's comment
letters should be read to support or reiterate FIA's comment letter,
those letters can be construed to raise this issue as well. See CME
Letter at 2; ICE Letter at 1.
\51\ CBOE Letter at 2.
---------------------------------------------------------------------------
Specifically, FIA requested the Commission provide ``guidance''
that ``change updates, corrections, or amendments to reports would not
be required to account for certain ``late claimed give-up'' or certain
transfer activity.\52\ FIA states that filing change updates to account
for ``certain late claimed give-ups and transfers'' would increase
reporting firms' filings and increase complexity, and states that
``recreating positions from a prior day in order to accurately file the
change update'' would be challenging for reporting firms.\53\ FIA also
included an appendix to its comment letter containing reporting
hypotheticals drafted by FIA members.\54\
---------------------------------------------------------------------------
\52\ FIA Letter at 6.
\53\ Id.
\54\ See id. at 17-19.
---------------------------------------------------------------------------
The Commission did not propose to revise regulations that govern
the time by which a position must be reported under Sec. 17.00(a) or
to revise the requirement that a reporting firm correct any errors in a
position report. With respect to the activity to which FIA refers, the
Commission would not expect the Proposal to affect whether reporting of
positions impacted by give-up and transfer activity complies with the
Commission's regulations. Therefore, FIA's request for guidance
concerning ``change updates, corrections, or amendments'' relating to
``certain late claimed give-ups and transfers'' is outside the scope of
this rulemaking.
The hypotheticals in FIA's letter do address a scenario where
trades have been executed on a given day, but ``have
[[Page 47444]]
not been claimed yet in clearing'' as of the close of market on that
same day.\55\ For purposes of populating the ``Contracts Bought'' and
``Contracts Sold'' data elements, which include contracts bought and
sold via give-up transactions, a reporting firm should generally count
contracts that have been claimed for clearing and therefore are in a
special account as of the close of market on the day covered by the
report. To clarify the definitions of ``Contracts Bought'' and
``Contracts Sold,'' the Commission has removed the reference to ``give-
ups processed beyond T+1'' and replaced it with ``contracts claimed for
clearing as a result of trade allocations such as give-ups.'' The
``Contracts Bought'' and ``Contracts Sold'' data elements,
respectively, capture the gross number of contracts bought by a special
account as of the close of the market for a covered day and the gross
number of contracts sold from a special account as of the close of the
market for a covered day, excluding contracts bought or sold from a
special account in connection with exchanges of derivatives for related
positions (``EDRPs''), transfers, option exercises, or deliveries.
---------------------------------------------------------------------------
\55\ Id. at 18-19.
---------------------------------------------------------------------------
3. Final Rule
As discussed, with respect to the Proposal's changes related to the
data submission standard for Sec. 17.00(a) reports, the Commission is
adopting the Proposal as proposed.
B. Data Elements--Appendix C to Part 17 and Sec. 17.03(d)
1. Background and Summary of the Proposed Rule
Because the current Sec. 17.00(g) record format contained the data
elements for Sec. 17.00(a) reports and provided the form and manner
for reporting those data elements, removal of that record format
necessitates replacing those data elements in the regulations. The
Proposal relocated the data elements for Sec. 17.00(a) reports to
appendix C to part 17, and delegated authority to the Director of the
Office of Data and Technology to publish the form and manner for
submitting those data elements in a Part 17 Guidebook. The Proposal
also included several data elements not previously incorporated into
the Sec. 17.00(g) record format.
Organizing the data elements applicable to Sec. 17.00(a) reports
in an appendix to part 17 is consistent with the treatment of data
elements required to be reported in other Commission reporting
regimes.\56\ Similarly, delegating authority to determine the form and
manner for reporting a particular data element to the Director of the
Office of Data and Technology should enable the Commission to address
changing market and technological conditions, and to provide
clarification on reporting of particular data elements as necessary.
---------------------------------------------------------------------------
\56\ See, e.g., 17 CFR part 45, appendix 1 (data elements for
swap data required to be reported under part 45); 17 CFR part 43,
appendix A (data elements for swap transaction and pricing data
required to be reported under part 43); 17 CFR part 39, appendix C
(``Daily Reporting Data Fields'' for reporting required under part
39).
---------------------------------------------------------------------------
The Proposal organized the data elements in appendix C into four
categories. First, proposed appendix C retained certain data elements
that have been required to be reported under the current Sec. 17.00(g)
record format--for example, under the Proposal, a Sec. 17.00(a) report
would continue to require reporting long positions and short positions
in options and futures contracts, delivery notices stopped and issued,
and other information fundamental to a position report.\57\ Second,
proposed appendix C called for certain new data elements used to
facilitate processing of data, including data elements typically used
in FIXML reporting \58\--for example, for files submitted in FIXML,
reporting firms would include a message count, a ``Sender ID,'' and
information identifying the time of submission.\59\ Third, proposed
appendix C included new product-related data elements that, where
applicable, would enable the Commission to identify and distinguish the
futures or option contract pertaining to the reported position.\60\ In
some instances these data elements would allow the Commission to draw
more granular distinctions between certain contracts for reportable
positions, and in other instances, these data elements will enable
reporting firms to accurately represent terms of particular contracts,
such as bounded or barrier contracts, contracts with non-price or non-
numeric strikes, and other innovative contracts, that are held in
special accounts. Fourth, proposed appendix C included new data
elements that concern the nature and quantity of day-to-day changes in
positions.\61\ That information would provide Commission staff with
additional information to support the Commission's Surveillance
Program,\62\ and would assist Commission staff in linking position data
reported at the special account level pursuant to Sec. 17.00(a) with
transaction data reported at the trading account level under Sec.
16.02.
---------------------------------------------------------------------------
\57\ These data elements include (1) Data Element #7 Record Type
(Action), (2) Data Element #8 Report Date, (3) Data Element #9
(Reporting Firm ID), (4) Data Element #11 Account ID, (5) Data
Element #12 Exchange Indicator, (6) Data Element #15 Ticker Symbol,
(7) Data Element #16 Maturity Month Year, (8) Data Element #20
Strike Level, (9) Data Element #26 Put or Call Indicator, (10) Data
Element #27 Exercise Style, (11) Data Element #30 Underlying
Contract ID, (12) Data Element #31 Underlying Maturity Month Year,
(13) Data Element #32 Long Position, (14) Data Element #33 Short
Position, (15) Data Element #38 Delivery Notices Stopped, and (16)
Data Element #39 Delivery Notices Issued. The Part 17 Guidebook
provides a mapping of data elements in the current Sec. 17.00(g)
record format to the data elements in appendix C.
\58\ These data elements include (1) Data Element #1 Total
Message Count, (2) Data Element #2 Message Type, (3) Data Element #3
Sender ID, (4) Data Element #4 To ID, (5) Data Element #5 Message
Transmit Datetime, (6) Data Element #6 Report ID, and (7) Data
Element #10 Special Account Controller LEI.
\59\ The Commission notes that for reporting firms submitting
Sec. 17.00(a) reports through the CFTC Portal, certain of these
data elements may be populated by the CFTC Portal software.
\60\ These data elements include (1) Data Element #14 Product
Type, (2) Data Element #13 Commodity Clearing Code, (3) Data Element
#17 Maturity Time, (4) Data Element #18 Listing Date, (5) Data
Element #19 First Exercise Date, (6) Data Element #20 Strike Level,
(7) Data Element #21 Alpha Strike, (8) Data Element #22 Cap Level,
(9) Data Element #23 Floor Level, (10) Data Element #24 Bound or
Barrier Type, (11) Data Element #25 Bound or Barrier Level, (12)
Data Element #28 Payout Amount, (13) Data Element #29 Payout Type,
and (14) Data Element #50 Product-Specific Terms.
\61\ These data elements include (1) Data Element #34 Contracts
Bought, (2) Data Element #35 Contracts Sold, (3) Data Element #36
EDRPs Bought, (4) Data Element #37 EDRPs Sold, (5) Data Element #38
Delivery Notices Stopped, (6) Data Element #39 Delivery Notices
Issued, (7) Data Element #40 Long Options Expired, (8) Data Element
#41 Short Options Expired, (9) Data Element #42 Long Options
Exercised, (10) Data Element #43 Short Options Exercised, (11) Data
Element #44 Long Futures Assigned, (12) Data Element #45 Short
Futures Assigned, (13) Data Element # 46 Long Transfers Sent, (14)
Data Element #47 Long Transfers Received, (15) Data Element #48
Short Transfers Sent, and (16) Data Element #49 Short Transfers
Received.
\62\ The Commission's Market Surveillance Program is responsible
for collecting market data and position information from registrants
and large traders, and for monitoring the daily activities of large
traders, key price relationships, and relevant supply and demand
factors in a continuous review for potential market problems. See
Final Rule, Position Limits, 86 FR 3236, 3381 n.1134 (Jan. 14,
2021).
---------------------------------------------------------------------------
In this final rule, the Commission is adopting the amendments to
Sec. Sec. 17.00(g) and 17.03(d) as proposed. The Commission is also
adopting appendix C to part 17 (the final appendix C to part 17 is
referred to, herein, as ``appendix C''), largely as proposed, but with
non-substantive changes to the descriptions of certain data elements
for clarity. In addition, the Office of Data and Technology has made
corresponding non-substantive changes to the Proposed Part 17 Guidebook
for clarity, and corresponding changes to the Part 17 Guidebook to
remove certain data
[[Page 47445]]
elements. And, the Part 17 Guidebook now has been revised to enable
reporting firms to submit certain of the product-related data elements
enumerated in appendix C using a ``Unique Instrument Code.'' A revised
Part 17 Guidebook (the ``Part 17 Guidebook'') has been published
contemporaneously with this final rule.
2. Comments Received
The Commission solicited comment concerning any additional data
elements not included in appendix C that may be necessary to obtain a
complete and accurate picture of positions held by large traders, any
transactions that would effect changes in positions that are not
accounted for by the data elements in appendix C, and any data elements
in appendix C that may not be necessary to obtain a complete and
accurate picture of positions held by large traders. The Commission
also requested comments on all aspects of the changes to data elements
described in the Proposal.
The Commission received nine comments concerning changes to the
data elements for Sec. 17.00(a) reports. Those comments generally
consisted of requests for clarification regarding certain data
elements, comments stating that certain product-related data elements
should be obtained from DCMs, comments concerning the special account
legal entity identifier (``LEI'') data element, and comments concerning
use of certain data submission standards for certain data elements. In
particular, FIA provided an appendix to their comment letter containing
comments on 23 of the data elements in appendix C.\63\ ICE stated that
it generally supported FIA's comments; \64\ CME stated that
``compliance . . . is dependent on how the CFTC defines some of the new
data elements,'' citing the FIA appendix; \65\ CBOE stated that it was
``supportive'' of FIA's comments; \66\ and OCC stated that it
``associates itself with the contents of the FIA Comment Letter.'' \67\
---------------------------------------------------------------------------
\63\ FIA Letter at 13-16.
\64\ ICE Letter at 1.
\65\ CME Letter at 2.
\66\ CBOE Letter at 2.
\67\ OCC at 2.
---------------------------------------------------------------------------
a. Comments Concerning Currently Reported Data Elements (``Category
1'') \68\
---------------------------------------------------------------------------
\68\ These data elements include (1) Data Element #7 Record Type
(Action), (2) Data Element #8 Report Date, (3) Data Element #9
(Reporting Firm ID), (4) Data Element #11 Account ID, (5) Data
Element #12 Exchange Indicator, (6) Data Element #15 Ticker Symbol,
(7) Data Element #16 Maturity Month Year, (8) Data Element #20
Strike Level, (9) Data Element #26 Put or Call Indicator, (10) Data
Element #27 Exercise Style, (11) Data Element #30 Underlying
Contract ID, (12) Data Element #31 Underlying Maturity Month Year,
(13) Data Element #32 Long Position, (14) Data Element #33 Short
Position, (15) Data Element #38 Delivery Notices Stopped, and (16)
Data Element #39 Delivery Notices Issued.
---------------------------------------------------------------------------
As discussed above, appendix C incorporates the data elements
included in the current Sec. 17.00(g) record format. That 80-character
record format contains data elements that capture information necessary
to process data,\69\ information concerning the reporting firm and
special account,\70\ product-identifying information,\71\ and
information concerning the direction or nature of the trades underlying
the position.\72\ In some instances, appendix C calls for this
information in a different format than that set out in current Sec.
17.00(g). For example, whereas the current Sec. 17.00(g) record format
uses a single data element to identify whether a position is long or
short,\73\ appendix C captures long and short positions using separate
data elements.\74\ Similarly, whereas the current Sec. 17.00(g) record
format identifies EDRPs using a single ``Report Type'' field, appendix
C captures more granular information concerning such exchanges through
multiple data elements.\75\
---------------------------------------------------------------------------
\69\ For example, the ``Record Type'' data element indicates
whether a report contains a new record, corrects a previously
provided record, or deletes a previously provided record. 17 CFR
17.00(g)(2)(xiv).
\70\ For example, the ``Reporting firm'' data element identifies
the reporting firm using a three-character alphanumeric identifier
assigned by a DCM or Derivatives Clearing Organization, 17 CFR
17.00(g)(2)(ii), and the ``Account Number'' data element identifies
the special account using a unique identifier assigned by the
reporting firm, 17 CFR 17.00(g)(2)(iii).
\71\ For example, the ``Commodity'' data element is populated
with an exchange-assigned commodity code for the futures or options
contract. 17 CFR 17.00(g)(2)(vii).
\72\ For example, the ``Report Type'' data element indicates
whether a report contains positions, delivery notices, or exchanges
of futures for a commodity or for a derivatives position. 17 CFR
17.00(g)(2)(i).
\73\ Specifically, the ``Long-Buy-Stopped (Short-Sell-Issued)''
data element. See 17 CFR 17.00(g)(xi).
\74\ Specifically, Data Element #32 Long Position and Data
Element #33 Short Position.
\75\ Specifically, Data Element #36 EDRPs Bought and Data
Element #37 EDRPs Sold.
---------------------------------------------------------------------------
No commenter objected to continuing to report the data elements
contained in the current Sec. 17.00(g) record format. The appendix to
FIA's comment letter does provide comment on several of these data
elements. The Commission discusses those comments and data elements
below in connection with new data elements to which those data elements
correspond.
b. Comments Concerning Data Elements Related to FIXML Implementation
and Data Processing (``Category 2'')
Appendix C contains certain new data elements to facilitate
processing of data.\76\ These include data elements concerning the
submission of messages to the Commission, data elements identifying the
sender and special account controller,\77\ and data elements
identifying the date and time of the report. This information is
necessary to enable the Commission to track and manage reports received
using a FIXML data submission standard. No commenter objected to the
inclusion of any of these data elements in appendix C. FIA, however,
requested clarification concerning some of these data elements.
---------------------------------------------------------------------------
\76\ These fields include (1) Data Element #1 Total Message
Count, (2) Data Element #2 Message Type, (3) Data Element #3 Sender
ID, (4) Data Element #4 To ID, (5) Data Element #5 Message Transmit
Datetime, (6) Data Element #6 Report ID, and (7) Data Element #7
Record Type (Action).
\77\ The Commission separately discusses Data Element #10
Special Account Controller LEI below.
---------------------------------------------------------------------------
First, FIA requested clarification concerning the ``Total Message
Count,'' ``Report ID,'' and ``Record Type (Action)'' data elements.\78\
Specifically, FIA asked whether ``Report ID'' identifies ``a position
report on a given day as opposed to lines within a position report.''
\79\ The source of FIA's confusion appears to be the meaning of the
term ``position report'' in appendix C. As used in appendix C, the
terms ``position report,'' ``record,'' or ``message'' refer to a daily
record of a position in a particular contract on a particular reporting
market. As used in appendix C, a ``file'' represents a compilation of
one or more ``records'' or ``messages'' submitted for a given day.
Thus, ``Total Message Count'' refers to a count of all records or
messages in a given file, ``Report ID'' refers to a unique identifier
assigned to each record or message in a given file, and ``Record Type
(Action)'' refers to the action that triggered each record or message
in a given file. The Commission has made non-substantive, clarifying
revisions to Data Elements #1, #5, and #7 to use the term ``position
report'' consistently. The Commission believes these changes will
provide clarity to reporting firms.
---------------------------------------------------------------------------
\78\ FIA Letter at 13.
\79\ Id.
---------------------------------------------------------------------------
Second, FIA requested clarification concerning the ``Sender ID''
data element.\80\ Specifically, it asked the Commission to clarify the
difference between ``Sender ID'' and ``Reporting Firm ID.'' \81\ As FIA
suggests in their
[[Page 47446]]
comment, ``Sender ID'' is intended to identify the entity responsible
for submitting a position report, whether or not that entity is also
the ``reporting firm,'' as that term is used herein. ``Reporting Firm
ID'' refers to the reporting firm, regardless of whether the reporting
firm is also the submitter of the position report. The Commission has
made non-substantive, clarifying revisions to Data Element #3 to
specify that ``Sender ID'' should be populated with a unique identifier
assigned to the ``firm submitting the position report.'' The Commission
believes this change will provide clarity to reporting firms.
---------------------------------------------------------------------------
\80\ Id.
\81\ See id.
---------------------------------------------------------------------------
c. Comments Concerning Data Elements Related to Product Identification
(``Category 3'')
Appendix C also contains certain new data elements to identify and
characterize the product in which the special account holds a position.
The current Sec. 17.00(g) record format requires reporting an
``Exchange Code,'' an exchange-assigned ``Commodity Code'' for the
contract, an exchange-assigned ``Commodity Code'' for the instrument
that the contract exercises into, the ``Expiration Date'' for the
contract and for the instrument that the contract exercises into, and a
``Strike Price,'' where applicable.\82\ That narrowly-prescribed format
cannot readily accommodate reporting of positions in contracts with
bounds or barriers, contracts with non-price or non-numeric strikes, or
other innovative contracts. Accordingly, appendix C includes data
elements to capture such information, which will allow the Commission
to distinguish among these positions in large trader data maintained in
ISS.
---------------------------------------------------------------------------
\82\ 17 CFR 17.00(g).
---------------------------------------------------------------------------
FIA's comments concerning data elements related to product
identification fall into two categories. First, FIA seeks clarification
regarding certain data elements. Second, FIA proposes that the
Commission eliminate certain data elements from appendix C that it
deems to contain ``static'' product information--that is, data elements
that seek information for which the value of the data element will not
vary across position reports submitted to the Commission--on the
grounds that it would be more efficient for the Commission to obtain
such information directly from the DCMs that list such products.\83\
---------------------------------------------------------------------------
\83\ FIA Letter at 4-6. CME and CBOE also stated that they, as
DCMs listing contracts, would provide so-called ``static'' data
elements to the Commission in lieu of requiring reporting firms to
include this data in Sec. 17.00(a) reports. See CME Letter at 3;
CBOE Letter at 2.
---------------------------------------------------------------------------
FIA seeks clarification concerning the ``Commodity Clearing Code,''
``Product Type,'' ``Ticker Symbol,'' and ``Underlying Contract ID''
data elements.
With respect to ``Commodity Clearing Code,'' FIA requests that the
Commission use different terminology--simply, ``Clearing Code''--as
this is ``industry standard terminology.'' \84\ The ``Commodity
Clearing Code'' data element captures a clearinghouse-assigned
commodity code for the futures or options contract. Although certain
clearinghouses use the ``Clearing Code'' terminology, some
specifications use other terminology for this data, such as ``Clearing
Symbol.'' The Commission believes that the definition of ``Commodity
Clearing Code'' set out in appendix C, and the description in the Part
17 Guidebook, provide sufficient clarity for the term ``Commodity
Clearing Code'' to be understood by reporting firms regardless of the
naming convention used by a particular clearinghouse.
---------------------------------------------------------------------------
\84\ FIA Letter at 13. Alternatively, Denkevitz suggests instead
that the Commission use ``Commodity Code'' on the basis that
``Commodity Code'' is ``more clear.'' See Denkevitz.
---------------------------------------------------------------------------
With respect to ``Product Type,'' FIA seeks ``further specificity''
regarding the terms ``Commodity Swap'' and ``Options on Combos,'' which
are included as valid values in the Part 17 Guidebook.\85\ The term
``Commodity Swap'' refers to a contract, based on a commodity, that
meets the swap definition.\86\ The term ``Options on Combos,'' or
Options Combinations, refers to a multi-legged instrument made up of
calls, puts, and/or futures.
---------------------------------------------------------------------------
\85\ FIA Letter at 14.
\86\ See 7 U.S.C. 1a(47)(A); 17 CFR 1.3; Final Rule, Further
Definition of ``Swap Dealer,'' ``Security-Based Swap Dealer,''
``Major Swap Participant,'' ``Major Security-Based Swap
Participant'' and ``Eligible Contract Participant,'' 77 FR 30596
(May 23, 2012).
---------------------------------------------------------------------------
With respect to ``Ticker Symbol,'' FIA stated that ``Ticker
Symbol'' is ``not self-explanatory.'' \87\ The Part 17 Guidebook
indicates that ``Ticker Symbol'' maps to the ``Commodity Code (1)''
data element in the current Sec. 17.00(g) record format. The
Commission believes that because reporting firms currently report this
data element, the description in the Part 17 Guidebook, including the
mapping to the current data element, is sufficiently clear.
---------------------------------------------------------------------------
\87\ FIA Letter at 14.
---------------------------------------------------------------------------
With respect to ``Underlying Contract ID,'' FIA commented a 20-
character limitation set out in the Part 17 Guidebook could limit the
ability of this data element to accommodate options that exercise into
multiple futures contracts, such as a ``crush option.'' \88\ FIA does
not, however, indicate what alternative character limitation would be
appropriate for the ``Underlying Contract ID'' data element or specify
any crush option contract currently listed on a DCM that could not be
reported due to the 20-character limitation for this data element in
the Part 17 Guidebook. The Guidebook published contemporaneously with
this final rule replaces the 20-character limitation with a 50-
character limitation. If, in the future, a 50-character limitation
becomes insufficient to capture complete and accurate data for certain
contracts, the Commission expects that the form and manner for
reporting the ``Underlying Contract ID'' data element would be adjusted
as necessary by the Office of Data and Technology pursuant to the
delegation of authority in Sec. 17.03.
---------------------------------------------------------------------------
\88\ Id. at 15.
---------------------------------------------------------------------------
As discussed above, in addition to comments requesting
clarification with respect to specific data elements, FIA also
commented concerning the reporting of product-related data elements for
which the value of the data element generally does not vary across
Sec. 17.00(a) reports.\89\ According to FIA, these so-called
``static'' data elements include ``Product Type,'' ``Listing Date,''
``Exercise Style,'' ``Payout Amount,'' ``Payout Type,'' ``Underlying
Contract ID,'' and ``Underlying Maturity Month Year.''
---------------------------------------------------------------------------
\89\ Id. at 4-6.
---------------------------------------------------------------------------
FIA requests that the Commission not require reporting firms to
submit these data elements, but instead obtain this information from
the DCMs listing products to which the data elements are
applicable.\90\ FIA argues that this static data should be obtained
from one centralized source--the exchange that originates the data--and
not multiple reporting firms because ``the data should not vary from
firm-to-firm'' and ``[i]mposing an obligation on reporting firms to
submit this data increases the risk of error.'' \91\ As an alternative,
FIA suggests that the CFTC ``should impose an obligation on the
exchanges to provide this information directly to each reporting firm
in a readily digestible format.'' \92\
---------------------------------------------------------------------------
\90\ FIA Letter at 2.
\91\ Id. at 4.
\92\ Id. at 6.
---------------------------------------------------------------------------
Certain entities which operate DCMs, specifically, CME and CBOE,
also commented that ``static'' data elements would be best obtained
from the DCMs that are the original source of the data.\93\
[[Page 47447]]
CME stated that it publishes this information on its website and
``provides this information in FIXML format to the CFTC pursuant to
part 16 regulations.'' \94\ CME proposed the CFTC ``abandon'' seeking
product reference information in Sec. 17.00(a) reports and instead
seek that information directly from DCMs via a standardized product
reference file submitted pursuant to part 16.\95\
---------------------------------------------------------------------------
\93\ CME Letter at 3; CBOE Letter at 2. CBOE categorized the
following as ``static'' data elements: Data Element #14 Product
Type, Data Element #18 Listing Date, Data Element #27 Exercise
Style, Data Element #28 Payout Amount, Data Element #29 Payout Type,
Data Element #30 Underlying Contract ID, and Data Element #31
Underlying Maturity Month Year).
\94\ CME Letter at 3.
\95\ Id.
---------------------------------------------------------------------------
As noted by CME,\96\ Commission staff has developed a Product
Reference File Guidebook (``PRF Guidebook''), which sets out a
standardized format for DCMs to submit product reference information to
the Commission pursuant to Sec. 16.02.\97\ The Commission believes
that receiving product reference information from DCMs in a
standardized format will improve data quality.
---------------------------------------------------------------------------
\96\ Id.
\97\ 17 CFR 16.02.
---------------------------------------------------------------------------
In addition to improving the quality of futures and options
transaction data reported by DCMs under Sec. 16.02, the Commission
believes that the PRF Guidebook may also facilitate a simplified means
of reporting product-related data in Sec. 17.00(a) reports. If the
Commission receives product reference data from a DCM and such data can
be adequately linked to a Sec. 17.00(a) report for a position in the
relevant contract, then it would only be necessary for the reporting
firm to include in that Sec. 17.00(a) report information sufficient to
link that position report to the relevant product reference data.
In order for the Commission to link product-related data in a
product reference file to a Sec. 17.00(a) report for a particular
contract, reporting firms will need to provide, as part of each Sec.
17.00(a) report, a code identifying the relevant product entry in a
DCM's product reference file. The PRF Guidebook allows for DCMs to
identify product references files with such codes, called ``Unique
Instrument Codes,'' to particular futures and options contracts.
In light of the above, the Commission has revised the final Part 17
Guidebook to provide flexibility in the form and manner for submitting
product-specific data elements. As provided in the Proposed Part 17
Guidebook, reporting firms may submit all of the data elements
enumerated in appendix C. But, the Part 17 Guidebook also provides that
reporting firms may submit certain product-specific data elements in
appendix C by providing a ``Unique Instrument Code'' associated with a
DCM's product reference file. Receiving a ``Unique Instrument Code''
will allow the Commission to obtain the related product-specific data
from a DCM's product reference file. To effectuate this option, the
Commission has revised the Part 17 Guidebook to indicate that certain
data elements are not required to be populated in a Sec. 17.00(a)
report if a ``Unique Instrument Code'' is provided.\98\ Conversely, if
a reporting firm reports each of the product-related data elements
enumerated in appendix C, they need not provide the relevant ``Unique
Instrument Code'' from the DCM's product reference file.
---------------------------------------------------------------------------
\98\ The Part 17 Guidebook now includes a ``Unique Instrument
Code'' data field, defined as ``[a]n exchange-assigned code [that]
serves as a primary key for the product reference file and uniquely
identifies the derivative contract at the instrument level.''
---------------------------------------------------------------------------
Based on the comments received, the Commission expects that
providing a ``Unique Instrument Code'' rather than certain product-
related data elements required by appendix C will reduce the burden on
reporting firms, reduce the risk of error in reporting, and simplify
the reconciliation or error correction process for reporting firms and
the Commission.\99\ Providing this option to reporting firms will not
increase the burden or complexity beyond that contemplated in the
Proposal, as reporting firms retain the alternative to report the
appendix C data elements as enumerated in the Proposal.\100\
---------------------------------------------------------------------------
\99\ See FIA Letter at 4.
\100\ FIA proposes that a ``less optimal alternative'' to
wholesale deletion of their so-called ``static'' data elements would
be ``to impose an obligation on the exchanges to provide this
information directly to each reporting firm in a readily digestible
format.'' FIA Letter at 6. The Commission believes that permitting
reporting firms to submit a ``Unique Instrument Code'' to satisfy
their obligation to provide the relevant data elements from appendix
C is consistent with FIA's proposal. The Commission believes that
submitting a single ``Unique Instrument Code'' rather than a set of
data elements will be more efficient for reporting firms and for the
Commission.
---------------------------------------------------------------------------
Certain commenters identified several specific data elements that
they believe are ``static'' and best obtained directly from DCMs.\101\
The Part 17 Guidebook indicates these data elements need not be
included in a Sec. 17.00(a) report if a ``Unique Instrument Code'' is
provided--``Product Type,'' ``Listing Date,'' ``Exercise Style,''
``Payout Amount,'' ``Payout Type,'' ``Underlying Contract ID,'' and
``Underlying Maturity Month Year.''
---------------------------------------------------------------------------
\101\ See FIA Letter at 4-6 (``Data Element #14 Product Type,''
``Data Element #18 Listing Date,'' ``Data Element #27 Exercise
Style,'' ``Data Element #28 Payout Amount,'' ``Data Element #29
Payout Type,'' ``Data Element #30 Underlying Contract ID,'' and
``Data Element #31 Underlying Maturity Month Year''); CBOE Letter at
2 (same).
---------------------------------------------------------------------------
d. Comments Concerning the ``Special Account Controller LEI'' Data
Element
Appendix C includes a ``Special Account Controller'' data element.
As discussed in the Proposal, an LEI is a unique code assigned to an
entity in accordance with the standards set by the Global Legal
Identifier System.\102\ Among other things, the ``Special Account
Controller LEI'' data element will allow the Commission to link data
reports submitted under Sec. 17.00(a) with other data reports
concerning the same entity. The Commission notes that some special
account controllers, such as natural persons, may be ineligible to
receive an LEI.\103\ Accordingly, the Part 17 Guidebook, as initially
proposed, labelled the ``Special Account Controller LEI'' as
conditional, and the Proposal explained that the data element must be
reported for special accounts for which the special account controller
is eligible to receive an LEI, but an LEI need not be reported for
special accounts for which the special account controller is ineligible
for an LEI.\104\ For such accounts, the Commission will receive
identifying information via Form 102A.
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\102\ The Global Legal Identifier System was established by the
finance ministers and the central bank governors of the Group of
Twenty nations and the Financial Stability Board. See Charter of the
Regulatory Oversight Committee For the Global Legal Entity
Identifier System, available at https://www.leiroc.org/publications/gls/roc_20190130-1.pdf.
\103\ The Commission has elsewhere discussed this issue in
regulations concerning reporting of swap data. See, e.g., Final
Rule, Swap Data Recordkeeping and Reporting Requirements, 85 FR
75503, 75520 (Nov. 25, 2020).
\104\ 88 FR at 41528.
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The Commission received comments from FIA, ICE, GLEIF, and ISO
concerning the ``Special Account Controller LEI'' data element. No
commenters opposed including ``Special Account Controller LEI'' as a
data element, but some commenters opposed requiring LEI where a special
account controller has not provided an LEI to the reporting firm,
regardless of whether that special account controller is eligible to
receive an LEI.
GLEIF and ISO each support using LEI to identify Special Account
Controllers. GLEIF notes that other regulators have recently discussed
or proposed rules to include LEI for different reporting regimes, and
LEI adoption creates ``a comprehensive and consistent identification
scheme'' across regulators.\105\ ICE commented that it has ``found LEIs
to be a valuable data point
[[Page 47448]]
for use in tracking the accuracy of data reporting and encourages the
Commission to implement additional requirements regarding this data
element, including the requirement that LEI must be reported in large
trader submissions wherever possible.'' \106\
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\105\ GLEIF Letter at 2.
\106\ ICE Letter at 2.
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FIA, however, does not believe that special account controller
``eligibility'' for an LEI is ``the appropriate standard.'' \107\ FIA
asserts that no other Commission regulations explicitly require
eligible special account controllers to obtain LEIs, and suggests that
absent a separate, independent requirement to provide an LEI, the
``Special Account Controller LEI'' data element should instead be
conditioned on special account controllers ``providing'' an LEI to the
reporting firm.\108\
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\107\ FIA Letter at 8.
\108\ Id.
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The Commission has determined to adopt the ``Special Account
Controller LEI'' data element and to clarify that reporting the
``Special Account Controller LEI'' data element is conditional on the
special account controller obtaining an LEI. Therefore, under the final
rule, reporting firms must report an LEI if the special account
controller is eligible to receive and has obtained an LEI. Reporting
firms will not need to request that their LEI-eligible customers who
have not obtained LEIs do so. But, reporting firms may need to request
that customers who have obtained LEIs provide those LEIs, just as those
customers provide various other identifying information that is
required in regulatory reporting, such as their names and addresses. A
reporting firm satisfies its obligation to report the Special Account
Controller LEI data element by asking a customer if it has obtained an
LEI and, if so, to provide that LEI to the reporting firm. If an LEI is
provided by the customer, the reporting firm then reports the provided
LEI.
However, receiving Sec. 17.00(a) reports that do not identify
eligible special account controllers with an LEI hinders the
Commission's fulfillment of its regulatory mandates. The Commission
understands FIA's concern that, in the absence of an express
requirement that eligible special account controllers obtain an LEI,
reporting firms might be faced with a choice between requiring their
LEI-eligible customers to provide LEIs and declining to carry futures
and options positions for such customers. The Commission will continue
to evaluate whether to adopt an express requirement that certain
special accounts eligible for an LEI be required to obtain an LEI. To
the extent future Commission action introduces such a requirement, the
Commission expects that reporting firms responsible for large trader
reporting will report an LEI for all special account controllers.
e. Comments Concerning Data Elements Concerning Changes in Positions
(``Category 4'')
Appendix C includes data elements \109\ incorporating the current
Sec. 17.00(g) record format's requirement that reporting firms
identify EDRPs \110\ and identify delivery notices issued and
stopped.\111\ In addition, appendix C introduces data elements to
capture information concerning the nature of changes in positions that
is not fully-captured by the current Sec. 17.00(g) record format.\112\
Specifically, appendix C requires identification of changes in position
due to contracts bought and sold; \113\ due to option expirations,
exercises, and assignments; and due to long and short transfers sent
and received.
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\109\ Specifically, Data Element #36 EDRPs Bought, Data Element
#37 EDRPs Sold, Data Element #38 Delivery Notices Stopped, and Data
Element #39 Delivery Notices Issued.
\110\ The Commission understands that, in practice, such
transactions are often referred to as ``exchanges of futures for
related positions'' or ``EFRPs,'' or sometimes simply ``exchanges
for related positions.'' The Commission has used the terminology
``exchanges of derivatives for related positions,'' or ``EDRPs,''
because it believes this is a more accurate and descriptive term
given it ``include[s] transactions not limited to futures, such as
swaps.'' Notice of Proposed Rulemaking, Core Principles and Other
Requirements for Designated Contract Markets, 75 FR 80572, 80593
(Dec. 22, 2010).
\111\ See 17 CFR 17.00(g)(i), (xi).
\112\ These fields would include (1) Data Element #34 Contracts
Bought, (2) Data Element #35 Contracts Sold, (3) Data Element #36
EDRPs Bought, (4) Data Element #37 EDRPs Sold, (5) Data Element #38
Delivery Notices Stopped, (6) Data Element #39 Delivery Notices
Issued, (7) Data Element #40 Long Options Expired, (8) Data Element
#41 Short Options Expired, (9) Data Element #42 Long Options
Exercised, (10) Data Element #43 Short Options Exercised, (11) Data
Element #44 Long Futures Assigned, (12) Data Element #45 Short
Futures Assigned, (13) Data Element # 46 Long Transfers Sent, (14)
Data Element #47 Long Transfers Received, (15) Data Element #48
Short Transfers Sent, and (16) Data Element #49 Short Transfers
Received.
\113\ Appendix C indicates that changes in position resulting
from give-up transactions and allocations will be included in the
totals of ``Contracts Bought'' and ``Contracts Sold,'' as such
contracts would be treated as positions in the carrying accounts
through which they are ultimately cleared rather than positions in
the accounts that execute the transactions, if such accounts differ
from the accounts through which such transactions are cleared.
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Understanding the nature and quantity of transactions that resulted
in day-to-day changes in positions of special accounts will provide
Commission staff with additional information for surveillance purposes,
and will allow Commission staff to link position data reported at the
special account level pursuant to Sec. 17.00(a) with transaction data
reported at the trading account level under Sec. 16.02.\114\
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\114\ DCMs identify traders by account numbers, but certain DCMs
do not routinely collect detailed trader-identifying data. See,
e.g., Final Rule, Significant Price Discovery Contracts on Exempt
Commercial Markets, 74 FR 12178, 12185 (Mar. 23, 2009). The
Commission instead generally obtains such trader-identifying data
from FCMs, clearing members, and foreign brokers through Sec.
17.01. 17 CFR 17.01.
---------------------------------------------------------------------------
The Commission did not receive any comments objecting to the
addition of these data elements. FIA, however, sought clarification
with respect to the ``Long Transfers Sent,'' ``Long Transfers
Received,'' ``Short Transfers Sent,'' and ``Short Transfers Received''
data elements.\115\ FIA commented that the Part 17 Guidebook ``does not
provide guidance for a reporting firm to distinguish between a transfer
and a give-up.'' \116\ FIA states that this distinction may affect the
accuracy of reporting the ``Transfers'' data elements, as well as
``Contracts Bought'' and ``Contracts Sold,'' as those data elements
include changes in positions resulting from give-up transactions but
exclude changes in positions resulting from transfers.\117\ The
Commission notes that the inclusion of changes in positions resulting
from give-up transactions in ``Contracts Bought'' and ``Contracts
Sold'' reflects an intent to distinguish this activity from changes in
position that merely move an existing position from one account to
another, which may occur via transfers.\118\ The Commission believes
that the distinction between give-up transactions and transfers is
sufficiently clear, and is adopting the regulations as proposed.
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\115\ For several data elements, FIA provided comments that
appear to simply provide context to the Commission regarding certain
industry practices that may affect reporting. See FIA Letter at 15.
\116\ FIA Letter at 15.
\117\ Id.
\118\ Denkevitz also commented on the data elements concerning
changes in positions. See Denkevitz. Denkevitz suggested that
changes in position due to allocations and give-up transactions be
reported in new, separate data elements rather than aggregated with
changes in position due to other trading activity. The Commission
takes Denkevitz's point to be definitional--that is, that a contract
acquired due to an allocation may not literally be a contract
``bought.'' The Commission's objective is to capture the information
necessary for surveillance purposes in the least burdensome way, and
views this change as unnecessary.
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f. Comments Concerning Use of Alternative Identifiers
The Commission sought comment on all aspects of the proposed Part
17
[[Page 47449]]
Guidebook.\119\ Bloomberg requested that the Commission ``consider the
use of alternate identifiers based on open data licenses, such as the
Financial Instrument Global Identifier (``FIGI'') where appropriate, in
large trader position reporting and in the submission standards
outlined in the Part 17 Guidebook.'' \120\
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\119\ 88 FR at 41527.
\120\ Bloomberg Letter at 2.
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The Commission will adopt this proposal and ``FIGI'' has been added
to the Part 17 Guidebook as an alternative identifier for underlying
contracts, alongside CUSIP, SEDOL, QUIK, ISIN, and Bloomberg Symbol.
FIGI is a free, open source identifier available to all market
participants and accepted as a U.S. national standard by the Accredited
Standards Committee X9 Inc.\121\ Allowing FIGI as an alternative
underlier identifier is consistent with its adoption as an alternative
identifier for other reporting schemes. For example, FIGI is allowed as
an alternative identifier in Form 13F reporting required by the
Securities and Exchange Commission.\122\ FIGI is also accepted by the
Derivatives Services Bureau as an alternative underlier identifier for
the creation of a Unique Product Identifier (``UPI'') for swap data
repository reporting purposes.\123\ The Commission supports providing
reporting firms the option to choose among financial identifiers and
believes it appropriate to allow FIGI as a value to be reported for the
underlying contract data in the Part 17 Guidebook.
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\121\ Id. at 2-3.
\122\ See Form 13F, Information Required of Institutional
Investment Managers Pursuant to section 13(f) of the Securities
Exchange Act of 1934 and Rules Thereunder, available at https://www.sec.gov/files/form13f.pdf.
\123\ See Derivatives Services Bureau, Alternative Identifiers
for the UPI Service, available at https://www.anna-dsb.com/alternative-identifiers-as-an-underlier-for-the-upi/.
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g. Comments Concerning Data Elements Applicable to Certain Contracts
As explained in the Proposal, certain of the product-related data
elements in appendix C will only apply to reporting positions in
certain types of contracts.\124\ For example, a reporting firm would
not report an ``Alpha Strike'' for a contract with a strike level that
was a monetary value. Consistent with this principle, the Part 17
Guidebook identifies which data elements are ``mandatory'' and which
data elements are ``conditional.''
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\124\ See, e.g., 88 FR at 41529 (discussing the fact reporting
certain product-specific data elements would only be required to be
reported for contracts to which those data elements pertain, such
that reporting firms that are not involved in trading such products
need not report those data elements).
---------------------------------------------------------------------------
FIA requested that the Part 17 Guidebook contain ``written guidance
. . . that certain fields only apply to specific markets.'' \125\ FIA
stated that such guidance would ``prevent inconsistent interpretations
across reporting firms'' and that ``the CFTC should assume that smaller
reporting firms and foreign brokers will struggle interpreting the
instructions'' in the Part 17 Guidebook.\126\
---------------------------------------------------------------------------
\125\ FIA Letter at 3.
\126\ Id.
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The Commission declines to enumerate in the Part 17 Guidebook the
applicability of data elements by ``specific market.'' Given FIA's
reference to ``event markets,'' the Commission believes that FIA is
using the term ``market'' to refer to a DCM, rather than to refer to
the market for a particular contract. The Commission does not believe
that it would be appropriate to categorically enumerate in the Part 17
Guidebook those exchanges to which certain conditional data elements
apply. DCMs may list a variety of contracts, and some DCMs may list
some contracts to which conditional appendix C data elements apply and
some contracts to which conditional appendix C data elements do not
apply. Alternatively, if FIA's reference to ``market'' is a reference
to particular contracts, it is not practical for Commission staff to
enumerate in the Part 17 Guidebook every contract to which each
conditional appendix C data element applies. Among other things, such a
practice could require constant updates of the Part 17 Guidebook to
reflect the listing of new contracts.
h. Comments Concerning Delegation of Authority to the Director of the
Office of Data and Technology To Determine the Form and Manner for
Reporting the Data Elements in Appendix C
In connection with establishing appendix C, the Commission proposed
revising Sec. 17.00(g) to state that Sec. 17.00(a) reports shall be
submitted in the form and manner published by the Commission or its
designee pursuant to Sec. 17.03 and revised Sec. 17.03(d) to state
that authority shall be designated to the Director of the Office of
Data and Technology to determine the form, manner, coding structure,
and electronic data transmission procedures for reporting the data
elements in appendix C. Thus, rather than specifying the form and
manner for reporting the Sec. 17.00(a) data elements in the
regulation, as done in current Sec. 17.00(g)(2), the form and manner
for reporting a particular data element will be set out in the Part 17
Guidebook.
As discussed in the Proposal, specifying the form and manner for
reporting through a Part 17 Guidebook will bring the Sec. 17.00(a)
reports in line with various other Commission reporting streams, for
which, rather than embedding technical reporting details into
regulation text, the Commission has delegated authority to staff to set
the form and manner for reporting through a published technical
specification or guidebook.\127\ Implementing form and manner
requirements through a Part 17 Guidebook will facilitate the
Commission's ability to respond to changing market conventions and
technological advances,\128\ to harmonize the form and manner for
reporting data elements in Sec. 17.00(a) reports with other reporting
streams as necessary,\129\ and to accommodate the introduction of
innovative products.
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\127\ See, e.g., 17 CFR 16.07(c), (d) (delegating authority to
staff to ``approve the format, coding structure and electronic data
transmission procedures used by reporting markets'' and ``to
determine the specific content of any daily trade and supporting
data report''); 17 CFR 20.8(d) (delegating authority to staff ``for
providing instructions or determining the format, coding structure,
and electronic data transmission procedures for submitting data
records and any other information required under this part''); 17
CFR 43.7(a) (delegating authority to staff ``[t]o publish the
technical specification providing the form and manner for reporting
and publicly disseminating the swap transaction and pricing data
elements in appendix A of [Part 43]''); 17 CFR 45.15(b)(1)
(delegating authority to staff ``to publish the technical
specifications providing the form and manner for reporting the swap
data elements in appendix 1 to [Part 45] to swap data
repositories'').
\128\ See, e.g., Final Rule, Large Trader Reporting for Physical
Commodity Swaps, 76 FR 43851, 43857 (Jul. 22, 2011) (the purpose of
delegating authority to staff to provide ``instructions for
determining the format, coding structure, and electronic data
transmission procedures for submitting data records and any other
information required under [Part 20] . . . is to facilitate the
ability of the Commission to respond to changing market and
technological conditions for the purpose of ensuring timely and
accurate data reporting'').
\129\ Final Rule, Swap Data Recordkeeping and Reporting
Requirements, 85 FR 75503, 75535 (Nov. 25, 2020) (``The Commission .
. . believes delegation to [the Division of Market Oversight] will
benefit data element harmonization.'').
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The Commission received two comments that relate to the delegation
of authority to determine the form and manner for reporting data
elements in appendix C.\130\ First, FIA requested ``confirm[ation]''
``that the delegation of authority does not permit the Office of Data
and Technology to change the data elements to be reported, as listed in
appendix C to the Proposed Rule, or to modify the definitions or
descriptions of
[[Page 47450]]
the data elements to be reported as listed in the Proposed Rule or
Proposed Guidebook.'' \131\ Second, ICE stated that ``this delegation
may allow the imposition of substantive changes . . . to required data
elements'' without an additional opportunity for notice and
comment.\132\ ICE appears to be concerned about in scenario in which
the Office of Data and Technology might make ``substantive changes'' to
the data elements for Sec. 17.00(a) reports ``that are difficult and/
or costly for reporting firms to implement'' without sufficient notice
or an opportunity to comment.\133\
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\130\ Comments concerning the delegation of authority to
designate a data submission standard or standards are discussed
separately above. See supra section II(A)(2)(a).
\131\ FIA Letter at 7.
\132\ ICE Letter at 2.
\133\ Id.
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The Commission believes that Sec. 17.03(d) is clear as proposed.
That provision delegates to the Office of Data and Technology the
authority to determine the form, manner, coding structure, and
electronic data transmission procedures for reporting the data elements
in appendix C. Section 17.03(d) does not set forth substantive
reporting requirements or delegate authority to the Director of the
Office of Data and Technology to set forth substantive reporting
requirements. Rather, Sec. 17.00(a) and appendix C set out the
substantive reporting requirement, including specifying the data
elements to be reported. The Part 17 Guidebook, in turn, sets out the
form, manner, coding structure, and electronic data transmission
procedures for reporting those data elements enumerated in appendix C.
The basis for FIA and ICE's concern that the Office of Data and
Technology might ``change the data elements to be reported'' is not
clear from their comments.\134\ The Commission has specified the data
elements for Sec. 17.00(a) reports in appendix C to provide notice to
reporting firms of those data elements. As discussed in the
Proposal,\135\ this structure is similar to the approach taken by the
Commission in parts 39, 43, and 45.\136\
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\134\ FIA Letter at 7; ICE Letter at 2.
\135\ See, e.g., 88 FR at 41527 (``Enumerating required data
elements in an appendix is consistent with the approach taken for
certain other Commission data reporting regulations.'').
\136\ Separately, Wood's comment letter could be construed to
suggest that Sec. 17.00(d) should delegate authority concerning
part 17 data generally to either an individual in the Market
Surveillance Branch of the Division of Enforcement or to the
Director of the Division of Enforcement, rather than to the Director
of the Office of Data and Technology. See Wood Letter (``Can you
address why Market Surveillance leadership does not have delegated
authority with respect to Part 17 data?''). As discussed in the
Proposal, staff across several Divisions, including the Division of
Enforcement, rely on position data loaded into ISS. The Office of
Data and Technology is generally responsible for the ingest of data
from registered entities pursuant to the CEA and Commission
regulations, as well as integration of that data with other data
sources. See, e.g., CFTC Organization, available at https://www.cftc.gov/About/CFTCOrganization/index.htm (discussing certain
responsibilities of the Commission's Division of Data). The Office
of Data and Technology typically maintains and manages technical
specifications, guidebooks, and other staff guidance concerning data
reporting, and at the same time collaborates with the other
Divisions and Offices within the Commission concerning that data.
Accordingly, the Commission has determined that the Office of Data
and Technology should continue in that role with respect to Sec.
17.00(a) data.
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3. Final Rule
As discussed, the Commission is adopting the Proposal largely as
proposed, with non-substantive revisions to descriptions of certain
data elements in appendix C. The Commission has incorporated into the
Part 17 Guidebook instructions to enable reporting firms to submit
certain of the product-related data elements enumerated in appendix C
using a ``Unique Instrument Code.'' The Commission has also made
certain conforming changes to the Part 17 Guidebook, which has been
published on the Commission's website contemporaneously with this final
rule.
III. Compliance Period
In the Proposal, the Commission included a compliance date 365 days
following publication of a final rule in the Federal Register. The
Proposal explained that the 365-day compliance date was intended to
provide reporting firms with sufficient time to revise or build
infrastructure to submit Sec. 17.00(a) reports using the FIXML data
submission standard or the CFTC Portal, and with sufficient time to
incorporate reporting of new data elements. The Proposal also noted
that the Commission expected to enable reporting firms to begin
submitting Sec. 17.00(a) reports using the FIXML data submission
standard or via the CFTC Portal, in parallel with submitting Sec.
17.00(a) reports in the Sec. 17.00(g) record format, in advance of
that compliance date. This would allow reporting firms to test the new
reporting requirements, and would allow early adopters to report using
a modern data submission standard.
The Commission sought comment on whether 365 days after publication
of this final rule is a sufficient implementation period. The
Commission received five comments concerning the proposed 365-day
compliance date.\137\ All commenters expressed concern that 365 days
was insufficient given the large number of firms that would be affected
by the Proposal and recommended at least a 24-month compliance period.
FIA stated that it believes that any compliance date should be at least
365 days following finalization of the CFTC Portal, and stated that it
believes that the reporting firms should have three months to test the
CFTC Portal before it is finalized.\138\ Alternatively, FIA requested a
24-month compliance period from the date of publication of the final
rule.\139\ FIA did not tie these timelines to specific bases, but did
list factors that it believes will inform how much time reporting firms
need, including whether the Commission ``provides clarity'' concerning
certain data elements, whether the CFTC removes so-called ``static''
data elements from the Proposal, when the CFTC Portal becomes available
for testing, the timing of testing, and ``whether imperceptible issues
arise'' during testing.\140\ ICE stated that it supported the FIA's
proposed timeline.\141\ CME advocated for a compliance period of ``at
least 24 months,'' stating that in its experience as a recipient of
large trader position data, a 365-day compliance period is
insufficient, as typically many reporting firms face unique scenarios
and challenges that require one-on-one support when implementing
reporting changes.\142\ CME also observed that in undergoing ``other
significant reporting rule changes,'' the time necessary to come into
compliance is often underestimated.\143\ CBOE stated that it believes a
24-month implementation period ``would be more appropriate,'' as
additional time would provide reporting firms with ``time to
troubleshoot questions and complications that may arise.'' \144\ OCC
stated that it believed ``at least a 2-year compliance period would be
appropriate'' ``in light of the extent of the proposed changes, the
need to test the changes . . . , and registrants' need to balance
competing priorities stemming from the Commission's recent
rulemaking.'' \145\
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\137\ See FIA Letter at 9-10, CBOE Letter at 1-2, CME Letter at
1-2, ICE Letter at 2, OCC Letter at 3-4.
\138\ FIA Letter at 9, 9 n.23.
\139\ Id. at 9.
\140\ Id.
\141\ ICE Letter at 2.
\142\ CME Letter at 2.
\143\ Id.
\144\ CBOE Letter at 1.
\145\ OCC Letter at 3.
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The Commission recognizes that reporting firms will require
significant time to implement the changes set out in the Proposal.
After considering the comments received, the Commission believes that a
compliance date of June 3, 2026 is appropriate. Specifically, the
[[Page 47451]]
Commission believes that providing a lengthy testing period will
accommodate potential difficult-to-anticipate issues that several
commentators stated would likely arise. This should also ensure higher
quality data and a reduced error rate at the time of implementation.
In recognition of the importance of providing reporting firms with
sufficient opportunity to test their reporting systems in advance of
the compliance date, the Commission expects the updated CFTC Portal to
become available for testing approximately six months after publication
of this final rule. After the CFTC Portal becomes available, reporting
firms should therefore have approximately 18 months to test submitting
files in the format required by the final rule. After 24 months, all
reporting firms will be required to submit files in compliance with the
requirements of this final rule. For reporting firms that demonstrate
the ability to submit Sec. 17.00(a) reports compliant with the final
rule before the compliance date, the Director of the Office of Data and
Technology may approve the use of that revised format and permit such
reporting firms to cease submitting files in the current Sec. 17.00(g)
record format.\146\
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\146\ See 17 CFR 17.03(d) (Pursuant to Sec. 17.00(a), the
authority shall be designated to the Director of the Office of Data
and Technology to approve a format and coding structure other than
that set forth in Sec. 17.00(g).).
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IV. Frequency of Publication of COT Report
Although the Proposal did not discuss timing of the COT Report, the
NGFA requested that the Commission publish the COT report on a daily
basis.\147\ This topic is outside the scope of the Proposal and is not
addressed by this final rule.
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\147\ NGFA Letter at 2.
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V. 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
under the CEA.\148\ 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 (collectively, the ``section
15(a) factors''). In conducting its analysis, the Commission may, in
its discretion, give greater weight to any one of the five enumerated
areas of concern and may determine that, notwithstanding its costs, a
particular rule is necessary or appropriate to protect the public
interest or to effectuate any of the provisions or to accomplish any of
the purposes of the CEA. Although the Commission believes these rules
will create meaningful benefits for market participants and the public,
the Commission also recognizes associated costs. The Commission has
endeavored to enumerate these costs and, when possible, assign a
quantitative value to the costs reporting firms might face given the
changes. Where it is not possible to reasonably quantify costs and
benefits, those costs and benefits are discussed qualitatively.
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\148\ 7 U.S.C. 19(a).
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2. Background
The data required to be reported under Sec. 17.00(a) comprise core
data used by many divisions within the Commission, including the
Division of Market Oversight (``DMO''), the Office of the Chief
Economist (``OCE''), and the Division of Enforcement (``DOE''). In
addition, Sec. 17.00(a) submissions are collated to produce the
database from which public COT reports are created. COT reports are
used by news media, researchers, academics, and industry professionals
to describe current trends in futures trading, conduct analysis of past
trading patterns, and inform current market strategies. The current
Sec. 17.00(g) record format, which instructs reporting firms to submit
data in an 80-character, Cobol-based format, has been in effect since
1986 and was last revised in 2004. This current format limits the
amount of descriptive data that can be included in any given field.
This limits the Commission's ability to capture the economic
characteristics of certain products in Sec. 17.00(a) reports and, in
some instances, prevents the Commission from distinguishing a position
in one contract from a position in another contract. In addition, the
current reporting fields do not allow for the granular reporting of
EDRPs, of certain futures and options contracts, and for complete
information reflecting day-to-day changes in position.
3. Request for Comment
The Commission requested comment on a variety of cost and benefit
metrics in the Proposal. As a general matter, the Commission requested
that commenters provide 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.\149\ The Commission also requested comment, including
specific quantitative estimates, on the expected costs related to
upgrading or obtaining systems to implement and comply with the
Proposal, as well as the impact of the proposed rules on the section
15(a) factors. As noted above in section II(A)(2)(a), commenters were
broadly supportive of amendments to transition to a FIXML data
submission standard, and several emphasized the benefits to switching
to a FIXML reporting format from the current 80-character reporting
format.\150\ Although several commenters asserted that the Proposal
understated the total cost to the industry, certain commenters provided
generalized estimates but did not provide specific quantitative
estimates differing from the Commission's estimates.\151\ Consequently,
the Commission performed its own analysis in updating the Proposal's
Cost-Benefit Considerations for these final rules. However, the
Commission recognizes that commenters, who have the benefit of
implementing similar rules in recent years, may incur costs above what
was estimated in the Proposal. For instance, one comment letter claimed
that actual costs would be several times what was estimated.\152\
Additionally, the Commission has extended the implementation period
from one year to two years, which may increase costs. For purposes of
these final rules, the Commission has updated the cost estimates that
appeared in the Proposal based on commenters' feedback and the most
recent data and statistics available to the Commission.
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\149\ 88 FR at 41534.
\150\ See, e.g., FIA Letter at 1; CME Letter at 1; ICE Letter at
1.
\151\ See FIA Letter at 11; OCC Letter at 3.
\152\ FIA submitted comments on behalf of a working group of
reporting firm members and vendors. The FIA projected that ``actual
costs to implement changes . . . [would] be approximately 3 to 5
times the CFTC's estimated one-time implementation cost, and that
ongoing annual costs should reflect approximately 15% of the one-
time cost.'' FIA Letter at 11.
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4. Baselines
The costs and benefits considered herein use as a baseline the
reporting provided by reporting firms under current part 17
regulations. In particular, reporting firms are currently required to
report positions for special accounts by 9 a.m. on the business day
[[Page 47452]]
following the trading day \153\ and to correct errors \154\ as they are
found by either the Commission or the reporting firm. These elements of
the rules do not change under the new reporting requirements.
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\153\ 17 CFR 17.00(a)(1).
\154\ 17 CFR 17.00(h).
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The Commission also notes that the discussion of Cost-Benefit
Considerations set forth herein 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, the discussion of costs
and benefits below refers to the effects of the 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.
5. Amendments to Part 17
The Commission is promulgating two categories of amendments to part
17. First, the Commission is removing current Sec. 17.00(g)'s 80-
character record format and amending Sec. 17.03(d) to delegate
authority to the Director of the Office of Data and Technology to
designate a data submission standard for reports required under Sec.
17.00(a). That data submission standard will be published in a Part 17
Guidebook, to be published on the Commission's website. The Part 17
Guidebook designates a modern XML submission standard for submitting
reports required under Sec. 17.00(a). Second, the Commission is adding
an appendix C to part 17 enumerating data elements to be included in
Sec. 17.00(a) reports. The data elements consist of (1) certain data
elements currently required to be reported under Sec. 17.00(g), (2)
certain data elements to facilitate processing files submitted in XML,
(3) certain data elements necessary to represent innovative contracts
that cannot currently be represented using the Sec. 17.00(g) format,
and (4) data elements necessary to understand the transactions that
resulted in day-to-day changes in positions of large traders. The form
and manner for reporting these data elements in appendix C will be
provided in the Part 17 Guidebook.
a. Change in Submission Standard From Current Sec. 17.00(g) Record
Format to a Modern Data Standard Designated in a Part 17 Guidebook
Currently, reporting firms submit Sec. 17.00(a) reports using
Sec. 17.00(g)'s 80-character record format. These amendments require
such reports to be submitted using a new submission standard, which
will be designated in a Part 17 Guidebook published by the Office of
Data and Technology on the Commission's website. The Part 17 Guidebook
requires such submissions to be made using an XML format similar to
that used in other reporting required by the Commission, including
Trade Capture Reports submitted pursuant to Sec. 16.02 and swap data
reports submitted to swap data repositories pursuant to part 43 and 45.
In order to collect and transmit these reports to the Commission,
reporting firms must modify the systems they currently use to report
part 17 data. The Commission estimates there are currently over 300
reporting firms submitting Sec. 17.00(a) reports. Reporting firms are
divided between DCMs, FCMs, clearing members, and foreign brokers,
including some firms that are registered under multiple categories.
Over a 30-day period in early 2023 there were 310 reporting firms
submitting Sec. 17.00(a) reports. The Commission estimates that
approximately 74 of these reporting firms automate the creation of
Sec. 17.00(a) reports and 236 of these firms create and submit Sec.
17.00(a) reports manually. The Commission believes that reporting firms
that currently automate the creation of Sec. 17.00(a) reports will
continue to do so and will submit such reports formatted pursuant to
FIXML standards in the Part 17 Guidebook by secure FTP, and that
reporting firms that currently manually create Sec. 17.00(a) reports
will continue these practices rather than modifying their systems to
facilitate reporting by secure FTP. Firms that currently manually
create Sec. 17.00(a) reports may need to update systems used to
manually generate those reports. In addition, the Commission estimates
that there are nine Derivatives Clearing Organizations (``DCOs'') that
will need to update their systems to receive part 17 reporting data.
1. Benefits
The amendments concerning the data submission standard will
facilitate more rapid data ingestion for the Commission and increased
automation in ingesting data required to be reported under Sec.
17.00(a), which will reduce staff time devoted to data ingestion. The
amendments concerning the data submission standard should also enhance
data quality. First, a modern data submission standard should be less
error-prone than the current Sec. 17.00(g) record format. Second, a
modern data submission standard should facilitate automated, real-time
error correction notifications, which will reduce the amount of manual
staff intervention in the error correction process and should provide
reporting firms with more efficient timelines for correcting errors. By
improving data quality and enabling more rapid corrections of errors,
the amendments concerning the data submission standard should ensure
the timeliness of COT reports. The amendments concerning the data
submission standard should simplify the error correction process for
reporting firms by automating and accelerating feedback concerning
errors. The amendments concerning the data submission standard should
additionally enhance DMO's ability to monitor the markets, support the
Commission's Surveillance Program, and facilitate OCE research
projects.
2. Costs
The Commission believes that the changes to part 17 necessitate
reporting firms modifying their systems to collect and submit data
using the new data submission standard. The cost of such modifications
is likely to vary from entity to entity. Under the Part 17 Guidebook,
reporting firms will submit reports required under Sec. 17.00(a) using
an XML submission standard. The Commission expects more sophisticated
reporting firms that submit a substantial number of daily reports, such
as FCMs, will build systems to report using the XML submission standard
designated in the Part 17 Guidebook, and will arrange to automate daily
submissions using a secure FTP data feed. The Commission estimates that
74 entities will submit reports in this manner. The Commission
estimates those entities would incur a one-time initial cost of
approximately $65,200 for each entity (400 hours x $163/hour) to modify
and test their systems, or an estimated aggregate dollar cost of
$4,824,800 (74 entities x $65,200).\155\ The Commission understands
that some reporting firms today submit reports required under
[[Page 47453]]
Sec. 17.00(a) manually through the CFTC Portal, and believes that many
of those firms would continue to do so under the new submission
standard. The Commission estimates that 236 entities would continue to
manually report through the CFTC Portal and would incur a one-time
initial cost of approximately $2,780 to update their systems (20 hours
x $139/hour) for each entity, or an estimated aggregate dollar cost of
$656,080 (236 entities x $2,780).\156\ On an ongoing basis, the
Commission believes that the 310 estimated reporting firms would incur
modest additional costs above the baseline once setup is complete.
However, the Commission estimates that approximately 74 entities filing
using secure FTP may incur an ongoing operation and maintenance cost of
$7,824 per year (4 hours per month x $163 per hour) per entity to
maintain their systems, or an estimated aggregate annual cost of
$578,976 (74 entities x $7,824). In addition, the Commission estimates
that 236 entities filing manually would incur ongoing additional costs
of $3,336 per year (2 hours per month x $139 per hour) per entity to
maintain their systems, or an estimated aggregate annual cost of
$787,296 (236 entities x $3,336). However, the Commission believes that
costs associated with correcting errors would be reduced due to
improved data validation at the time of ingest. These cost estimates
are based on a number of assumptions and cover a number of tasks
required by reporting firms to design, test, and implement an updated
data system based on an XML submission standard.\157\ These tasks
include defining requirements, developing an extraction query,
developing an interim extraction format (such as a CSV, or ``comma-
separated values,'' file), developing validations, developing
formatting conversions, developing a framework to execute tasks on a
repeatable basis, and finally, integration and testing.
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\155\ For costs associated with upgrading reporting systems for
secure FTP filers, the Commission estimates that modifications and
testing will be undertaken by computer and information research
scientists, database architects, software developers, programmers,
and testers. The associated costs are taken from the U.S. Bureau of
Labor Statistics' Occupational Employment and Wage Statistics,
available at https://www.bls.gov/oes/2022/may/oes_nat.htm, and
adjusted with a multiple of 2.5 to account for benefits and overhead
costs.
\156\ For costs associated with upgrading reporting systems for
CFTC Portal filers, the Commission estimates that the necessary
modifications will be undertaken by data scientists. The associated
costs are taken from the U.S. Bureau of Labor Statistics'
Occupational Employment and Wage Statistics, available at https://www.bls.gov/oes/2022/may/oes_nat.htm, and adjusted with a multiple
of 2.5 to account for benefits and overhead costs.
\157\ The OCC noted that in its role as an aggregator and
submitter of information on behalf of a DCM and reporting firms, it
needs to ``design, maintain, and operate systems'' to comply with
this rule. OCC Letter at 3. Although the Commission believes that
these costs are outside the scope of the Cost-Benefit
Considerations, we can nevertheless provide an estimate based on
their comment. The OCC estimated that changes to their system would
include 5,000 hours of work for design, programming, project
management and verification. At the hourly rate used in this
analysis for FCMs ($163/hour), this totals $815,000. The OCC further
noted that this may understate the true investment needed to work
with reporting firms for testing, but did not include the
anticipated additional hours needed.
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In addition to information collection-related costs incurred by
reporting firms, one commenter noted that DCOs will also need to update
their systems in order to receive reports, and conduct daily
surveillance.\158\ The Commission recognizes this potential new
compliance cost and estimates that nine DCOs may need to update their
systems accordingly. The commenter provided no cost analyses or
estimates. In the absence of any particular hours or cost estimates by
market participants, the Commission has conducted its own analysis of
the likely costs incurred by these entities. To update their systems
and work with reporting firms to receive the data, the Commission
estimates that DCOs would incur one-time costs of $51,200, with an
investment of 320 hours of time split between software developers,
database architects, and computer network architects. Across 9 DCOs,
these investments sum to a total cost of $460,800. Although there may
be ongoing costs with maintaining these systems, the Commission
believes that entities will not incur additional costs, relative to the
baseline.
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\158\ See CME Letter at 2 n.2.
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b. Changes in Data Elements Reported
As detailed above, the current 80-character Sec. 17.00(g) format
does not allow for flexibility in the reporting of certain types of
futures, such as bounded futures, and certain types of options, such as
capped or barrier options. The amendments will enable these products to
be identified in Sec. 17.00(a) reports, and therefore capture
additional information reflecting changes in position, including
reporting concerning numbers of transfers, reporting of numbers of
expirations of contracts, and more granular reporting of EDRPs,
including specifying the type of related product (physical, swap, or
option). Additionally, the expanded reporting regime instills
flexibility such that the Part 17 Guidebook can facilitate reporting of
positions in products with innovative features.
1. Benefits
The additional fields necessary to identify certain contracts will
facilitate collection of more robust market information for the
Commission, including allowing the Commission to distinguish between
positions in different contracts that may not currently be
distinguishable. The additional fields necessary to identify changes in
positions, including more granular information concerning types of
EDRPs, will also allow the Commission to collect better market
information. Additionally, obtaining accurate, granular information
concerning daily changes in position should improve data quality. These
data elements will enable reporting firms to perform an internal
consistency check to confirm the accuracy of data, which should reduce
reporting errors.\159\ Obtaining accurate, granular information
concerning daily changes in positions will also support the
Commission's surveillance and monitoring programs. This data will
provide the Commission with a more comprehensive understanding
concerning the nature of changes in positions--as opposed to merely
understanding the scope of positions--and should further facilitate
linking position data reported under Sec. 17.00(a) with transaction
data reporting under Sec. 16.02.
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\159\ The inclusion in Sec. 17.00(a) position reports of data
elements reflecting counts of transactions that resulted in day-to-
day changes in positions enables reporting firms to perform an
internal consistency check on position reports by comparing the size
of a reported position with the net value of contracts bought and
sold, EDRPs bought and sold, expirations and assignments of
contracts, and transfers.
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2. Costs
The amendments will require reporting firms to report certain
additional data elements to the Commission beyond those elements
required by the current Sec. 17.00(g) record format. CFTC staff
experienced in designing data reporting, ingestion, and validation
systems, estimate that for the 74 reporting firms that automate
reporting through a secure file transfer protocol, the process of
upgrading and testing systems to collect and report new fields will
require them to incur on average 800 hours to update, test, and
implement the additional data elements required by appendix C, for a
total of 59,200 hours across all FTP filers at an hourly wage rate of
$163. This would amount to total capital and start-up costs of
$9,649,600 across all FTP filers (800 hours x 74 FTP filers x $163 =
$9,649,600). In addition, the Commission estimates that these firms may
each incur one-time costs of up to $1,000 for equipment modifications
associated with these changes. The Commission estimates that the 236
reporting firms that manually input data required to be reported under
Sec. 17.00(a) into the CFTC Portal will incur on average 40 hours to
implement
[[Page 47454]]
additional data elements required by appendix C, or 9,440 total hours
across all manual filers, at an hourly wage rate of $139 per hour (236
entities x 40 hours). The Commission estimates that in the aggregate
manual filers will incur total capital and start-up costs associated
with updating, testing and implementing new data elements of $1,312,160
(9,440 hours x $139/hour). On an ongoing basis, there would be minimal
additional costs related to the addition of new data elements, since
reporting firms would not be required to submit substantially more
information than the baseline. For example, the Commission does not
believe that the amendments are likely to affect the overall number of
reports submitted annually under Sec. 17.00(a). However, given the
additional data elements required by the amendments, the Commission
estimates that 74 entities who automate their reporting systems may
each incur an ongoing operation and maintenance cost of $7,824 per year
(4 hours per month x $163 per hour) per entity, or an estimated
aggregate annual cost of $578,976 (74 entities x $7,824) related to
implementation of the new data elements. In addition, the Commission
estimates that 236 firms that manually file reports may incur ongoing
operation and maintenance costs of $3,336 per year (2 hours per month x
$139 per hour) per entity as a result of implementing the amendments
implementing new data elements, or an estimated aggregate annual cost
of $787,296 (236 entities x $3,336). These cost estimates are based on
a number of assumptions and cover a number of tasks required by the
reporting firms to design, test, and implement an updated data system
based on an XML format. These tasks include defining requirements,
developing an extraction query, developing an interim extraction format
(such as a CSV, or ``comma-separated values,'' file), developing
validations, developing formatting conversions, developing a framework
to execute tasks on a repeatable basis, and finally, integration and
testing. Additionally, these costs may be mitigated because certain of
the data elements are conditional and will only be applicable to a
subset of the reporting firms. For example, if a particular FCM is not
a participant on an exchange that lists ``bounded'' or ``barrier''
contracts, that FCM will not be required to report data elements that
are conditional and only applicable to positions in ``bounded'' or
``barrier'' contracts.
6. Section 15(a) Considerations
CEA section 15(a) requires the Commission to consider the costs and
benefits of the amendments to part 17 with respect to the following
factors: (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. A discussion of these
amendments in light of the CEA section 15(a) factors is set out
immediately below.
a. Protection of Market Participants and the Public
The Commission expects that the changes to part 17 reporting will
lead to improvements in the Commission's ability to collect data on
large traders. The Commission expects better validation of data at
ingest, leading to more efficient error corrections compared to the old
reporting format. The Commission expects these enhancements will occur
without sacrificing the Commission's ability to perform comprehensive
oversight of the market.
Additionally, reducing the risk of errors and delays in the
publication of the COT report will benefit the public by providing more
accurate data on positions held by large traders. Furthermore, higher-
quality and more granular position data from large traders will improve
the Commission's oversight and surveillance capabilities and, in turn,
will aid the Commission in protecting markets, participants, and the
public in general.
b. Efficiency, Competitiveness, and Financial Integrity of Futures
Markets
The Commission believes the amendments will improve the accuracy
and completeness of futures and options position data available to the
Commission by improving data quality and providing Commission staff
with a more complete understanding of the products comprising certain
positions. In particular, the rules will allow for more complete
reporting of EDRPs and complex futures and options positions. Access to
more accurate and complete data will in turn assist the Commission
with, among other things, evaluating if certain traders are in
violation of position limits, monitoring concentrations of risk
exposures, and preventing fraud and market manipulation. In addition,
as described above, the amendments are expected to improve the
efficiency of data reporting and analysis by reducing the number of
reporting errors and automating data validation and error corrections
processes.
c. Price Discovery
The Commission does not believe the rules will have a significant
impact on price discovery.
d. Sound Risk Management Practices
The Commission believes the rule changes will improve the data
quality associated with futures and options position reporting required
under Sec. 17.00(a). The additional data elements will capture more
complete product information for certain positions and more complete
information concerning changes in position will provide the Commission
with an expanded view of the marketplace that will enable the
Commission to more effectively identify disruptive or manipulative
trading activity. These improvements in the reporting will allow the
Commission to evaluate risk throughout the futures and related markets.
The Commission does not believe that the costs arising from the rules
will threaten the ability of market participants to manage risks.
e. Other Public Interest Considerations
The Commission believes that the increased reliability and detail
resulting from improvements to data reporting will further other public
interest considerations, including transparency in the futures market
to the public and detection of fraud or manipulation. Additionally, the
reporting structure will provide additional flexibility to collect
information on new products developed by exchanges, thereby allowing
for those exchanges to innovate and respond to the demands of the
marketplace while still providing traders' positions to the Commission.
7. Consideration of Alternatives
Certain commenters suggested alternatives to rule changes proposed
in the Proposal for purposes of minimizing costs to market
participants. In particular, as discussed above in section II(B)(2)(c),
several commenters suggested that the Commission remove from appendix C
data elements requiring certain product-specific data--so-called
``static'' data elements for which the values will not vary across
Sec. 17.00(a) reports reflecting positions for the same product--and
obtain this information directly from DCMs rather than from reporting
firms.\160\ The final rules incorporate these alternative proposals in
a manner that could reduce costs for some participants without
sacrificing benefits.\161\
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\160\ See FIA Letter at 4-6; CME Letter at 3; CBOE Letter at 2.
\161\ Note that, although the Commission has updated cost
estimates that appeared in the Proposal to reflect comments and
other data, the Commission has not reduced the cost estimates in the
final rules to account for the incorporation of the potential cost-
saving proposal described below. As a result, total reporting costs
to the industry may be lower than the sum of the costs provided
above.
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[[Page 47455]]
To remove data elements from Sec. 17.00(a) reports--and thus
potentially reduce costs to reporting firms--without diminishing or
compromising the dataset as set out in the Proposal, the Commission
requires a method for linking each Sec. 17.00(a) report to a product
reference file for the contract in which the reportable position is
held. The product reference file contains data elements for each
contract that do not vary by reporting firm. Such a link can be
achieved through a Unique Instrument Code--an exchange-assigned code
that serves as a primary key to a product reference file for a
particular instrument or contract. The Part 17 Guidebook published
concurrently with the final rules permits reporting firms to provide
the relevant Unique Instrument Code as an alternative to providing
certain product-related data elements. Those product-related data
elements are required to be included in a Sec. 17.00(a) report if a
Unique Instrument Code is not reported. However, if a reporting firm
provides a Unique Instrument Code, it need not provide these product-
related data elements in a Sec. 17.00(a) report.
In providing this alternative method for reporting certain product-
related data elements, the Commission intends to enable reporting firms
to select the most efficient method for preparing their Sec. 17.00(a)
reports. As noted in the Proposal and discussed previously, one of the
reasons the Commission has introduced additional data elements to Sec.
17.00(a) reports is that the current Sec. 17.00(g) format is incapable
of distinguishing between certain products.\162\ The Commission expects
that providing this alternative approach will allow the Commission to
obtain more comprehensive product data necessary to distinguish between
products, but may also reduce costs to reporting firms by permitting
firms to populate fewer data elements per report.
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\162\ See, e.g., 88 FR at 41528-29.
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B. Regulatory Flexibility Act
The Regulatory Flexibility Act (``RFA'') requires that agencies, in
proposing rules, consider the impact of those rules on small business
or, in the statute's parlance, ``small entities.'' \163\ If a rule will
have a significant economic impact on a substantial number of small
entities, the agency must provide a regulatory flexibility analysis.
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\163\ 5 U.S.C. 601 et seq.
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The final rules modify the data submission standard and content of
daily large trader position reports for futures and options required to
be submitted to the Commission by FCMs, clearing members, foreign
brokers, and certain reporting markets. The Commission has previously
determined that FCMs, clearing members, foreign brokers, and reporting
markets are not considered small entities for purposes of the RFA.\164\
The Commission did not receive any comment stating that these rules
would have a significant economic impact on the operations of a small
entity. Accordingly, pursuant to 5 U.S.C. 605(b), the Chairman, on
behalf of the Commission, certifies that these final rules will not
have a significant economic impact on a substantial number of small
entities.\165\
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\164\ See Policy Statement and Establishment of Definition of
``Small Entities'' for Purposes of the Regulatory Flexibility Act,
47 FR 18618 (April 30, 1982) (reporting markets, FCMs, and large
traders); Final Rule, Special Calls, 72 FR 34417, 34418 (June 22,
2007) (foreign brokers); Final Rule and Interim Final Rule, Position
Limits for Futures and Swaps, 76 FR 71626, 71680 (November 18, 2011)
(clearing members); Final Rule, Large Trader Reporting for Physical
Commodity Swaps, 76 FR 43851, 43860 (July 22, 2011) (clearing
members).
\165\ See 88 FR at 41535.
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C. Paperwork Reduction Act
The Paperwork Reduction Act of 1995 (``PRA'') imposes certain
requirements on federal agencies, including the Commission, in
connection with conducting or sponsoring any ``collection of
information,'' as defined by the PRA.\166\ Under the PRA, an agency may
not conduct or sponsor, and a person is not required to respond to, a
collection of information unless it displays a currently valid control
number from the Office of Management and Budget (``OMB''). The PRA is
intended, in part, to minimize the paperwork burden created for
individuals, businesses, and other persons as a result of the
collection of information by federal agencies, and to ensure the
greatest possible benefit and utility of information created,
collected, maintained, used, shared, and disseminated by or for the
federal government. The PRA applies to all information, regardless of
form or format, whenever the federal government is obtaining, causing
to be obtained, or soliciting information, and includes required
disclosure to third parties or the public, of facts or opinions, when
the information collection calls for answers to identical questions
posed to, or identical reporting or recordkeeping requirements imposed
on, ten or more persons.
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\166\ 44 U.S.C. 3501 et seq.
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This final rulemaking modifies a collection of information
previously approved by the OMB for which the Commission has received a
control number: OMB control number 3038-0009, Large Trader Reports
(``OMB Collection 3038-0009).\167\ The Commission does not believe the
final rule as adopted imposes any other new collections of information
that require approval of OMB under the PRA. The Commission requests
that OMB approve and revise OMB control number 3038-0009 in accordance
with 44 U.S.C. 3507(d) and 5 CFR 1320.11.
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\167\ For the previously approved estimates, see ICR Reference
No: 202303-3038-002, available at https://www.reginfo.gov/public/do/PRAViewICR?ref_nbr=202303-3038-002.
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The Commission did not receive any comments regarding the PRA
burden analysis contained in the Proposal. The Commission did, however,
receive comments on certain aspects of the Cost-Benefit Considerations
analysis. Certain of those comments relate to potential capital and
start-up costs that may be incurred as a result of the changes proposed
in the Proposal. Based on these comments, the Commission has modified
its estimates of the capital and start-up and operations and
maintenance costs reporting firms may incur as a result of the changes
adopted in these final rules. These comments and the Commission's
response are discussed in further detail in the analysis of Cost-
Benefit Considerations above.
This final rulemaking modifies the existing annual burden estimates
for complying with certain requirements of part 17. Specifically, the
Commission is amending Sec. Sec. 17.00(a), (g), (h), and 17.03(d),
which set out (1) the data submission standard and (2) the data
elements for large trader reports required to be filed under Sec.
17.00(a), among other things.\168\
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\168\ These final rules adopts two categories of amendments to
part 17. First, the final rules remove current Sec. 17.00(g)'s 80-
character record format and amends Sec. 17.03(d) to delegate
authority to the Director of the Office of Data and Technology to
determine the form, manner, coding structure, and electronic data
transmission procedures for reporting the data elements in appendix
C to part 17 and to determine whether to permit or require one or
more particular data standards for reports required under Sec.
17.00(a). That submission standard will be published in a Part 17
Guidebook. A Part 17 Guidebook has been published on the
Commission's website concurrently with publication of the final
rules. The Part 17 Guidebook designates a modern XML submission
standard for submitting reports required under Sec. 17.00(a).
Second, the Commission is adding an appendix C to part 17
enumerating data elements to be included in Sec. 17.00(a) reports.
The data elements consist of (1) certain data elements currently
required to be reported under Sec. 17.00(g), (2) certain data
elements to facilitate processing files submitted in XML, (3)
certain data elements necessary to represent innovative contracts
that cannot currently be represented using the Sec. 17.00(g)
format, and (4) data elements necessary to understand the
transactions that resulted in day-to-day changes in positions of
large traders. The form and manner for reporting these data elements
in appendix C is provided in the Part 17 Guidebook. The burden
estimates provided in this section take into account the burden
associated with reporting using a modern XML submission standard and
reporting the data elements as set out in appendix C, in compliance
with the Part 17 Guidebook.
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[[Page 47456]]
As discussed in the Proposal, the Commission has previously
estimated that the reporting requirements associated with Sec. 17.00
of the Commission's regulations entail an estimated 17,160 burden hours
for all reporting firms.\169\ The Commission is revising its total
burden estimates for this clearance to reflect updated estimates of the
number of respondents to the collection. The Commission is also
estimating the total capital and start-up costs and ongoing operation
and maintenance costs associated with the amendments to the part 17
regulations described herein. In this final rulemaking, the Commission
has revised its estimates of total capital and start-up costs and
ongoing operation and maintenance costs upward in response to public
comment as described in the Cost-Benefit Considerations analysis.
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\169\ See ICR Reference No: 202303-3038-002, available at
https://www.reginfo.gov/public/do/PRAViewICR?ref_nbr=202303-3038-002.
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The Commission expects that requiring reporting pursuant to a
modern data standard will not require reporting firms to submit
substantially more information than is currently required. Accordingly,
as discussed in the Proposal, the Commission is retaining its previous
estimated numbers of reports, burden hours per report, and average
burden hour cost. Based on review of recent data from 2023, the
Commission is reducing its estimate of the number of respondents from
330 to 310. Accordingly, the Commission is reducing its estimate from
the previous 17,160 burden hours for all reporting firms \170\ to
16,120 burden hours. In addition, the Commission anticipates that
implementation of a modern submission standard in the final rules
should reduce or eliminate manual corrections and resubmissions that
occur under the current regulations.\171\
---------------------------------------------------------------------------
\170\ See ICR Reference No: 202303-3038-002, available at
https://www.reginfo.gov/public/do/PRAViewICR?ref_nbr=202303-3038-002.
\171\ As discussed previously, the Commission has also revised
the Part 17 Guidebook to allow a reporting firm to submit a ``Unique
Instrument Code'' from a DCM's product reference file in lieu of
certain product-specific data elements. If a reporting firm includes
a ``Unique Instrument Code'' from a DCM's product reference file in
a Sec. 17.00(a) report, then that reporting firm need not include
certain product-related data elements identified in the Part 17
Guidebook. As noted previously, the Commission believes this
alternative manner of reporting may reduce costs for reporting
firms.
---------------------------------------------------------------------------
The aggregate annual estimate for the reporting burden associated
with part 17, as amended by the final rules,\172\ is as follows:
---------------------------------------------------------------------------
\172\ The previous burden estimates for 17 CFR 17.00 are
available at Notice, Agency Information Collection Activities Under
OMB Review, 88 FR 18127 (Mar. 27, 2023).
---------------------------------------------------------------------------
Estimated Number of Respondents: 310.
Estimated Average Burden Hours per Respondent: 52 hours.
Estimated Total Annual Burden on Respondents: 16,120 hours.
Frequency of Collection: Periodically.
In addition, the Commission anticipates that the final rules will
result in annual capital and start-up costs as well as operating and
maintenance costs, consisting of (1) start-up costs to implement the
rule changes, (2) operating and maintenance costs to implement the rule
changes, and (3) costs to modify equipment as necessary to comply with
the rule changes. As previously discussed, the Commission estimates
that some respondents may report by secure FTP (``FTP filers'') and
some firms may report manually (``manual filers''), and that the total
capital and start-up costs will vary based on whether a respondent is
an FTP filer or a manual filer.
The Commission estimates that FTP filers would comprise 74
respondents. The Commission estimates that these respondents would
incur one-time initial costs associated with (1) modifying systems to
adopt a new data standard, (2) updating and testing systems to
implement new data elements, and (3) modifying equipment to implement
new data elements. First, the Commission estimates that such firms
would incur a one-time initial burden of 400 hours per entity to modify
their systems to adopt changes to the data submission standard
described in this final rulemaking, for a total estimated 29,600 total
hours. Second, the Commission estimates that FTP filers will incur
total capital and start-up costs associated with updating, testing, and
implementing new data elements of 800 hours, for a total estimated
59,200 hours. Third, the Commission also estimates that FTP filers
would incur one-time costs of $1,000 to modify equipment to implement
new data elements. This would amount to $14,548,400 (((400 + 800 hours)
x 74 FTP filers x $163 \173\) + (74 FTP filers x $1,000) =
$14,548,400).
---------------------------------------------------------------------------
\173\ For the cost calculations for FTP filers, the Commission
has used a composite (blended) wage rate by averaging the hour wages
for (1) Computer Research Scientists, (2) Database Architects, (3)
Software Developers, and (4) Developers, Programmers, and Testers.
Per the U.S. Bureau of Labor Statistics, national industry-specific
occupational employment and wage estimates from May 2022, the mean
hourly wage for a computer research scientist is $74.94, database
architect is $65.65, software developer is $63.91, and developers,
programmers, and testers is $150.18. See U.S. Bureau of Labor
Statistics' Occupational Employment and Wage Statistics, available
at https://www.bls.gov/oes/2022/may/oes_nat.htm. The average of
those wages is $65.31. The Commission has applied a multiplier of
2.5 times to account for benefits and overhead. The Commission is
therefore using an hourly wage rate of $163 for FTP filers.
---------------------------------------------------------------------------
In addition, the Commission estimates that as a result of
implementing that new data submission standard, these 74 FTP filers may
incur additional operating and maintenance costs of 48 hours per year,
for 3,552 total hours, resulting in costs of $578,976 (48 hours x 74
FTP filers x $163 \174\ = $578,976), and, as a result of implementing
new data elements, these 74 FTP filers may incur additional operating
and maintenance costs of 48 hours per year, for 3,552 total hours,
resulting in costs of $578,976 (48 hours x 74 FTP filers x $163 \175\ =
$578,976). This yields additional annual operating and maintenance
costs of $1,157,952 for FTP filers.
---------------------------------------------------------------------------
\174\ See id.
\175\ See id.
---------------------------------------------------------------------------
The Commission estimates that manual filers would comprise 236
reporting firms. The Commission estimates that these respondents would
incur one-time initial costs associated with (1) modifying systems to
adopt a new data standard and (2) updating and testing systems to
implement new data elements. First, the Commission estimates such
respondents would incur a one-time initial burden of 20 hours to modify
their systems to implement a new data standard, for a total estimated
4,720 total hours. Second, the Commission estimates that manual filers
will incur an average one-time cost of 40 hours to implement additional
data elements required by new appendix C, for a total estimated 9,440
total hours. This would amount to aggregate one-time initial costs of
$1,968,240 ((20 hours + 40 hours) x 236 manual filers x $139 \176\ =
$1,968,240).
---------------------------------------------------------------------------
\176\ For the cost calculations for manual filers, the
Commission used the wage rate for Data Scientists. Per the U.S.
Bureau of Labor Statistics, national industry-specific occupational
employment and wage estimates from May 2021, the mean hourly wage
for a data scientist is $55.40. See U.S. Bureau of Labor Statistics'
Occupational Employment and Wage Statistics, available at https://www.bls.gov/oes/2022/may/oes_nat.htm. The Commission has applied a
multiplier of 2.5 times to account for benefits and overhead. The
Commission is therefore using an hourly wage rate of $139 for manual
filers.
---------------------------------------------------------------------------
[[Page 47457]]
In addition, the Commission estimates that as a result of
implementing that new data submission standard, these 236 manual filers
may incur additional operating and maintenance costs of 24 hours per
year, for 5,664 total hours, for an associated cost of $787,296 (24
hours x 236 manual filers x $139 \177\ = $787,296), and, as a result of
implementing new data elements, these 236 manual filers may incur
additional operating and maintenance costs of 24 hours per year, for
5,664 total hours, for an associated cost of $787,296 (24 hours x 236
manual filers x $139 \178\ = $787,296). This yields additional annual
operating and maintenance costs of $1,574,592 for manual filers.
---------------------------------------------------------------------------
\177\ See id.
\178\ See id.
---------------------------------------------------------------------------
Accordingly, the total estimated capital and start-up costs across
all 310 reporting firms is $16,516,640 ($14,548,400 + $1,968,240 =
$16,516,640). Based on five-year, straight line depreciation, this
amounts to annualized total capital and start-up costs for all
reporting firms of $3,303,328. Based on five-year, straight line
depreciation, the total estimated annual operating and maintenance
costs across all entities is $2,732,544 ($1,157,952 for FTP filers +
$1,574,592 for manual filers = $2,732,544). The Commission estimates
that total annual capital and start-up costs and operation and
maintenance costs for all reporting firms would be $6,035,872
($3,303,328 + $2,732,544 = $6,035,872).
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.\179\
---------------------------------------------------------------------------
\179\ 7 U.S.C. 19(b).
---------------------------------------------------------------------------
The Commission does not anticipate that the changes to part 17
contained in these final rules would result in anticompetitive
behavior. The Commission did not receive any comments on antitrust
considerations.
List of Subjects in 17 CFR Part 17
Brokers, Commodity futures, Reporting and recordkeeping
requirements, Swaps.
For the reasons stated in the preamble, the Commodity Futures
Trading Commission amends 17 CFR part 17 to read as follows:
PART 17--REPORTS BY REPORTING MARKETS, FUTURES COMMISSION
MERCHANTS, CLEARING MEMBERS, AND FOREIGN BROKERS
0
1. The authority citation for part 17 continues to read as follows:
Authority: 7 U.S.C. 2, 6a, 6c, 6d, 6f, 6g, 6i, 6t, 7, 7a, and
12a.
0
2. In Sec. 17.00, revise paragraphs (a)(1), (g), and (h) to read as
follows:
Sec. 17.00 Information to be furnished by futures commission
merchants, clearing members, and foreign brokers.
(a) * * *
(1) Each futures commission merchant, clearing member and foreign
broker shall submit a report to the Commission for each business day
with respect to all special accounts carried by the futures commission
merchant, clearing member or foreign broker, except for accounts
carried on the books of another futures commission merchant or clearing
member on a fully-disclosed basis. Except as otherwise authorized by
the Commission or its designee, such report shall be made pursuant to
paragraph (g) of this section. The report shall show each futures
position, separately for each reporting market and for each future, and
each put and call options position separately for each reporting
market, expiration and strike price in each special account as of the
close of market on the day covered by the report and, in addition, the
number of futures and options contracts bought and sold, the quantity
of exchanges of futures or options for commodities or for derivatives
positions, the number of delivery notices issued for each such account
by the clearing organization of a reporting market and the number
stopped by the account, the number of long and short options expired
and exercised, the number of long and short futures assigned, and the
number of long and short transfers sent and received. The report shall
also show all positions in all contract months and option expirations
of that same commodity on the same reporting market for which the
special account is reportable.
* * * * *
(g) Media and file characteristics. Except as otherwise approved by
the Commission or its designee, all of the applicable data elements set
forth in appendix C to this part shall be included in a report required
by paragraph (a) of this section and shall be submitted together in a
single file. The report shall be submitted in the form and manner
published by the Commission or its designee pursuant to Sec. 17.03.
(h) Correction of errors and omissions. Except as otherwise
approved by the Commission or its designee, corrections to errors and
omissions in data provided pursuant to paragraph (a) of this section
shall be submitted in the form and manner published by the Commission
or its designee pursuant to Sec. 17.03.
* * * * *
0
3. In Sec. 17.03, revise paragraphs (a) and (d) to read as follows:
Sec. 17.03 Delegation of authority to the Director of the Office of
Data and Technology or the Director of the Division of Market
Oversight.
* * * * *
(a) Pursuant to Sec. 17.00(a) and (h), the authority shall be
designated to the Director of the Office of Data and Technology to
determine whether futures commission merchants, clearing members, and
foreign brokers may report the information required under Sec.
17.00(a) and (h) using some format other than that required under Sec.
17.00(g) upon a determination that such person is unable to report the
information using the format, coding structure, or electronic data
transmission procedures otherwise required.
* * * * *
(d) Pursuant to Sec. 17.00(a), (g), and (h), the authority shall
be designated to the Director of the Office of Data and Technology to
determine the form, manner, coding structure, and electronic data
transmission procedures for reporting the data elements in appendix C
to this part and to determine whether to permit or require one or more
particular data standards.
* * * * *
0
4. Add appendix C to read as follows:
[[Page 47458]]
Appendix C to Part 17--Data Elements
------------------------------------------------------------------------
Data element
name Definition for data element
------------------------------------------------------------------------
1............ Total Message The total number of position reports
Count. included in the file.
2............ Message Type... Message report type.
3............ Sender ID...... The CFTC-issued reporting firm
identifier assigned to the firm
submitting the position report.
4............ To ID.......... Indicates the position report was
submitted to the CFTC.
5............ Message, The date and time the file was created.
Transmit,
Datetime.
6............ Report ID...... A unique identifier assigned to each
position report.
7............ Record Type Indicates the action that triggered the
(Action). position report.
8............ Report Date.... The date of the information being
reported.
9............ Reporting Firm CFTC-assigned identifier for the
ID. reporting firm.
10........... Special Account The Legal Entity Identifier (``LEI'')
Controller LEI. issued to the special account
controller.
11........... Account ID..... A unique account identifier, assigned by
the reporting firm to each special
account. Assignment of the account
number is subject to the provisions of
Sec. 17.00(b) and appendix A of this
part (Form 102).
12........... Exchange The exchange where the contract is
Indicator. traded.
13........... Commodity The clearinghouse-assigned commodity
Clearing Code. code for the futures or options
contract.
14........... Product Type... Type of product.
15........... Ticker Symbol.. Ticker symbol of the product traded.
16........... Maturity Month Month and year of the delivery or
Year. maturity of the contract, as
applicable. Day must be provided when
necessary to characterize a contract.
17........... Maturity Time.. The expiration time of an option or last
trading time of a future.
18........... Listing Date... Product listing date.
19........... First Exercise The earliest time at which notice of
Date. exercise can be given.
20........... Strike Level... Numeric option moneyness criterion.
21........... Alpha Strike... Non-numeric option moneyness criterion.
22........... Cap Level...... Ceiling value of a capped option or
bounded future.
23........... Floor Level.... Floor value of a capped option or
bounded future.
24........... Bound or Behavior of the product when it hits the
Barrier Type. bound or barrier.
25........... Bound or Bound or barrier level of a contingent
Barrier Level. option.
26........... Put or Call Nature of the option exercise.
Indicator.
27........... Exercise Style. Type of exercise of an option.
28........... Payout Amount.. Cash amount indicating the payout
associated with the contract.
29........... Payout Type.... The type of valuation method or payout
trigger.
30........... Underlying The instrument that forms the basis of
Contract ID. an option.
31........... Underlying Underlying delivery year and month (and
Maturity Month day where applicable).
Year.
32........... Long Position.. The total of long open contracts carried
at the end of the day.
33........... Short Position. The total of short open contracts
carried at the end of the day.
34........... Contracts The total quantity of contracts bought
Bought. (gross) during the day associated with
a special account, including all block
trades and contracts claimed for
clearing as a result of trade
allocations such as give-ups. Do not
include exchanges of derivatives for
related positions EDRPs (EFP, EFS or
EFR, EOO) or transfers.
35........... Contracts Sold. The total quantity of contracts sold
(gross) during the day associated with
a special account, including all block
trades and contracts claimed for
clearing as a result of trade
allocations such as give-ups. Do not
include exchanges of derivatives for
related positions EDRPs (EFP, EFS or
EFR, EOO) or transfers.
36........... EDRPs Bought... The quantity of purchases of futures or
options in connection with exchanges of
futures or options for related
positions (``EDRPs'') done pursuant to
a DCM's rules, disaggregated into
quantity of purchases of futures or
options in connection with EDRPs by
type of EDRP, including exchanges of
futures for physical, exchanges of
futures for risk, exchanges of options
for options, and any other EDRP offered
pursuant to a DCM's rules.
37........... EDRPs Sold..... The quantity of sales of futures or
options in connection with EDRPs done
pursuant to a DCM's rules,
disaggregated into quantity of sales of
futures or options in connection with
EDRPs by type of EDRP, including
exchanges of futures for physical,
exchanges of futures for risk,
exchanges of options for options, and
any other EDRP offered pursuant to a
DCM's rules.
38........... Delivery The number of futures contracts for
Notices which delivery notices have been
Stopped. stopped during a day.
39........... Delivery The number of futures contracts for
Notices Issued. which delivery notices have been issued
during a day.
40........... Long Options Long options positions expired without
Expired. being exercised.
41........... Short Options Short options positions expired without
Expired. being exercised.
42........... Long Options Long options positions exercised during
Exercised. the day.
43........... Short Options Short options positions exercised during
Exercised. the day.
44........... Long Futures Long futures assigned as the result of
Assigned. an option exercise.
45........... Short Futures Short futures assigned as the result of
Assigned. an option exercise.
46........... Long Transfers Long positions sent through other
Sent. transfers during the day. (Do not
include give-ups).
47........... Long Transfers Long positions received through other
Received. transfers during the day. (Do not
include give-ups).
48........... Short Transfers Short positions sent through other
Sent. transfers during the day. (Do not
include give-ups).
49........... Short Transfers Short positions received through other
Received. transfers during the day. (Do not
include give-ups).
50........... Product- Terms of the contract that are
Specific Terms. economically material to the contract,
maintained in the ordinary course of
business by the reporting market
listing the contract, and not otherwise
reported under the data elements in
this appendix.
------------------------------------------------------------------------
[[Page 47459]]
Issued in Washington, DC, on May 23, 2024, by the Commission.
Robert Sidman,
Deputy Secretary of the Commission.
Note: The following appendices will not appear in the Code of
Federal Regulations.
Appendices to Large Trader Reporting Requirements--Voting Summary and
Chairman's and Commissioners' Statements
Appendix 1--Voting Summary
On this matter, Chairman Behnam and Commissioners Johnson,
Goldsmith Romero, and Mersinger voted in the affirmative.
Commissioner Pham voted in the negative.
Appendix 2--Statement of Chairman Rostin Behnam
I support the final rules to amend the Commission's large trader
reporting regulations for futures and options. The rules modernize
large trader data reporting under part 17 of the Commission's
regulations, and create a path for efficient future modernization.
In addition, the amendments align part 17 data and reporting with
the reporting structure in other Commission regulations.
The large trader reports that result from this data are used for
surveillance (detection and prevention of price manipulation) and
enforcement of speculative limits. This particular data set can be
crucial when it comes to exercising our enforcement authority in the
cash markets. CFTC economists and analysts monitor the commodity
markets on a daily, real-time basis, and can view the derivatives
positions of large traders on a next-day basis. Large trader reports
also provide the basis for the Commission's weekly Commitments of
Traders report, which is used by a wide range of market
participants. Modernizing and aligning these rules promotes
transparency and efficiency as we carry out our regulatory and
enforcement functions.
These final rules add one more segment to the Commission's data
arc that now spans well over a decade since Congress set forth a
new, more ambitious vision for how data could address some of the
underlying causes of the 2008 financial crisis and instill greater
resilience in the decades to come. I have prioritized the
Commission's data and analytics capabilities--adjusting,
harmonizing, prioritizing standardization without abandoning
mission-critical functions, and generally keeping pace with the
markets. We are still moving forward, bringing the arc full circle
toward full cloud integration, zero-trust architecture, and data
cataloging, as well as Commission-wide upskilling focused on
enhanced analytics and integration and use of artificial
intelligence.
I thank the staff for their hard work in producing these
important rules, and I am proud to support them.
Appendix 3--Statement of Commissioner Kristin N. Johnson
Today, the Commodity Futures Trading Commission (Commission or
CFTC) adopts amendments to large trader reports. Ensuring the
integrity and transparency of these reports fosters sound
derivatives markets by providing the Commission with critical
information concerning the largest positional exposures in futures
and options markets. I support adopting the final rule, which amends
certain provisions of the Large Trader Reporting Requirements for
futures and options under Commission Regulation 17.00(a) and (g)
(Final Rule).
Sections 4a, 4c(b), 4g, and 4i of the Commodity Exchange Act
(CEA) establish the Commission's authority to create regulation
imposing large trader reporting and recordkeeping requirements on
registrants. Part 17 sets out the obligations for reports that
markets, futures commission merchants, clearing members, and foreign
brokers must provide to the Commission.\1\ The Commission's large
trader reporting system has been foundational to ensuring market
integrity, fostering price discovery, and promoting hedging utility
of futures and options contracts for commercial end-users. The large
trader reporting framework has admirably supported the Commission's
market surveillance efforts.
---------------------------------------------------------------------------
\1\ 7 U.S.C. 6; 17 CFR 17.00.
---------------------------------------------------------------------------
CFTC Regulation 17.00(a) requires reporting firms to report
daily position information for special accounts--futures and options
trader accounts that exceed certain Commission-prescribed levels--to
the Commission, in accordance with the record format and data
elements set forth in CFTC Regulation 17.00(g).\2\ Data reporting
technology has advanced since the time of part 17's promulgation
such that the current data record format is outdated.
---------------------------------------------------------------------------
\2\ Id.
---------------------------------------------------------------------------
The Commission is adopting the Final Rule to modernize certain
technical aspects of the reporting requirements and clarify aspects
of the reporting requirements and instructions. The Final Rule will
transition reporting format to the Financial Information eXchange
Markup Language (FIXML). Additionally, the Commission is updating
the data elements to be reported and delegating authority to the
Director of the Division of Data to designate a data submission
standard. Contemporaneously, the Commission will publish an updated
Part 17 Guidebook.
The Commission issued a notice of proposed rulemaking on June
27, 2023 and received twelve substantive comment letters. The Final
Rule is responsive to many of the comments received and reflects
thoughtful engagement with market participants--an essential aspect
of the notice-and-comment rulemaking process.
Access to more fulsome and reliable data will improve the
Commission's understanding of how traders employ futures and
options, enable the Commission to surveil for market integrity in a
single market or across markets, and facilitate the Commission's
detection and enforcement of abusive trading practices.
As I have previously stated:
Appropriately-tailored regulatory disclosure is a powerful tool
in identifying vulnerabilities and trends in our markets, mitigating
systemic risk, and addressing financial stability concerns.
Disclosure of financial information to market regulators is critical
to the regulatory oversight of our financial markets, particularly
when such disclosure is accurate, timely, robust, and usable.\3\
---------------------------------------------------------------------------
\3\ Kristin N. Johnson, Commissioner, CFTC, Statement on the
Importance of Financial Market Transparency for Systemic Risk
Management (Feb. 8, 2024), https://www.cftc.gov/PressRoom/SpeechesTestimony/johnsonstatement020824.
---------------------------------------------------------------------------
Today's Final Rule supports position reporting that meets these
characteristics. Though facilitating effective supervision can
engender costs, the important data reported to the Commission plays
a crucial role in stemming broader market disruptions.
I commend the work of the staff of the Division of Market
Oversight, including Owen Kopon, Paul Chaffin, Chase Lindsey, and
Jason Smith, on the Final Rule.
Appendix 4--Statement of Commissioner Caroline D. Pham
I respectfully dissent from the Large Trader Reporting Rule
primarily because it raises fair notice and due process issues for
future regulatory changes. The Commission is also delegating its
authority to a non-existent office, which I believe is not only
impermissible, but makes no sense.
I would like to thank Owen Kopon, Paul Chaffin, Chase Lindsay,
Jason Smith, Nora Flood, and Vince McGonagle in the Division of
Market Oversight, as well as James Fay in the Division of Data and
Daniel Prager in the Office of the Chief Economist, for their work
on the Large Trader Reporting Rule. I appreciate the staff working
with me to make revisions to address my concerns. While the
revisions to the rulemaking preamble are intended to alleviate the
fair notice concerns, they ultimately do not provide sufficient due
process protections as required under the law because there were no
associated revisions to the rule text.
Overall, I continue to support most of the rule amendments that
would update the outdated large trader reporting submission
standards in the part 17 regulations.\1\ The CFTC's Commitment of
Traders (COT) Report, derived from part 17 data, provides
transparency and aids in price discovery and risk management for
market participants and end-users. I support improving the CFTC's
preparation of the COT Report. I also believe that the two-year
implementation period will help to minimize disruptions and ensure a
seamless transition with enough time for adequate testing of firms'
systems and processes for large trader reporting prior to the
compliance date. I strongly encourage the Commission to include
adequate implementation periods in all of our rulemakings, which
will support compliance
[[Page 47460]]
and risk management efforts that enhance market integrity.
---------------------------------------------------------------------------
\1\ Statement of Commissioner Caroline D. Pham in Support of
Notice of Proposed Rulemaking for Large Trader Reporting
Requirements Under Part 17 (June 7, 2023), https://www.cftc.gov/PressRoom/SpeechesTestimony/phamstatement060723.
---------------------------------------------------------------------------
However, I have two significant concerns. First, the Commission
will make a new delegation of authority to the Director of the
Office of Data and Technology (ODT) in Regulation 17.03(d) to
determine the form, manner, coding structure, and electronic data
transmission procedures for reporting the data elements in part 17,
appendix C and to determine whether to permit or require one or more
particular data standards. I find it deeply troubling and against
all common sense that the Commission is making a new delegation of
authority to an office that no longer exists at the CFTC.\2\
---------------------------------------------------------------------------
\2\ https://www.cftc.gov/About/CFTCOrganization/index.htm.
---------------------------------------------------------------------------
I find it insincere, or incongruous at best, for the Commission
to state that it is dedicated to providing certainty to market
participants--or even clarity, which the Final Rule asserts seven
times--when the Commission is delegating authority to a ghost office
to make decisions that may cost firms millions of dollars to
implement.
Second, multiple commenters requested that the Commission
include a notice standard under Regulation 17.03(d) if the ODT
Director changes these standards in the future.\3\ Commenters raised
concerns about potential costs associated with future changes, such
as technology and infrastructure changes for reporting firms. Even
seemingly minor changes to reporting requirements require firms to
identify and allocate technology budget and resources; program and
test reporting logic; and implement controls, among other things.
Inexplicably, the Commission declined to adopt a reasonable notice
standard in the regulation, even though fair notice is inherent to
due process under the Administrative Procedure Act and other law.
---------------------------------------------------------------------------
\3\ See Futures Industry Association, Large Trader Reporting
Requirements (RIN 3038-AF27), 7 (Aug. 28, 2023), https://comments.cftc.gov/PublicComments/ViewComment.aspx?id=73056&SearchText=; ICE Futures U.S., Large
Trader Reporting Requirements (RIN 3038-AF27), 2 (Aug. 28, 2023),
https://comments.cftc.gov/PublicComments/ViewComment.aspx?id=73046&SearchText=; Options Clearing Corporation,
RIN 3038-AF27 Large Trader Reporting Requirements, 4 (Aug. 28,
2023), https://comments.cftc.gov/PublicComments/ViewComment.aspx?id=73050&SearchText=.
---------------------------------------------------------------------------
Considering the CFTC's aggressive enforcement posture towards
pursuing reporting violations with a strict liability standard and
no materiality threshold, resulting in seven-figure penalties for
anything less than 100% perfection,\4\ I am deeply concerned about
using delegated authority to change reporting standards without
reasonable notice requirements in the regulation. This would ensure
that firms have adequate time for compliance and implementation of
new requirements.
---------------------------------------------------------------------------
\4\ See, e.g., CFTC Orders Morgan Stanley and Co. Incorporated
to Pay $350,000 Penalty for Omitting Futures and Options Data from
Part 17 Large Trader Reports (Nov. 2, 2017), https://www.cftc.gov/PressRoom/PressReleases/7638-17; see generally CFTC Releases FY 2023
Enforcement Results (Nov. 7, 2023), https://www.cftc.gov/PressRoom/PressReleases/8822-23; CFTC Releases Annual Enforcement Results
(Oct. 20, 2022), https://www.cftc.gov/PressRoom/PressReleases/8613-22.
---------------------------------------------------------------------------
Accordingly, while I support most of the revisions to the Large
Trader Reporting Final Rule, my outstanding concerns outweigh that
support.
[FR Doc. 2024-11798 Filed 5-31-24; 8:45 am]
BILLING CODE 6351-01-P