What continuation data needs to be reported for original (intent to clear/alpha) swaps?

For each original swap, the DCO shall report required swap continuation data, including terminations, electronically to the Swap Data Repository to which the swap that was accepted for clearing was reported. Such required swap continuation data shall be accepted and recorded by KOR SDR when KOR SDR possesses the original swap report.

The DCO that accepted the swap for clearing shall report all life-cycle event data electronically to a Swap Data Repository not later than the end of the next Business Day following the day that any life-cycle event occurs with respect to the swap.

In addition to all other required swap continuation data, life-cycle event data shall include all of the following:

1. 1. The legal entity identifier of the Swap Data Repository to which all required swap creation data for each clearing swap was reported by the DCO;
   2. The unique trade identifier of the original swap that was replaced by the clearing swaps; and
   3. The unique trade identifier of each clearing swap that replaces a particular original swap.

The KOR SDR Technical Specifications defines the format of the original swap termination message here.

KOR SDR shall provide the Commission and the Reporting Counterparty, or their Delegated Reporter with a daily report of all swaps reported two Business Days prior that were submitted with the value of “I” for the field “Cleared” and have not been terminated. As the SDR does not know the identity of the Clearing Organization, it is the duty of the Reporting Counterparty, to contact the Clearing Organization to correct the data.

Missing Original Swaps Termination Report

References: CFTC Rule(s) §45.4(b)