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

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

Cross Reference

Link to an amendment published at 85 FR 75479, Nov. 25, 2020.

(a) In general. Swap transaction and pricing information shall be reported to a registered swap data repository so that the registered swap data repository can publicly disseminate swap transaction and pricing data in real-time in accordance with this part, including the manner described in this section and appendix A to this part.

(b)

Public dissemination of data fields. Any

registered

swap data repository that accepts and publicly disseminates swap transaction and pricing data in real-time shall publicly disseminate the information described in appendix A

to

of this partfor the swap transaction and pricing data, as applicable,

for any publicly reportable swap transaction. (c

in the form and manner provided in the technical specification published by the Commission pursuant to § 43.7.

(b) Additional swap information. A

registered

swap data repository that accepts and publicly disseminates swap transaction and pricing data in real-time may require reporting

parties

counterparties,

registered

swap execution facilities, and designated contract markets to report to such

registered

swap data repository

, such

information that is necessary to compare the swap transaction and pricing data that was publicly disseminated in real-time to the data reported to a

registered

swap data repository pursuant to

Section

section 2(a)(13)(G) of the Act or to confirm that parties to a swap have reported in a timely manner pursuant to § 43.3

of this part

. Such additional information shall not be publicly disseminated by the

registered

swap data repository.

(

d

c) Anonymity of the parties to a publicly reportable swap transaction -

(1) In general. Swap transaction and pricing data that is publicly disseminated in real-time shall not disclose the identities of the parties to the swap or otherwise facilitate the identification of a party to a swap. A

registered

swap data repository that accepts and publicly disseminates swap transaction and pricing data in real-time shall not publicly disseminate such data in a manner that discloses or otherwise facilitates the identification of a party to a swap.

(2) Actual product description reported to

registered

swap data repository. Reporting

parties

counterparties,

registered

swap execution facilities, and designated contract markets shall provide a

registered

swap data repository with swap transaction and pricing data that includes an actual description of the underlying asset(s). This requirement is separate from the requirement that a reporting

party

counterparty,

registered

swap execution facility, or designated contract market shall report swap data to a

registered

swap data repository pursuant to

Section

section 2(a)(13)(G) of the Act and

the Commission's regulations

17 CFR chapter I.

(3) Public dissemination of the actual description of underlying asset(s). Notwithstanding the anonymity protection for certain swaps in the other commodity asset class in

§ 43.4(d

paragraph (c)(4)

(ii)

of this section, a

registered

swap data repository shall publicly disseminate the actual underlying asset(s) of all publicly reportable swap transactions in the interest rate, credit, equity, and foreign exchange asset classes.

(4) Public dissemination of the underlying asset(s) for certain swaps in the other commodity asset class. A

registered

swap data repository shall publicly disseminate swap transaction and pricing data in the other commodity asset class as described in this

subsection

paragraph.

(i) A

registered

swap data repository shall publicly disseminate swap transaction and pricing data for publicly reportable swap transactions in the other commodity asset class in the manner described in paragraphs (

d

c)(4)(ii) and (

d)(4)(

iii) of this section.

(ii) The actual underlying asset(s) shall be publicly disseminated for the following publicly reportable swap transactions in the other commodity asset class:

(A) Any publicly reportable swap transaction that references one of the contracts described in appendix B to this part;

(B) Any publicly reportable swap transaction that is economically related to one of the contracts described in appendix B of this part; or

(C) Any publicly reportable swap transaction executed on or pursuant to the rules of a swap execution facility or designated contract market.

(iii) The underlying assets of swaps in the other commodity asset class that are not described in paragraph (

d

c)(4)(ii) of this section shall be publicly disseminated by limiting the geographic detail of the underlying

assets

asset(s). The identification of any specific delivery point or pricing point associated with the underlying asset of such other commodity swap shall be publicly disseminated pursuant to appendix E of this part.

(

C) Any publicly reportable swap transaction executed on or pursuant to the rules of a registered swap execution facility or designated contract market.

(e) Unique product identifier. If a unique product identifier is developed that sufficiently describes one or more of the swap transaction and pricing data fields for real-time reporting described in appendix A to this part, then such unique product identifier may be publicly disseminated in lieu of the data fields that it describes.

(f)

d)Reporting of notional or principal amounts to a

registered

swap data repository -

(1) Off-facility swaps. The reporting

party

counterparty shall report the actual notional or principal amount of any publicly reportable swap transaction that is an off-facility swap to a

registered

swap data repository that accepts and publicly disseminates such data pursuant to this part

43

.

(2) Swaps executed on or pursuant to the rules of a

registered

swap execution facility or designated contract market.

(i) A

registered

swap execution facility or designated contract market shall

transmit

report the actual notional or principal amount for all swaps executed on or pursuant to the rules of such

registered

swap execution facility or designated contract market

,

to a

registered

swap data repository that accepts

swaps in the asset class

and publicly disseminates such data pursuant to this part.

(ii) The actual notional or principal amount for any block trade executed on or pursuant to the rules of a

registered

swap execution facility or designated contract market shall be reported to the

registered

swap execution facility or designated contract market pursuant to the rules of the

registered

swap execution facility

or

of designated contract market.

(

g

e)Public dissemination of

rounded

notional or principal amounts. The notional or principal amount of a publicly reportable swap transaction

, as described in appendix A to this part,

shall be

rounded and

publicly disseminated by a

registered

swap data repository

as follows: (

subject to rounding as set forth in paragraph (f) of this section, and the cap size as set forth in paragraph (g) of this section.

(f) Process to determine appropriate rounded notional or principal amounts.

(1) If the notional or principal amount is less than one thousand, round to nearest five, but in no case shall a publicly disseminated notional or principal amount be less than five;

(2) If the notional or principal amount is less than

ten

10 thousand but equal to or greater than one thousand, round to nearest one hundred;

(3) If the notional or principal amount is less than 100 thousand but equal to or greater than

ten

10 thousand, round to nearest one thousand;

(4) If the notional or principal amount is less than one million but equal to or greater than 100 thousand, round to nearest

ten

10 thousand;

(5) If the notional or principal amount is less than 100 million but equal to or greater than one million, round to the nearest one million;

(6) If the notional or principal amount is less than 500 million but equal to or greater than 100 million, round to the nearest

ten

10 million;

(7) If the notional or principal amount is less than one billion but equal to or greater than 500 million, round to the nearest 50 million;

(8) If the notional or principal amount is less than 100 billion but equal to or greater than one billion, round to the nearest

one billion

100 million;

(9) If the notional or principal amount is equal to or greater than 100 billion, round to the nearest

50

10 billion.

(

h) Cap sizes - (1)

g) Initial cap sizes. Prior to the effective date of a Commission determination to establish an applicable post-initial cap size for a swap category as determined pursuant to paragraph (h)

(2)

of this section, the initial cap sizes for each swap category shall be equal to the greater of the initial appropriate minimum block size for the respective swap category in appendix F of this part or the respective cap sizes in paragraphs (

h

g)(1)

(i)

through (

h)(1)(v)

5) of this section. If appendix F of this part does not provide an initial appropriate minimum block size for a particular swap category, the initial cap size for such swap category shall be equal to the appropriate cap size as set forth in paragraphs (

h

g)(1)

(i)

through (

h)(1)(v)

5) of this section. -

(

i

1) For swaps in the interest rate asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be:

(

A

i) USD 250 million for swaps with a tenor greater than zero up to and including two years;

(

B

ii) USD 100 million for swaps with a tenor greater than two years up to and including ten years; and

(

C

iii) USD 75 million for swaps with a tenor greater than ten years.

(

ii

2) For swaps in the credit asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 100 million.

(

iii

3) For swaps in the equity asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 250 million.

(

iv

4) For swaps in the foreign exchange asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 250 million.

(

v

5) For swaps in the other commodity asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 25 million.

(

2

h)Post-initial cap sizes.

Pursuant to the process described in § 43.6(f)(1), the Commission shall establish post-initial cap sizes using reliable data collected by registered

(1) The Commission shall establish, by swap categories, post-initial cap sizes as described in paragraphs (h)(2) through (8) of this section.

(2) The Commission shall determine post-initial cap sizes for the swap categories described in paragraphs (c)(1)(i), (c)(2)(i) through (xii), (c)(4)(i), and (c)(5)(i) of § 43.6 by utilizing reliable data collected by swap data repositories, as determined by the Commission, based on the following:

(i)

paragraphs (h)(2)(i) and (ii) of this section. If the Commission is unable to determine a cap size for any swap category described in § 43.6(c)(1)(i), the Commission shall assign a cap size of USD 100 million to such category.

(i) A one-year window of swap transaction and pricing data corresponding to each relevant swap category recalculated no less than once each calendar year; and

(ii) The 75-percent notional amount calculation described in § 43.6(cd)(2).

(3)

applied to the swap transaction and pricing data described in paragraph (h)(2)(i) of this section.

(3) Commission publication of post-initial cap sizes. The Commission shall determine the post-initial cap size for a swap category in the foreign exchange asset class described in § 43.6(c)(4)(ii) as the lower of the notional amount of either currency's cap size for the swap category described in § 43.6(c)(4)(i).

(4) All swaps or instruments in the swap category described in § 43.6(c)(1)(ii) shall have a cap size of USD 100 million.

(5) All swaps or instruments in the swap category described in § 43.6(c)(2)(xiii) shall have a cap size of USD 400 million.

(6) All swaps or instruments in the swap category described in § 43.6(c)(3) shall have a cap size of USD 250 million.

(7) All swaps or instruments in the swap category described in § 43.6(c)(4)(iii) shall have a cap size of USD 150 million.

(8) All swaps or instruments in the swap category described in § 43.6(c)(5)(ii) shall have a cap size of USD 100 million.

(9) The Commission shall publish post-initial cap sizes on its

Web site

website at http://www.cftc.gov.

(

4) Effective date of post-initial cap sizes.

10) Unless otherwise indicated on the Commission's

Web site

website, the post-initial cap sizes shall be effective on the first day of the second month following the date of publication of the revised cap size.

[76 85 FR 124375479, JanNov. 9, 2012, as amended at 78 FR 32937, May 31, 201325, 2020]