How do I submit block/large notional swaps?

Who's responsibility is it to calculate if a trade qualifies as a block or Large notional swap?

The CFTC Rule Part 43.6(h) specifies that 'If the parties make such an election, the Reporting Counterparty shall notify the SEF or DCM' or 'shall notify the Swap Data Repository'. Therefore, the determination of such elections cannot be made by the SDR. However, KOR will generate reports on the submitted values to confirm they were elected appropriately. Reference: How does KOR verify block/Large notional swap elections?

Part 43: Block Trades and large notional Off-Facility Swaps

Part 43: Required notification

As the required time delay for Public Dissemination is based on the registration designation of the counterparties and if the swap is subject to mandatory clearing, this information is required to be submitted per the KOR SDR Technical Specifications.

Part 43: Block Trade election

Block Trades entered into on a trading system or platform, that is not an order book as defined in CFTC Rule §37.3(a)(3) of a SEF, or pursuant to the rules of a SEF or DCM.

If the parties make such an election, the Reporting Counterparty shall notify the SEF or DCM, as applicable, of the parties' election. The parties to a Publicly Reportable Swap Transaction may elect to have a Publicly Reportable Swap Transaction treated as a Block Trade if such swap:
1. Is executed on the trading system or platform, that is not an order book as defined in CFTC Rule § 37.3(a)(3) of a SEF, or pursuant to the rules of a SEF or DCM; and
2. That has a notional amount at or above the appropriate minimum block size.
The SEF or DCM, as applicable, shall notify the Swap Data Repository of such a Block Trade election when reporting the Swap Transaction and Pricing Data to such Swap Data Repository in accordance with this part. Clients report this via the field [Block trade election indicator].
The SEF or DCM, as applicable, shall not disclose Swap Transaction and Pricing Data relating to a Block Trade subject to the Block Trade election prior to the expiration of the applicable delay set forth in CFTC Rule §43.5(d).

References: CFTC Rule(s) §43.6(h).

Large Notional Off-Facility Swap election

The parties to a Publicly Reportable Swap Transaction that is an Off-Facility Swap and that has a notional amount at or above the Appropriate Minimum Block Size may elect to have the Publicly Reportable Swap Transaction treated as a large notional Off-Facility Swap. If the parties make such an election, the Reporting Counterparty for such Publicly Reportable Swap Transaction shall notify the Swap Data Repository of the Reporting Counterparty's election when reporting the Swap Transaction and Pricing Data in accordance with this part.

Clients report this via the field [Large notional off facility swap election indicator]

References: CFTC Rule(s) §43.6(h)(2).

Part 43: Special Provisions relating to appropriate minimum block sizes and Cap Sizes

The following special rules shall apply to the determination of appropriate minimum block sizes and Cap Sizes. KOR SDR may require information on the swap submission to indicate when special provisions are invoked in order to accurately create compliance reports on Part 43 data.

References: CFTC Rule(s) §43.6(i).

Swaps with optionality

The notional amount of a swap with optionality shall equal the notional amount of the component of the swap that does not include the option component.

Clients report this via the field [Swap With Optionality Notional Amount In USD]

References: CFTC Rule(s) §43.6(i)(1).

Swaps with Composite Reference Prices

The parties to a swap transaction with composite Reference Prices may elect to apply the lowest Appropriate Minimum Block Size or Cap Size applicable to one component Reference Price's swap category of such Publicly Reportable Swap Transaction.

Clients report this via the field [Related Futures Contract].

References: CFTC Rule(s) §43.6(i)(2).

Notional amounts for physical commodity swaps

Unless otherwise specified in CFTC Rule §43.6, the notional amount for a Physical Commodity Swap shall be based on the notional unit measure utilized in the related futures contract or the predominant notional unit measure used to determine notional quantities in the cash market for the relevant, underlying physical commodity.

As the CFTC rule does not reference the ISO quantity unit codes which must be reported, KOR has created their expected mapping table here.

References: CFTC Rule(s) §43.6(i)(3).

Currency conversion

Unless otherwise specified in this part, when the Appropriate Minimum Block Size or 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 1]

References: CFTC Rule(s) §43.6(i)(4).

Aggregation

The aggregation of orders for different accounts in order to satisfy the Appropriate Minimum Block Size or the Cap Size requirement is permitted for Publicly Reportable Swap Transactions only if each of the following conditions is satisfied:

The aggregation of orders is done by a person who:
1. Is a commodity trading advisor registered pursuant to section 4n of the Act, or exempt from such registration under the Act, or a principal thereof, and who has discretionary trading authority or directs Client accounts;
2. Is an investment adviser who has discretionary trading authority or directs Client accounts and satisfies the criteria of §4.7(a)(2)(v); or
3. Is a foreign person who performs a similar role or function as the persons and is subject as such to foreign regulation;
The aggregated transaction is reported pursuant to Part 45 of CFTC rules as a Block Trade or large
The aggregated orders are executed as one swap transaction; and
Aggregation occurs on a DCM or SEF if the swap is listed for trading by a DCM or SEF.

References: CFTC Rule(s) §43.6(i)(6)

Part 43: Information required by the SDR for block and large notional swap elections

The Reporting Counterparty, SEF, or DCM which submits the Part 43 data must include all information for the SDR to verify the calculation of the block or large notional election based on the CFTC designated categories according to the KOR Technical Specifications. This includes information regarding special provisions.

If a trade qualifies for the block or large notional election but the swap is submitted with a value of “False” for the field [Block trade election indicator] or [Large notional off facility swap election indicator], the dissemination will not be delayed.

When are public messages publicly disseminated?

For swaps submitted with a value of “True” for either of the fields [Block trade election indicator] or [Large notional off facility swap election indicator] the Reporting Client is required to submit the field [Component Reference Price Category] with a value applicable to the Asset Class per CFTC Rule §43.6(c), or the applicable version of “Not Covered” per asset class where the underlier is not covered.

For avoidance of doubt, KOR is not responsible for improperly Publicly Disseminated data when the Reporting Counterparty, SEF, or DCM which submitted the data did not provide accurate information.

References: CFTC Rule(s) §43.6(c).