Commodity Futures Trading Commission ♦ Office of Public Affairs ♦ 202-418-5080

Commodity Futures Trading Commission

Office of Public Affairs

Three Lafayette Centre

1155 21st Street, NW

Washington, DC 20581

www.cftc.gov

Proposed Rule on Procedures to Establish Appropriate Minimum Block Sizes 

for Large Notional Off-Facility Swaps and Block Trades; Further Measures to 

Protect the Identities of Parties to Swap Transactions (Reproposal)

The Commodity Futures Trading Commission (Commission) is further proposing rules to group swaps into 

separate swap categories, establish methodologies for setting appropriate minimum block sizes for block trades and 

large notional off-facility swaps in each category, and prevent disclosure of the identities of swap counterparties in 

connection with the real-time public reporting of swap transaction and pricing data.

Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act)

Section 727 of the Dodd-Frank Act amends the Commodity Exchange Act (CEA) by inserting section 2(a)(13). 

Section 2(a)(13) sets out several requirements that are relevant to the Commission’s proposed rules. First, this 

section requires public availability of swap transaction data in such form and at such times as the Commission 

determines appropriate to enhance price discovery. Section 2(a)(13) further requires the Commission to specify 

criteria for determining what constitutes a “large notional swap transaction (block trade)” for the purposes of 

applying time delays for reporting such transactions to the public. Finally, section 2(a)(13) requires the Commission 

to protect the identities and maintain the anonymity of business transactions and market positions of swap 

counterparties.

Further Proposal to Establish Appropriate Minimum Block Sizes and Protect Swap Counterparty 

Identities

On December 7, 2010 the Commission published a notice of proposed rulemaking that proposed: (1) definitions 

for “large notional off-facility swap” and “block trade”; (2) a methodology for determining appropriate minimum 

block sizes that would be subject to time delays for public reporting; and (3) provisions to protect swap 

counterparties by limiting disclosure of transaction information and data, including notional cap sizes. On 

December 20, 2011 the Commission adopted a final rule, limiting establishing time delays for the public 

dissemination of large notional off-facility swaps and block trades, as well as interim notional cap sizes.

In responding to public comments on the proposed rule and in order to effectively implement the framework of the 

final rule, the Commission is further proposing provisions to: (1) specify the criteria for determining swap categories 

and methodologies for determining the appropriate minimum block sizes for large notional off-facility swaps and 

block trades; and (2) provide increased protections for the identities of swap counterparties to large swap 

transactions and certain other commodity swaps, which were not fully addressed in the final rule.

Swap Categories in Each Asset Class

The further proposed rules define specific swap categories within the five asset classes previously established by the 

real-time public reporting final rule: interest rate, credit, equity, foreign exchange, and other commodity. Swaps 

within each asset class are generally grouped based on common risk and liquidity profiles, as determined by the 

Commission.
Commodity Futures Trading Commission ♦ Office of Public Affairs ♦ 202-418-5080

Setting Minimum Block Sizes

The Commission would set appropriate minimum block sizes based on the swap categories within each asset class. 

The Commission’s further proposal would implement a two-period, phased-in approach. The Commission 

proposes to prescribe appropriate minimum block size during an initial period, which would last for a minimum of 

one year. During that year, registered swap data repositories would collect at least one year of reliable data for each 

asset class. The Commission then would analyze and use this data to establish post-initial appropriate minimum 

block sizes for each swap category using a 67-percent notional amount calculation. The Commission proposes to 

update these post-initial appropriate minimum block sizes no less than once a year.

Anonymity Provisions

As noted above, the further proposal establishes measures to protect the identities of swap counterparties and to 

maintain the anonymity of their business transactions and market positions in connection with the public 

dissemination of publicly reportable swap transactions. 

The further proposal would amend existing Commission regulations to establish cap sizes for notional and principal 

amounts that would mask the total size of a swap transaction if it equals or exceeds the appropriate minimum block 

size for a given swap category. The term cap size is defined as the maximum limit of the principal or notional 

amount of a swap that is publicly disseminated. 

The further proposal also would establish limits on the public dissemination of certain publicly reportable swap 

transactions in the other commodity asset class, which have specific delivery or pricing points.