How are values capped on the ticker? (Post Initial)

How do I know if my publicly disseminated Message was capped?

When a message is capped, the field [capApplied] will = "True" and a [capRatio] will be populated.

How are cap sizes determined?

As of July 1, 2024, the CFTC is in the phase of post-initial cap size for a swap category as determined pursuant to 43.4(h) of this section, the cap sizes for each swap category shall be equal to the greater of the initial appropriate minimum block size for the respective swap category as published by the CFTC (Post-Initial Appropriate Minimum Block Sizes and Post-Initial Cap Sizes for Publicly Reportable Swap Transactions May 23, 2024). If the published table 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 43.4(h(4) through (5). 

How are cap sizes implemented?

In order for KOR to implement the appropriate cap size for public dissemination, the reporting party shall submit the applicable category in the field [Component reference price category] with one of the allowed values to this list: Post Initial Block/LNS/Cap Sizes.

Based on the submitted value, KOR shall populate the appropriate values for the following fields:

• [Component reference price category - cap notional amount]
• [Component reference price category - cap notional currency]

What if the trade has two legs?

KOR will look at the notional amount for leg 1 and 2 in USD and use the largest value to evaluate if capping applies.

If it does, then the other leg is reduced by the the cap ratio of the cap applied. (see below)

What if the published cap size is in USD and I executed my trade in a different currency?

When the Cap Size for a Publicly Reportable Swap Transaction is denominated in a currency other than U.S. dollars, parties to a swap and registered entities may use a currency exchange rate that is widely published within the preceding two Business Days from the date of execution of the swap transaction in order to determine such qualification. The converted USD amount shall be submitted to KOR SDR per the KOR SDR Technical Specifications.

Clients report this via the field(s) [Notional Amount In USD Leg 1] and [Notional Amount In USD Leg 2]

References: CFTC Rule(s) §43.6(i)(4).

When the cap amount is set in USD, but the trade was executed in a different currency, the USD field is then required to be submitted and is used to calculate the cap.

When the traded amount is not in USD, but the Cap is, then the disseminated capped amount must be converted to the equivalent of the USD cap in the executed currency.

As such, the following formula is used to get the cap ratio:

• Cap Ratio = X
• Capped Amount per rule for trade / (absolute value of) Notional Amount in USD (leg 1 or 2)  = X 

• Submitted value in traded currency (e.g., Notional Amount - leg 1) *  X = Disseminated value (e.g., Disseminated Notional Amount Leg 1)

What about the fields related to the notional?

Per the CFTC Tech Spec: "The SDR disseminating the data, per their own  procedures, must round and cap the reported notional or principal amount pursuant to §43.4. When notional or principal amount is capped, the SDR must proportionally scale other  applicable fields that are disseminated to avoid fingerprinting and distortion. "

Those fields are reduced by the [cap ratio]. Where the trade is executed in USD, the formula is:

• Cap Ratio = X
• Capped Amount per rule for trade / (absolute value of) Submitted Notional Amount = X
• X * submitted value in field = Disseminated value

If the following fields are populated then they need to be reduced to the equivalent cap amount for dissemination:

Note: for all fields, if populated with all 9s to max value (example, 99999999999999999999.99999), then disseminate without rounding or capping. This is considered a “N/A” value, by the CFTC