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      How does KOR verify block/Large notional swap elections? - Post Initial

      What messages does KOR validate block/LNS elections on?

      The verification ONLY applies to Public messages except where event type is 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: Post 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:

      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:

      1. WHEN Component Reference Price Category Block Applicable = "NO BLOCKS" then = false
      2. WHEN Component Reference Price Category Block Applicable = "ALL BLOCK" then = true
      3. WHEN Component Reference Price Category Block Applicable = "PER TRADE" then calculate by trade as below:
      4. WHEN asset class = any
        1. WHEN [Notional amount in USD- Leg 1]  is populated AND is >= [Notional amount in USD- Leg 2] it is used for comparison,
          1. otherwise use [Notional amount- Leg 1]

        2. WHEN [Notional amount in USD- Leg 2] is populated AND is >= [Notional amount in USD- Leg 1] 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"

      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.