The underlying assets of publicly reportable swaps that do not reference or are not economically related to one of the contracts published by the Commission shall be publicly disseminated by limiting the geographic detail of the underlying assets, pursuant to Part 43 – Appendix D, and E. For these swaps, the unique product identifier shall not be disseminated in order to preserve the masking, instead, all of the product fields that are not the underlier will be disseminated along with the information from Part 43-Appendix D, and E.
For off facility swaps in the other commodities Asset Class, the public message must include the additional field [Related Futures Contract] which must be populated with either (1) a value from Part 43 Appendix B list, or (2) the value of “No Related Futures Contract”. Note: the Transaction message must also include this information to be inline with the CFTC Guidebook and should be reported as the public message was reported.
This field allows KOR SDR to validate when to mask the UPI and underlying identifier(s).
For swaps submitted with a value of “No Related Futures Contract” the Reporting Counterparty must provide the masking data in order for the swap to be accurately disseminated. This includes the fields below. Note: this is driven based on the UPI and if there is a single underlier or two.
a. [Commodity swap category] / [Other Commodity swap category] which must be populated with a valid value from Part 43 Appendix D,; and
b. [Commodity region] / [Other Commodity region] which must be populated with a valid value from Part 43 Appendix E1 or E2.
When field [Related Futures Contract] is NOT “No Related Futures Contract” the fields [Reference rate] and [Other reference rate] are disseminated as submitted.
When field [Related Futures Contract] = “No Related Futures Contract” the fields [Reference rate] and [Other reference rate] are disseminated as the submitted values in the applicable fields: "[Commodity swap category] value - [Commodity region] value" , "[Other Commodity swap category] value - [Other Commodity region] value".
References: CFTC Rule(s) §43.4(c), Part 43 Appendix B, D, and E.”
Does Masking apply to On Facility Swaps?
No.
The actual underlying assets shall be Publicly Disseminated for any Publicly Reportable Swap Transaction that references or is Economically Related to one of the contracts published by the Commission, or any Publicly Reportable Swap Transaction executed on or pursuant to the rules of a registered SEF or DCM.
Therefore, when the field [Registered Platform indicator] = True, then [Related Futures Contract] MUST = 'On Platform'' and [Commodity swap category], [Other Commodity swap category], [Commodity region], and [Other Commodity region] must be null.
References: CFTC Rule(s) §43.4(c)(4).