How does KOR verify block/Large notional swap elections?

What messages does KOR validate block/LNS elections on?

The verification ONLY applies to Public messages where action type = NEWT and event type is NOT PTNG.

How do I know the logic KOR used to validate my block/LNS election?

KOR saves all the information/values it used to verify the election on the message.

In order for KOR to validate the appropriate block/LNS 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: Initial Block/LNS/Cap Sizes.

KOR then determines if the trade always qualifies for the block/LNS election, never does, or is based on the size of the trade. KOR populates the field: [Component Reference Price Category Block Applicable].

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

For non-commodities:
- [Component reference price category block notional amount]
- [Component reference price category block notional currency]
For commodities:
- [Component reference price category block quantity amount]
- [Component reference price category block quantity unit]

KOR then compares the submitted notional/notional quantity to the assigned value to populate the field [Block LNS qualification] to determine if the swap qualified for the election (e.g., true) or not (e.g., false) using the following logic:

WHEN Component Reference Price Category Block Applicable = "NO BLOCKS" then = false
WHEN Component Reference Price Category Block Applicable = "ALL BLOCK" then = true
WHEN Component Reference Price Category Block Applicable = "PER TRADE" then calculate by trade as below:
WHEN the asset class is "“IR” or “CR”, then
1. WHEN [Notional amount in USD- Leg 1] is populated it is used for comparison,
  1. otherwise use [Notional amount- Leg 1]
2. WHEN [Notional amount in USD- Leg 2] is populated it is used for comparison,
  1. otherwise use [Notional amount- Leg 2]
3. THEN if either are > = [Component reference price category - block notional amount] then [Block LNS qualification] = “True”
4. AND if is < then [Block LNS qualification] = “False”
WHEN [asset class] = “FX”
1. THEN compare the currency value in [Component reference price category - block notional currency] to [Notional amount currency- Leg 1] and [Notional amount currency- Leg 2]
2. AND if = to leg 2 then use [Notional amount- Leg 2],
  1. otherwise if = to leg 1 then use [Notional amount- Leg 1]
3. THEN if compared value is > = [Component reference price category - block notional amount] then [Block LNS qualification] = “True”
4. AND if is < then [Block LNS qualification] = “False”
WHEN [asset class] = “CO”
1. WHEN [Total notional quantity in converted block unit-Leg 1] is populated it is used for comparison,
  1. otherwise use [Total notional quantity -Leg 1]
2. WHEN [Total notional quantity in converted block unit-Leg 2] is populated it is used for comparison,
  1. otherwise use [Total notional quantity -Leg 2]
3. AND if any are > = [Component reference price category - block notional quantity] then insert “True” in field [Block LNS qualification], if is < then insert “False”

What if my commodities trade is executed in a unit that is not the same as the published block/LNS unit?

When [Component reference price category - block quantity unit] is populated and does NOT = the value in [Quantity unit of measure-Leg 1] then the field [Quantity unit of measure in converted block unit-Leg 1] must be populated with the converted quantity unit using the CFTC block size published unit.

(same applies to leg 2)

How do I verify I am reporting my block/LNS elections correctly?

Reference: Invalid Block Size Report

It is the duty of the SEF, DCM, or their third-party representative to review these reports and identify any systematic issues in reporting that need to be resolved and make necessary updates as soon as practicable.