§ 242.825 Core Principle 8—Timely publication of trading information. ( a ) ( 1 ) The security-based swap execution facility shall make public timely information on price, trading volume, and other trading data on security-based swaps to the extent prescribed by the Commission.
( 2 ) The security-based swap execution facility shall be required to have the capacity to electronically capture and transmit and disseminate trade information with respect to transactions executed on or through the facility.
( b ) A security-based swap execution facility shall report security-based swap transaction data as required by §§ 242.900 through 242.909 (Regulation SBSR).
( c ) A security-based swap execution facility shall make available a “Daily Market Data Report” containing the information required in paragraphs (c)(1) and (2) of this section in a manner and timeframe required by this section. ( 1 ) *Contents.* The Daily Market Data Report of a security-based swap execution facility for a business day shall contain the following information for each tenor of each security-based swap traded on that security-based swap execution facility during that business day: ( i ) The trade count (excluding error trades, correcting trades, and offsetting trades);
( ii ) The total notional amount traded (excluding error trades, correcting trades, and offsetting trades);
( iii ) The total notional amount of block trades, after such time as the Commission adopts a definition of “block trade” in § 242.802 of this chapter (Rule 802);
( iv ) The opening and closing price;
( v ) The price that is used for settlement purposes, if different from the closing price; and
( vi ) The lowest price of a sale or offer, whichever is lower, and the highest price of a sale or bid, whichever is higher, that the security-based swap execution facility reasonably determines accurately reflects market conditions. Bids and offers vacated or withdrawn shall not be used in making this determination. A bid is vacated if followed by a higher bid or price and an offer is vacated if followed by a lower offer or price.
( 2 ) *Additional information.* A security-based swap execution facility must record the following information with respect to security-based swaps on that reporting market: ( i ) The method used by the security-based swap execution facility in determining nominal prices and settlement prices; and
( ii ) If discretion is used by the security-based swap execution facility in determining the opening and/or closing ranges or the settlement prices, an explanation that certain discretion may be employed by the security-based swap execution facility and a description of the manner in which that discretion may be employed. Discretionary authority must be noted explicitly in each case in which it is applied (for example, by use of an asterisk or footnote).
( 3 ) *Form of publication.* A security-based swap execution facility shall publicly post the Daily Market Data Report on its website: ( i ) In a downloadable and machine-readable format using the most recent versions of the associated XML schema and PDF renderer as published on the Commission's website;
( ii ) Without fees or other charges;
( iii ) Without any encumbrances on access or usage restrictions; and
( iv ) Without requiring a user to agree to any terms before being allowed to view or download the Daily Market Data Report, such as by waiving any requirements of this paragraph (c)(3). Any such waiver agreed to by a user shall be null and void.
( 4 ) *Timing of publication.* A security-based swap execution facility shall publish the Daily Market Data Report on its website as soon as reasonably practicable on the next business day after the day to which the information pertains, but in no event later than 7 a.m. on the next business day.
( 5 ) *Duration.* A security-based swap execution facility shall keep each Daily Market Data Report available on its website in the same location as all other Daily Market Data Reports for no less than one year after the date of first publication.