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COMMODITY FUTURES TRADING COMMISSION

17 CFR Part 43

RIN 3038-AE60

Amendments to the Real-Time Public Reporting Requirements

AGENCY: Commodity Futures Trading Commission.

ACTION: Notice of proposed rulemaking.

SUMMARY: The Commodity Futures Trading Commission (“Commission” or 

“CFTC”) is proposing revisions to its regulations setting forth the real-time public

reporting and dissemination requirements for swap data repositories (“SDRs”),

derivatives clearing organizations (“DCOs”), swap execution facilities (“SEFs”),

designated contract markets (“DCMs”), swap dealers (“SDs”), major swap participants

(“MSPs”), and swap counterparties that are neither SDs nor MSPs. The Commission is 

also proposing revisions that, among other things, change the “block trade” definition, 

change the block swap categories, update the block thresholds and cap sizes, and adjust

the delay for the public dissemination of block transactions.

DATES: Comments must be received on or before [INSERT DATE 90 DAYS AFTER 

DATE OF APPROVAL OF THE PROPOSAL BY THE COMMISSION].

ADDRESSES: You may submit comments, identified by RIN number 3038-AE60, by 

any of the following methods:

CFTC website: comments.cftc.gov. Follow the instructions for submitting 

comments through the Comments Online process on the website.
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Mail: Send to Christopher Kirkpatrick, Secretary of the Commission, Commodity 

Futures Trading Commission, Three Lafayette Centre, 1155 21st Street, NW, 

Washington, DC 20581.

Hand Delivery/Courier: Same as Mail, above.

Federal eRulemaking Portal: www.regulations.gov. Follow the instructions for 

submitting comments.

Please submit your comments using only one method.

All comments must be submitted in English, or if not, accompanied by an English 

translation. Comments will be posted as received to www.cftc.gov. You should submit 

only information that you wish to make available publicly. If you wish the Commission 

to consider information that you believe is exempt from disclosure under the Freedom of 

Information Act (“FOIA”), a petition for confidential treatment of the exempt 

information may be submitted according to the procedures established in § 145.9 of the 

Commission’s regulations.1

The Commission reserves the right, but shall have no obligation, to review, prescreen, filter, redact, refuse or remove any or all of your submission from www.cftc.gov

that it may deem to be inappropriate for publication, such as obscene language. All 

submissions that have been redacted or removed that contain comments on the merits of 

the rulemaking will be retained in the public comment file and will be considered as 

 1 17 CFR 145.9. Commission regulations referred to herein are found at 17 CFR chapter I.
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required under the Administrative Procedure Act and other applicable laws, and may be 

accessible under the FOIA.

FOR FURTHER INFORMATION CONTACT:

David E. Aron, Special Counsel, (202) 418–6621, daron@cftc.gov, Division of Market 

Oversight; Meghan Tente, Acting Associate Director, 202–418–5785, mtente@cftc.gov, 

Division of Market Oversight; Owen J. Kopon, Special Counsel, (202) 418-5360, 

okopon@cftc.gov, Division of Swap Dealer and Intermediary Oversight; Matthew Jones, 

Special Counsel, (202) 418-6710, majones@cftc.gov, Division of Market Oversight; John 

Roberts, Senior Research Analyst, (202) 418-5943, jroberts@cftc.gov, Office of the 

Chief Economist; in each case at the Commodity Futures Trading Commission, Three 

Lafayette Centre, 1155 21st Street, NW, Washington, DC 20581.

SUPPLEMENTARY INFORMATION:

TABLE OF CONTENTS

I. Background and Introduction

A. Reporting Rules Review

B. Statutory and Regulatory Framework for Real-Time Public Reporting

II. Proposed Amendments to Part 43

A. § 43.1 – Purpose, Scope, and Rules of Construction

B. § 43.2 – Definitions

C. § 43.3 – Method and Timing for Real-Time Public Reporting

D. § 43.4 – Swap Transaction and Pricing Data to be Publicly Disseminated 

in Real-Time

E. § 43.5 – Time Delays for Public Dissemination of Swap Transaction and

Pricing Data

F. § 43.6 – Block Trades

G. § 43.7 – Delegation of Authority

III. Swap Transaction and Pricing Data Reported to and Publicly Disseminated by 

Swap Data Repositories

A. General

B. Swap Transaction and Pricing Data Elements
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IV. Compliance Date

V. Related Matters

A. Regulatory Flexibility Act

B. Paperwork Reduction Act

C. Cost-Benefit Considerations

D. Antitrust Considerations

VI. Text of Proposed Rules

I. Background and Introduction

A. Reporting Rules Review

The Commission’s real-time public reporting regulations were adopted in 2012 

and are located in part 43 of the Commission’s regulations. The 2012 rulemaking set 

forth regulations that require swap counterparties, SEFs, and DCMs to report publicly 

reportable swap transactions (“PRST”) to SDRs.

2 In addition, the 2012 RTR Final Rule 

set forth regulations that require SDRs to publicly disseminate swap transaction and 

pricing data (“STAPD”) in real-time.3 In 2013, the Commission adopted a block trade 

rule4 to implement the statutory requirements of Commodity Exchange Act (“CEA”)

section 2(a)(13)(E)(i)-(iv).5

Several years ago, the Division of Market Oversight (“DMO”) conducted a 

review of the Commission’s swap reporting rules. After completing that review, on July 

 2 Real-Time Public Reporting (“RTR”) of Swap Transaction Data, 77 FR 1182 (Jan. 9, 2012) (“2012 RTR 

Final Rule”); 17 CFR 43.3(a)(1)-(3) and (b)(1). 3 See id.; 17 CFR 43.3(b)(2). 4 Procedures to Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps and 

Block Trades, 78 FR 32866 (May 31, 2013) (“Block Trade Rule”).

5 CEA section 2(a)(13)(E)(i)-(iv). These CEA sections contain provisions (e.g., time delays) that the 

Commission must include in its required rulemakings governing public reporting of STAPD for the 

categories of swaps set forth in CEA sections 2(a)(13)(C)(i) and (ii), 7 U.S.C. 2(a)(13)(C)(i) and (ii).
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10, 2017, DMO announced6 its Roadmap to Achieve High Quality Swaps Data 

(“Roadmap”),7 consisting of a comprehensive review to, among other things: “[(i)]

Evaluate real-time reporting regulations in light of goals of liquidity, transparency, and 

price discovery in the swaps market[; and (ii)] Address ongoing issues of reporting 

packages, prime brokerage, allocations, risk mitigation services/compressions, EFRPs, 

and post-priced swaps by clarifying obligations and identifying those distinct types of 

transactions to increase the utility of the real-time public tape.

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In April 2019, the Commission adopted its first notice of proposed rulemaking 

(“NPRM”) as part of the Roadmap review.9 The 2019 Part 49 NPRM proposes 

amendments to streamline and clarify the Commission’s SDR regulations in parts 23, 43, 

45, and 49. Among other things, the 2019 Part 49 NPRM proposes modifications to the 

existing requirements on SDRs for confirming the accuracy of swap data with swap 

counterparties, and proposes requiring reporting counterparties to verify the accuracy of 

swap data.

The Commission has received extensive feedback that addressed many swap 

reporting topics.10 In connection with the Roadmap review, DMO conducted extensive 

 6 See CFTC Letter 17-33, DMO Announces Review of Swap Reporting Rules in Parts 43, 45, and 49 of 

Commission Regulations (July 10, 2017), available at

http://www.cftc.gov/idc/groups/public/@lrlettergeneral/documents/letter/17-33.pdf. 7 The Roadmap is available at 

https://www.cftc.gov/sites/default/files/idc/groups/public/@newsroom/documents/file/dmo_swapdataplan0

71017.pdf.

8 Roadmap at 11.

9 See generally Certain Swap Data Repository and Data Reporting Requirements, 84 FR 21044 (May 13, 

2019) (“2019 Part 49 NPRM”).

10 Comment letters are available at 

https://comments.cftc.gov/PublicComments/CommentList.aspx?id=1824.
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outreach with commenters. DMO held calls and meetings, and reviewed the comment 

letters to better understand the challenges facing market participants and their suggestions 

on how to improve real-time public reporting. Comments raised on specific issues are 

discussed in the relevant sections throughout this release.

After reviewing the Roadmap feedback, the Commission is proposing revisions to 

the following aspects of the part 43 real-time public reporting regulations: the method 

and timing of real-time reporting and public dissemination, generally and for specific 

types of swaps; the delay and anonymization of the public dissemination of block trades 

or large notional trades; the standardization and validation of real-time reporting fields; 

the delegation of specific authority to Commission staff; and the clarification of specific 

real-time reporting questions and common issues.

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B. Statutory and Regulatory Framework for Real-Time Public Reporting

Section 2(a)(13)(B) of the CEA authorizes the Commission to make STAPD

available to the public in such form and at such times as the Commission determines 

appropriate to enhance price discovery. Section 2(a)(13)(C) requires that the Commission 

publish rules for the public availability of STAPD. Section 2(a)(13)(D) permits the 

Commission to require registered entities to publicly disseminate STAPD.

In 2012, the Commission adopted part 43 to implement rules providing for the 

public availability of STAPD as directed by section 2(a)(13).

12 Section 2(a)(13)(E) 

required that the Commission’s rules contain provisions for: (i) ensuring the STAPD

 11 At the same time, the Commission is proposing a separate NPRM for publication in the Federal Register 

amending the part 45 swap data reporting regulations (“2020 Part 45 NPRM”).

12 2012 RTR Final Rule.
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publicly disseminated does not identify the swap counterparties; (ii) specifying the 

criteria for large notional swaps (block trades), for particular markets and contracts; (iii) 

specifying an appropriate time delay for reporting block trades to the public; and (iv) 

taking into account whether the public disclosure will materially reduce market liquidity.

In 2013, the Commission adopted the Block Trade Rule to further implement the 

statutory requirements of CEA section 2(a)(13)(E)(i)-(iv).13

Part 43 currently requires reporting parties to report PRSTs to SDRs as soon as 

technologically practicable (“ASATP”) after execution.

14 Part 43 defines a PRST as: (i) 

any executed swap that is an arm’s-length transaction between two parties that results in a 

corresponding change in the market risk position between the two parties; or (ii) any 

termination, assignment, novation, exchange, transfer, amendment, conveyance, or 

extinguishing of rights or obligations of a swap that changes the pricing of the swap.15

Part 43 currently defines execution as an agreement by the parties (whether orally, 

in writing, electronically, or otherwise) to the terms of a swap that legally binds the 

parties to such terms under applicable law.16 In addition, execution is defined to occur 

simultaneously with or immediately following the affirmation of the swap.17

For a PRST executed on or pursuant to the rules of a SEF or DCM, a party to such 

transaction satisfies its requirement to report the transaction to an SDR by executing it on 

 13 See Block Trade Rule. 14 17 CFR 43.3(a). 15 17 CFR 43.2. 16 Id. 17 Id.
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the SEF or DCM.18 For off-facility transactions, § 43.3(a)(3) specifies the reporting party 

for PRSTs and requires the reporting party to report the swap to an SDR ASATP 

following execution.

SDRs are required to ensure that STAPD is publicly disseminated ASATP after 

receiving it from a SEF, DCM, or reporting party, unless it is subject to a time delay

described in § 43.5, in which case the PRST must be publicly disseminated in the manner 

described in § 43.5.

19 Regulation 43.3(b)(3), the “embargo rule,” generally prohibits 

SEFs, DCMs, SDs, and MSPs from disseminating STAPD to their customers and 

participants prior to the public dissemination of such data to an SDR.

The STAPD to be disseminated in real-time consists of the data elements listed in 

appendix A to part 43.20 SDRs are permitted to request additional information from 

reporting parties, SEFs, and DCMs, but may not publicly disseminate it.21 SDRs must 

comply with other regulations concerning how STAPD is disseminated, including 

ensuring they do not disclose the identities of the counterparties;22 restrictions on 

disclosing underlying assets for certain swaps in the other commodity asset class;23 and 

rounding and capping notional or principal amounts.24

With respect to the delay for block trades, the Commission assigned swap 

contracts to “swap categories” in the Block Trade Rule for the purpose of applying a 

 18 17 CFR 43.3(a)(2).

19 17 CFR 43.3(b)(2). 20 17 CFR 43.4(b). 21 17 CFR 43.4(c). 22 17 CFR 43.4(d)(1). 23 17 CFR 43.4(d)(4). 24 17 CFR 43.4(g)-(h).
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common appropriate minimum block size (“AMBS”) to different swap transactions. To 

create these swap categories, the Commission divided swaps into five asset classes: 

interest rates; equity; credit; foreign exchange; and other commodities. The Commission 

then split these asset classes into the various swap categories.25

The Commission phased-in the time delays for the public dissemination of block 

trades based on four factors: (1) whether the swap is executed on or pursuant to the rules 

of a SEF or DCM; (2) the swap’s asset class; (3) whether the swap is mandatorily 

cleared; and (4) whether at least one counterparty is an SD or MSP.26

The initial time delays were: 30 minutes for blocks executed on a SEF or DCM;27

30 minutes for large notional off-facility swaps (“LNOFs”)28 subject to mandatory 

clearing with a SD/MSP counterparty;29 4 hours for LNOFs subject to mandatory 

clearing with no SD/MSP counterparty;30 1 hour for LNOFs not subject to mandatory 

clearing in the interest rate, credit, foreign exchange, or equity asset classes with at least 

one SD/MSP counterparty;31 4 hours for LNOFs in the other commodity asset class not 

 25 17 CFR 43.6(b). 26 17 CFR 43.5. 27 17 CFR 43.5(c)(2) and (d)(1). After the first year, the delay reduced to 15 minutes. 17 CFR 43.5(d)(2). 28 Large notional off-facility swaps are off-facility swaps with notional or principal amounts at or above the 

AMBS applicable to such PRST and that are not a block trade as defined in § 43.2. 17 CFR 43.2 (definition 

of “large notional off-facility swap”).

29 17 CFR 43.5(c)(3) and (e)(2)(i). After the first year, the delay reduced to 15 minutes. 17 CFR 

43.5(e)(2)(ii).

30 17 CFR 43.5(c)(3) and (e)(3)(i). During year 2, the time delay reduced to 2 hours. 17 CFR 43.5(e)(3)(ii). 

After year 2, the time delay reduced to 1 hour. 17 CFR 43.5(e)(3)(iii). 31 17 CFR 43.5(c)(4) and (f)(1). After the first year, the time delay reduced to 30 minutes. 17 CFR 

43.5(f)(2).
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subject to mandatory clearing with at least one SD/MSP counterparty;32 and 48 business 

hours for LNOFs in all asset classes not subject to mandatory clearing for which neither 

counterparty is an SD/MSP.33 The Commission has not established post-initial AMBS 

under § 43.6(f)(1).

II. Proposed Amendments to Part 43

A. § 43.1 – Purpose, Scope, and Rules of Construction

The Commission is proposing several non-substantive changes to § 43.1. The 

Commission is proposing to remove § 43.1(b). Regulation 43.1(b)(1), titled “Scope,”

states that part 43 applies to all swaps, as defined in CEA § 1a(47),34 and lists certain 

categories of swaps as examples. Regulation 43.1(b)(2) states that part 43 applies to 

registered entities and parties to a swap and lists certain categories of swap parties. The 

Commission preliminarily believes that these provisions are superfluous, given that the 

scope of what part 43 covers is clear from various CEA sections and the operative 

provisions of part 43.

The Commission also proposes to redesignate current § 43.1(c), entitled “Rules of 

construction,” as § 43.1(b). The first sentence of § 43.1(c) currently reads as follows: 

“The examples in this part and in appendix A to this part are not exclusive.” The 

Commission proposes to delete the reference to “appendix A” to reflect that the 

 32 17 CFR 43.5(c)(5) and (g)(1). After the first year, the time delay reduced to 2 hours. 17 CFR 43.5(g)(2) 

and (g)(3).

33 17 CFR 43.5(c)(6) and (h)(1). During year 2, the time delay reduced to 36 business hours. 17 CFR 

43.5(h)(2). After year 2, the time delay reduced to 24 business hours. 17 CFR 43.5(h)(3).

34 7 U.S.C. 1a(47).
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Commission proposes to replace appendix A with new appendix C.

35 The Commission is 

not proposing to remove this full requirement, however, in case there are other places 

within part 43 in which market participants would rely on examples.

The Commission also proposes to delete § 43.1(d), entitled “Severability.”

Regulation 43.1(d) currently provides that “If any provision of this part, or the 

application thereof to any person or circumstance, is held invalid, such invalidity shall 

not affect other provisions or application of such provision to other persons or 

circumstances which can be given effect without the invalid provision or application.” 

The Commission believes that a severability provision is not appropriate because, without 

knowing which provision a future court might hold invalid, it is unclear that the 

Commission would interpret all related remaining provisions of part 43 as continuing to 

be effective without the invalid provision(s), and the Commission wishes to maintain the 

flexibility to make that determination at the time of any such holding.

B. § 43.2 – Definitions

The Commission is proposing several changes to § 43.2. The Commission is 

proposing to add a number of new definitions, amend certain existing definitions, and 

remove certain definitions. Within each of those categories, because § 43.2 is arranged 

alphabetically, the Commission discusses its proposed changes to § 43.2 in that order as 

well, except as otherwise noted.

 35 As discussed in section II.E.3., the Commission is proposing to delete appendix C in connection with 

changes to the block delays. In its place, the Commission is proposing to update the list of STAPD 

elements in current appendix A and move them to appendix C. At the same time, DMO is publishing draft 

technical specifications on www.cftc.gov for comment.
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Currently, § 43.2 does not have lettered paragraphs. The Commission is proposing 

to add new paragraphs (a) and (b) to § 43.2. Proposed new paragraph (a) would contain 

all of the definitions in current § 43.2, as the Commission proposes to modify them. 

Proposed new paragraph (b) would provide that terms not defined in part 43 have the 

meanings assigned to those terms in § 1.3 of the Commission’s regulations.

1. Proposed New Definitions

The Commission is proposing to add a definition of “execution date” to § 43.2. As 

proposed, “execution date” would mean the date, determined by reference to eastern 

time, on which swap execution has occurred. This proposed new definition is used in a 

discussion of proposed changes to the reporting deadline for post-priced swaps (“PPSs”)

in section II.C.2. below.

The Commission is proposing to add a definition of “post-priced swap” to § 43.2. 

As proposed, a “post-priced swap” would mean an off-facility swap for which the price 

has not been determined at the time of execution. This proposed new definition is used in 

a discussion of proposed changes to reporting deadlines for PPSs in section II.C.2. below.

The Commission is proposing to add a definition of “reporting counterparty.” The 

Commission notes that the definition itself would be the same as the current definition of 

“reporting party” in § 43.2. This proposed new definition is used in a discussion of 

proposed changes to the § 43.3 regulations for the method and timing of real-time public 

reporting in section II.C.1. below.

The term “swap execution facility” is used throughout parts 43 and 45. While part 

45 provides a definition of “swap execution facility,” no such definition exists in part 43. 
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Therefore, in order to harmonize parts 43 and 45, the Commission is proposing to add a 

definition of “swap execution facility” in part 43. As proposed, “swap execution facility” 

means a trading system or platform that is a swap execution facility as defined in CEA 

section 1a(50) and in § 1.3 of this chapter and that is registered with the Commission 

pursuant to CEA section 5h and § 37 of this chapter. The proposed definition reflects the 

proposed non-substantive minor technical changes that are proposed to the definition of 

“swap execution facility” in the concurrent part 45 proposal. 

The Commission is proposing to add a definition of “swap transaction and pricing 

data” to § 43.2. As proposed, “swap transaction and pricing data” means all data for a 

swap in appendix C to part 43 required to be reported or publicly disseminated pursuant 

to part 43. The Commission believes that providing a definition for the type of data 

addressed in part 43 should help distinguish between the different types of data reported 

pursuant to the different reporting regulations.

The Commission is also proposing to add the following six definitions to § 43.2: 

“mirror swap;” “pricing event;” “prime broker;” “prime brokerage agency arrangement;”

“prime brokerage agent;” and “trigger swap.” These proposed definitions are all related 

to swaps entered into by prime brokers. Because all of these six proposed definitions are 

used in the text of proposed § 43.3(a)(6) or are used in one or more of the proposed 

definitions that are in turn used in proposed § 43.3(a)(6), all of the six proposed 

definitions are set forth and discussed in section II.C.4. below.

2. Proposed Amendments to Existing Definitions
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The Commission is proposing non-substantive ministerial changes to the 

following definitions in § 43.2: “as soon as technologically practicable;” “asset class;” 

“novation;” “other commodity;” and “reference price.”

The Commission is also proposing to amend the definition of “appropriate 

minimum block size” in § 43.2. Currently, § 43.2 defines “appropriate minimum block 

size” to mean the minimum notional or principal amount for a category of swaps that 

qualifies a swap within such category as a block trade or large notional off-facility swap. 

This proposed amended definition is used in a discussion of proposed changes to the § 

43.5(a) regulations for the time delays for the public dissemination of STAPD in section 

II.E.1. below.

The Commission is proposing to amend the definition of “block trade” in § 43.2. 

Currently, § 43.2 defines “block trade” to mean a PRST that: (1) involves a swap that is 

listed on a registered SEF or DCM; (2) occurs away from the registered SEF’s or DCM’s 

trading system or platform and is executed pursuant to the registered SEF’s or DCM’s 

rules and procedures; (3) has a notional or principal amount at or above the AMBS

applicable to such swap; and (4) is reported subject to the rules and procedures of the 

registered SEF or DCM and the rules described in part 43, including the appropriate time 

delay requirements set forth in § 43.5.
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In November 2018, the Commission issued a comprehensive proposal to amend 

the SEF regulatory framework.36 Among other things, the 2018 SEF NPRM proposed to 

amend the definition of “block trade” as part of the proposal’s holistic approach to 

amending the SEF regulatory framework. Given the complex, expansive, and 

comprehensive nature of the 2018 SEF Proposal, however, the Commission continues to 

evaluate it.

In the interim, in order to provide regulatory and legal certainty to SEFs and 

market participants, the Commission recently proposed to address certain outstanding noaction relief, including relief related to block trades that SEFs and market participants 

have operated under for several years.37 In particular, in the 2020 SEF NPRM, the 

Commission proposed an amendment to condition (2) of the block trade definition that

would read as follows: “(2) Is executed on the trading system or platform, that is not an 

order book as defined in § 37.3(a)(3), of a registered [SEF] or occurs away from a 

registered [SEF]’s or [DCM]’s trading system or platform and is executed pursuant to the 

registered [SEF]’s or [DCM]’s rules and procedures[.]”38 While the Commission is 

proposing additional amendments to the “block trade” definition in this NPRM, this 

 36 See Swap Execution Facilities and Trade Execution Requirement, 83 FR 61946 (Nov. 30, 2018) (“2018 

SEF NPRM”). 

37 See Swap Execution Facility Requirements and Real-Time Reporting Requirements, 85 FR 9407 (Feb. 

20, 2020)(“2020 SEF NPRM”).

38 In the 2020 SEF NPRM, the Commission explained that (1) “permitting execution of block trades on a 

SEF’s non-[o]rder [b]ook trading systems or platforms promotes the statutory SEF goal of promoting the 

trading of swaps on SEFs” and (2) “for swap block trades that are [intended to be cleared] and executed on 

a SEF’s non-[o]rder [b]ook trading system or platform, the Commission believes that the proposed revised 

definition would (i) allow [futures commission merchants (“FCMs”)] to conduct pre-execution credit 

screenings in accordance with § 1.73; and (ii) allow SEFs to facilitate those screenings in accordance with 

the Commission’s proposed requirement under § 37.702(b).” 2020 SEF NPRM at 9419.
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NPRM is consistent with the proposed amendments to the definition of “block trade” 

under the 2020 SEF NPRM.

The Commission is proposing to create a two part definition of “block trade” in § 

43.2. Paragraph (3) of the current definition of “block trade”39 would be incorporated into 

paragraph (1) of the “block trade” definition, which would apply to “off-facility 

swaps.”40 The proposed “block trade” definition from the 2020 SEF NPRM, which would 

apply to swaps that are not “off-facility swaps” and that have specified connections to a 

SEF or a DCM, would become paragraph (2) of the proposed “block trade” definition in 

this NPRM.41 Moreover, the Commission believes these proposed changes would

eliminate the need for separate definitions of block trades and large notional off-facility 

 39 This paragraph currently reads “Has a notional or principal amount at or above the appropriate minimum 

block size applicable to such swap[.]”

40 As proposed, paragraph (1) of the “block trade” definition would read: “(1) With respect to an off-facility 

swap, a publicly reportable swap that has a notional or principal amount at or above the appropriate 

minimum block size applicable to such swap[.]” The Commission is also proposing to make minor changes 

to the term “off-facility swap,” as discussed below in this section. 41 As proposed, paragraph (2) of the “block trade” definition would read:

(2) With respect to a swap that is not an off-facility swap, a 

publicly reportable swap that:

(a) Involves a swap that is listed on a swap execution facility or 

designated contract market;

(b) Is executed on the trading system or platform, that is not an order 

book as defined in § 37.3(a)(3), of a swap execution facility or occurs 

away from a swap execution facility’s or designated contract market’s 

trading system or platform and is executed pursuant to the swap 

execution facility’s or designated contract market’s rules and 

procedures;

(c) Has a notional or principal amount at or above the appropriate 

minimum block size applicable to such swap; and

(d) Is reported subject to the rules and procedures of the swap 

execution facility or designated contract market and the rules described 

in this part, including the appropriate time delay requirements set forth 

in § 43.5.
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swaps.

42 Therefore, as discussed below in section II.B.3., the Commission is removing 

the definition of large notional off-facility swaps from its regulations.

The Commission is proposing to amend the definition of “embedded option” in § 

43.2 by removing the reference to “confirmation” at the end of the current definition.43

As proposed, “embedded option” would mean “any right, but not an obligation, provided 

to one party of a swap by the other party to the swap that provides the party holding the 

option with the ability to change any one or more of the economic terms of the swap.” As 

discussed below in section II.B.3., the Commission is proposing to remove references to 

confirmations in part 43.

The Commission is proposing to amend the definition of “execution” in § 43.2 by 

replacing the reference to execution occurring “orally, in writing, electronically, or 

otherwise” with “by any method” to shorten the definition without substantively altering 

it.

44 In addition, the Commission is proposing to remove the phrase that execution 

“occurs simultaneous with or immediately following the affirmation of the swap.”45 As 

proposed, “execution” would mean “an agreement by the parties, by any method, to the 

terms of a swap that legally binds the parties to such swap terms under applicable law.”

 42 See also n. 42, supra (noting the Commission’s belief that the 2020 SEF NPRM would promote the 

statutory goal of promoting trading on SEFs and help to facilitate the pre-execution credit screening by 

SEFs and FCMs for swap block trades intended to be cleared). 43 Embedded option is currently defined as “any right, but not an obligation, provided to one party of a 

swap by the other party to the swap that provides the party holding the option with the ability to change any 

one or more of the economic terms of the swap as those terms previously were established at confirmation 

(or were in effect on the start date).” 17 CFR 43.2.

44 Execution is currently defined as “an agreement by the parties (whether orally, in writing, electronically, 

or otherwise) to the terms of a swap that legally binds the parties to such swap terms under applicable law. 

Execution occurs simultaneous with or immediately following the affirmation of the swap.” 17 CFR 43.2.

45 As explained in the following section II.B.3., the Commission is proposing to remove references to 

“affirmation” in § 43.2 because affirmation is not currently used in any of the part 43 regulations.
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The Commission is proposing to amend the definition of “off-facility swap” in § 

43.2 by removing the reference to “publicly reportable” and “registered.”46 The 

Commission is proposing to remove the requirement that the swap be publicly reportable 

because determining whether a swap transaction is an off-facility swap depends only on 

where a swap was executed; whether it is also a PRST is irrelevant. The Commission is 

proposing to remove the reference to “registered” for the reasons discussed below in 

section II.C.1.a.

The Commission is proposing to amend the definition of “public dissemination 

and publicly disseminate” in § 43.2. Currently, § 43.2 defines “public dissemination and 

publicly disseminate” as to publish and make available STAPD in a non-discriminatory 

manner, through the internet or other electronic data feed that is widely published and in 

machine-readable electronic format. Separately, current § 43.3(d)(1) requires that SDRs 

“publicly disseminate” STAPD in a consistent, usable, and machine-readable electronic 

format that allows the data to be downloaded, saved, and analyzed.

The Commission is concerned that the definition of “public dissemination and 

publicly disseminate” currently varies enough from § 43.3(d)(1) to create ambiguity for 

SDRs as to the format they must use in publicly disseminating STAPD. For instance, the 

definition of “publicly disseminate” requires that access be non-discriminatory, but the 

requirement for SDRs to “publicly disseminate” STAPD in § 43.3(d)(1) does not 

explicitly require that access be non-discriminatory.

 46 Off-facility swap is currently defined as “any [PRST] that is not executed on or pursuant to the rules of a 

registered swap execution facility or designated contract market.” 17 CFR 43.2.
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Therefore, the Commission is proposing to re-locate the qualification in current § 

43.3(d)(1) that SDRs publicly disseminate STAPD in a “consistent, usable, and machinereadable electronic format that allows the data to be downloaded, saved, and analyzed” to 

the definition of “public dissemination and publicly disseminate” in § 43.2.

47 As revised, 

the definition of “public dissemination and publicly disseminate” would mean “to make 

freely available and readily accessible to the public [STAPD] in a non-discriminatory 

manner, through the internet or other electronic data feed that is widely published.” Such 

public dissemination shall be made in a consistent, usable, and machine-readable 

electronic format that allows the data to be downloaded, saved, and analyzed.”48

The Commission is proposing to amend the definition of “trimmed data set” in § 

43.2 by changing the standard deviation used in the calculation of the trimmed data set 

from four to two for the “other commodity” asset class, and from four to three for all 

other asset classes.49 This proposed amended definition is used in a discussion of 

proposed changes to the § 43.6(c) regulations for determining AMBSs and cap sizes

discussed in section II.F.2. below.

3. Proposed Removal of Definitions

 47 As discussed below in section II.C.8., the Commission is proposing to remove current § 43.3(d)(1) in 

conjunction with moving the substance of the requirement to the definition of “publicly disseminate.” 48 The revised definition of “public dissemination and publicly disseminate” is also discussed below in 

section II.C.7. with respect to the responsibilities of SDRs to make publicly disseminated STAPD available 

to the public.

49 Trimmed data set is currently defined as “a data set that has had extraordinarily large notional 

transactions removed by transforming the data into a logarithm with a base of 10, computing the mean, and 

excluding transactions that are beyond four standard deviations above the mean.” 17 CFR 43.2.
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The Commission is proposing to remove the definition of “Act” from § 43.2

because the Commission preliminarily believes the definition of “Act” is unnecessary in 

part 43 because the term is defined in § 1.3.

The Commission is proposing to remove the definition of “business day” from § 

43.2 because the Commission preliminarily believes that the definition of “business day” 

is unnecessary in part 43 because it is defined in § 1.3. Further, the Commission is 

proposing to remove the definition of “business hours” because it believes the definition 

of “business hours” would no longer be necessary as a result of the Commission’s 

proposal to remove references to “business hours” in the § 43.5 regulations for the timing 

delays for block trades. Those proposed changes are discussed below in section II.E.

The Commission is proposing to remove from § 43.2 the “confirmation” 

definition and the following related definitions: “affirmation” and “confirmation by 

affirmation.” The Commission believes these definitions are unnecessary in part 43, and 

have created confusion as the terms are not used in any of the regulations in part 43.

The Commission is proposing to remove from § 43.2 the definition of “executed.” 

The Commission believes the current definition is vague. In addition, the Commission 

believes the proposed definition for “execution date,” discussed above in section II.B.1.

would provide the specificity that the current “executed” definition lacks.

The Commission is proposing to remove from § 43.2 the definition of “real-time 

public reporting.” Currently, § 43.2 defines “real-time public reporting” as “the reporting 

of data relating to a swap transaction, including price and volume, [ASATP] after the 

time at which the swap transaction has been executed.” The CEA currently already 
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defines “real-time public reporting” as “to report data relating to a swap transaction, 

including price and volume, [ASATP] after the time at which the swap transaction has 

been executed,”50 to avoid creating confusion with the redundant definition in part 43.

The Commission is proposing to remove the definition of “reporting party” 

because it is proposing to add a definition of “reporting counterparty” to § 43.2 that 

would be the same as the current definition of “reporting party” in § 43.2, as discussed 

above in section II.B.1.

The Commission is proposing to remove the following definitions from § 43.2 as 

a result of proposed changes to §§ 43.5 and 43.6 for block trades and large notional offfacility swaps: “futures related swap,” “large notional off-facility swap,” “major 

currencies,” “non-major currencies,” and “super-major currencies.” Those proposed 

changes are discussed below in sections II.E. and II.F.

The Commission is proposing to remove the following definitions from § 43.2 as 

a result of proposed changes to simplify the definition of “novation:” “remaining party,” 

“transferee,” and “transferor.”

The Commission is proposing to remove the “unique product identifier” (“UPI”)

definition from § 43.2. “Unique product identifier” is currently only used in § 43.4(e). 

The Commission is proposing to remove the reference to UPI in § 43.4(e), which is 

discussed below in section II.D.1. Therefore, the Commission believes the definition of 

UPI in § 43.2 is no longer necessary.

 50 7 U.S.C. 2(a)(13)(A).
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The Commission is proposing to remove the definition of “widely published” 

from § 43.2. “Widely published” means to publish and make available through electronic 

means in a manner that is freely available and readily accessible to the public. “Widely 

published” is currently referenced in the definition for “public dissemination and publicly 

disseminate” as the standard by which SDRs must publish data.51 The Commission 

believes that the term “widely published” has a clear meaning and that the definition 

therefore is unnecessary and may cause confusion.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to 

§ 43.2. The Commission requests specific comment on the following:

(1) Does the Commission’s proposed definition of “execution date” present problems for 

SEFs, DCMs, SDRs, or reporting counterparties? Should the Commission instead adopt a 

definition that aligns with other regulations, including, for instance, the definition of “day 

of execution” in § 23.501(a)(5)(i)?52

C. § 43.3 – Method and Timing for Real-Time Public Reporting

1. § 43.3(a)(1)-(3) – Method and Timing for Reporting Off-Facility Swaps and Swaps 

Executed on or Pursuant to the Rules of a SEF or a DCM

 51 The term “widely published” is also used in current § 43.6(g)(4) for currency conversions. 52 For the purposes of § 23.501, “day of execution” means the calendar day of the party to the swap 

transaction that ends latest, provided that if a swap transaction is - (a) entered into after 4:00 p.m. in the 

place of a party; or (b) entered into on a day that is not a business day in the place of a party, then such 

swap transaction shall be deemed to have been entered into by that party on the immediately succeeding 

business day of that party, and the day of execution shall be determined with reference to such business 

day. 17 CFR 23.501(a)(5)(i). For the purposes of § 23.501, “business day” means any day other than a 

Saturday, Sunday, or legal holiday. 17 CFR 23.501(a)(5)(ii).
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a. § 43.3(a)(1) – General Rule

The Commission is proposing a number of clarifying and substantive changes to § 

43.3(a)(1). As background, § 43.3(a)(1) currently: (i) requires reporting parties to report 

PRSTs to SDRs ASATP after execution; and (ii) states that for purposes of part 43, a

“registered [SDR] includes any [SDR] provisionally registered with the Commission 

pursuant to part 49 of this chapter.”

The Commission proposes to make a non-substantive amendment to § 43.3(a)(1) 

by changing the reference to the person required to report a PRST to an SDR ASATP 

after execution. The current term “reporting party” is defined in § 43.2 as “the party to a 

swap with the duty to report a [PRST] in accordance with this part and section 

2(a)(13)(F) of the Act.” The Commission proposes to replace the reference to the catchall 

term “reporting party” with more specific references to the persons that, depending on the 

circumstances, have the reporting obligation for a PRST, namely: a reporting 

counterparty; a SEF; or a DCM.53 The Commission is also proposing to slightly reword § 

43.3(a)(1) for brevity and to add a cross-reference to proposed §§ 43.3(a)(2)-(6), which 

address matters such as who must report PRSTs and the timing thereof. Proposed §§ 

43.3(a)(2)-(6) would provide additional detail about how (and, in the case of proposed § 

43.3(a)(6), whether) the ASATP requirement would apply to real-time public reporting of

certain swap transactions and by certain reporting parties. Consequently, the Commission 

 53 To limit repetition, this change will not be discussed in each section throughout this release. The 

circumstances dictating which of these specific persons has the PRST reporting obligation are specified in 

existing and proposed §§ 43.3(a)(2) and (3). Although the Commission is not proposing to change these 

circumstances, the Commission is proposing other changes to §§ 43.3(a)(2) and (3), which are discussed 

below in this section II.C.1.
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is also proposing to add language to § 43.3(a)(1) stating that it would be “subject to” 

proposed §§ 43.3(a)(2)-(6) to reflect that, with respect to the transactions and persons 

covered by proposed §§ 43.3(a)(2)-(6), the provisions thereof apply instead of the general 

ASATP requirement of proposed § 43.3(a)(1).

The Commission also is proposing to add a requirement that the PRST reporting 

required pursuant to proposed §§ 43.3(a)(1)-(6) be done in the manner set forth in 

proposed § 43.3(d), discussed below in section II.C.8.

Finally, the Commission proposes to delete the sentence in § 43.3(a)(1) stating 

that “[f]or purposes of this part, a registered [SDR] includes any [SDR] provisionally 

registered with the Commission pursuant to part 49 of this chapter[]” and proposes to 

replace references to registered SDRs with references to SDRs in proposed § 43.3(a) 

specifically and throughout part 43.54 The Commission has also proposed to remove the 

term “registered swap data repository” from part 49.55 The term “registered swap data 

repository” is not needed in part 49 because a definition of “swap data repository” 

already exists in § 1.3,56 and the definition is identical to the definition contained in 

section 1a(48) of the CEA.57 Because the definitions in § 43.2 have the meanings 

assigned to them in § 1.3 unless the context otherwise requires, the definition of “swap 

 54 To limit repetition, this change will not be discussed in each section throughout this release. 55 See Certain Swap Data Repository and Data Reporting Requirements, 84 FR 21044, 21101. 56 See 17 CFR 1.3 (definition of “swap data repository”) (“This term means any person that collects and 

maintains information or records with respect to transactions or positions in, or the terms and conditions of, 

swaps entered into by third parties for the purpose of providing a centralized recordkeeping facility for 

swaps”).

57 7 U.S.C. 1a(48) (“The term ‘[SDR]’ means any person that collects and maintains information or records 

with respect to transactions or positions in, or the terms and conditions of, swaps entered into by third 

parties for the purpose of providing a centralized recordkeeping facility for swaps”).
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data repository” already applies to part 43, and would continue to apply to part 43, 

including proposed § 43.3(a), thus removing the need for a separate defined term for 

“registered swap data repository.” Furthermore, the word “registered” in the term 

“registered swap data repository” creates unnecessary confusion as to whether part 43

applies to entities that are in the process of registering as SDRs or are provisionally 

registered pursuant to § 49.3(b); part 43 applies to SDRs whether they are registered or 

provisionally registered. The Commission emphasizes that removing the defined term 

“registered swap data repository” is a technical amendment that does not in any way 

modify the requirements applicable to current or future SDRs.

Therefore, revised § 43.3(a)(1) would require reporting counterparties, SEFs, or 

DCMs to report any PRST to an SDR ASATP after execution subject to § 43.3(a)(2)-(6) 

and in the manner set forth in § 43.3(d).

b. § 43.3(a)(2) – Swaps Executed on or Pursuant to the Rules of a SEF or a DCM

The Commission is proposing several amendments to § 43.3(a)(2). As 

background, current § 43.3(a)(2) states that a party to a PRST can satisfy its part 43 realtime public reporting obligations by executing PRSTs on or pursuant to the rules of a 

SEF or DCM.

The Commission is proposing to replace the language in § 43.3(a)(2) with the 

current requirement in § 43.3(b)(1). Current § 43.3(b)(1) states that SEFs and DCMs 

satisfy their real-time public reporting obligations by transmitting STAPD to SDRs 

ASATP after the PRST was executed on or pursuant to the rules of the trading platform 

or facility. Revised § 43.3(a)(2) would therefore state that that SEFs or DCMs must 
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report PRSTs executed on or pursuant to the rules of a SEF or DCM ASATP after 

execution. As a result, § 43.3(a)(2) would contain SEFs’ and DCMs’ part 43 reporting 

obligations instead of § 43.3(b)(1). In revising § 43.3(a)(2), the Commission would also

replace the reference to a “registered [SEF]” with a reference to SEFs because, similar to

the reasoning discussed above in section II.C.1.a. with respect to “registered” SDRs, the 

term “registered” is unnecessary and could create confusion.58 The Commission 

considers the above amendments to be non-substantive.

c. § 43.3(a)(3) – Off-Facility Swaps

The Commission proposes to amend § 43.3(a)(3) in two respects. As background, 

current § 43.3(a)(3) requires reporting parties to report all off-facility swaps to an SDR 

“for the appropriate asset class in accordance with the rules set forth” in part 43 ASATP 

following execution, and sets out the reporting hierarchy for these PRSTs.

59

The Commission proposes to clarify in §§ 43.3(a)(3)(iii)-(v) that, in situations 

where the parties to an off-facility PRST must designate which of them is the reporting 

counterparty, they must make such designation prior to the execution of the off-facility 

PRST so that there is no delay in reporting the off-facility PRST pursuant to part 43, as 

there could be if the parties do not make such designation until after the off-facility PRST 

is executed or cannot agree on such designation.

Because the Commission is proposing to add part 43 reporting requirements 

specific to PPSs, clearing swaps, and mirror swaps, respectively, in proposed new §§ 

 58 The Commission is proposing this change elsewhere in part 43. To limit repetition in this release, the 

change will not be discussed repeatedly in this preamble.

59 The Commission is not proposing substantive amendments to the reporting hierarchy.
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43.3(a)(4)-(6), the Commission proposes to introduce proposed § 43.3(a)(3) with 

“[e]xcept as otherwise provided in paragraphs (a)(4)-(6) of this section.” The proposed 

part 43 reporting requirements applicable to PPSs, clearing swaps and mirror swaps are 

discussed below in sections II.C.2.-4., respectively.

2. § 43.3(a)(4) – Post-Priced Swaps

The Commission is proposing new § 43.3(a)(4) to address issues market

participants face in reporting PPSs. As background, the purpose of CEA § 2(a)(13), the

primary source of the Commission’s authority to promulgate real-time public reporting

rules, is “to authorize the Commission to make [STAPD] available to the public in such

form and at such times as the Commission determines appropriate to enhance price

discovery.”60 Congress also directed the Commission to include provisions in its realtime reporting rules “that take into account whether the public disclosure will materially

reduce market liquidity.”61 Swap counterparties must “report[] [STAPD] to the

appropriate registered entity in a timely manner as may be prescribed by the

Commission.”62 The Commission, therefore, has some discretion in determining when

STAPD should be reported and publicly disseminated.

Regulation 43.3(a) generally requires the reporting party for each PRST to report

it to an SDR ASATP after execution of the transaction. Market participants have raised

concerns with complying with the ASATP requirement for a category of swaps with

respect to which one or more terms are unknown at the time the swap is executed. One

 60 7 U.S.C. 2(a)(13)(B) (emphasis added). 61 7 U.S.C. 2(a)(13)(E)(iv). 62 7 U.S.C. 2(a)(13)(F) (emphasis added). 
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Roadmap commenter suggested that such swaps should only be reported when all of the

final primary economic terms of the transaction are determined, rather than at

execution.63

The Commission understands that these swaps are generally characterized by the

price, size and/or other terms of the transaction being contingent upon the outcome of SD

hedging, market results during an observation period (a point in time or a longer period),

or the occurrence of certain events—such as the price for a swap underlier being

determined at the close of trading on a trading platform—that occur after an SD accepts a

client request (collectively, “Variable Terms”). Although the parties may know the nonVariable Terms at the time of execution,64 the Variable Terms generally are not known

until the subsequent dealer hedging or other market activity has taken place because the

Variable Terms are, wholly or partly, contingent on the occurrence of such triggers and

determined, wholly or in part, by some aspect of such contingencies.

The Commission understands that some market participants do not report swaps

with Variable Terms to SDRs until hours, or even days, after the execution thereof.65

Reporting parties have contended that they report these swaps to SDRs only after the

Variable Terms are set because (i) they want to foreclose the possibility of market

participants “front running” reporting parties’ customers’/counterparties’ swaps; and (ii)

 63 Letter from The International Swaps and Derivatives Association (“ISDA”) and The Securities Industry 

and Financial Markets Association (“SIFMA”) (“Joint ISDA-SIFMA Letter”) (Aug. 21, 2017) at 10. 64 “Execution” is defined in § 43.2, in relevant part, as “an agreement by the parties . . . to the terms of a 

swap that legally binds the parties to such swap terms under applicable law.” 65 However, this approach is not followed universally: other market participants report PPSs differently. For 

example, some market participants report to an SDR PPSs with a price of zero at the time of execution and 

amend the price reported to the SDR once the price is known.
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neither reporting parties nor SDRs have the technological processes in place to support

reporting prior to the determination of a numerical price, volume or other Variable

Terms.

Currently, PPSs and other swaps with Variable Terms not determined at execution

(“Variable Terms Swaps”) account for a significant but unknown percentage of swaps

that are not reported to SDRs in a timely manner.66 However, through Roadmap outreach,

the Commission has learned that these PPSs and other Variable Terms Swaps may

constitute a large percentage of certain market participants’ equity derivatives business

subject to CFTC jurisdiction.67 The Commission preliminarily believes that the reporting

of PPSs and other Variable Terms Swaps is not consistent across SDs, with some

reporting swaps shortly after execution and others not reporting until the Variable Terms

are known.

The Commission also preliminarily believes that the reporting of PPSs ASATP

after execution but before the price is determined does not serve a significant price

discovery function and that the omission of a price, or the use of a placeholder price, by

reporting parties who report PPSs before the price is determined may confuse market

participants or constitute unhelpful “noise” on the public tape. The Commission

understands that requiring public reporting of PPSs before their prices are determined

 66 The percentage is unknown because there is no SDR data field to indicate that a swap is a PPS. Although, 

as noted above, some reporting parties may report PPSs with zero or blank prices or other Variable Terms 

and later amend such reports once the Variable Terms are known, there are other reasons a zero price may 

be reported or that blanks may be reported for the Variable Terms, so there currently is no definitive 

method of quantifying the scope of the PPS reporting issue. 67 One market participant estimated that PPSs are a bigger percentage of equity swaps than of any other 

asset class and constitute approximately 80-90% of CFTC-reportable equity swaps.
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could allow market participants to transact in swaps ahead of any necessary hedging by

SDs, potentially disadvantaging the SDs’ counterparties driving the PPS transactions by

increasing the cost of the hedges. This could, in turn, lead such counterparties to forego

the use of swaps to achieve their investment or other goals, thereby reducing swap market

liquidity.

However, the Commission seeks to balance permitting the delayed reporting of

swaps that appear to lack a significant price discovery benefit with encouraging or

permitting indefinitely delayed reporting of PPSs. The latter possibility could encourage

swap counterparties to structure some of their swaps as PPSs to take advantage of the

longer proposed reporting deadline for PPSs.68

In light of the foregoing, the Commission is proposing a longer deadline for

reporting STAPD for certain PPSs than for PRSTs generally. To effectuate such longer

deadline, the Commission proposes to add new § 43.3(a)(4) to its regulations. Proposed §

43.3(a)(4)(i) would permit the reporting counterparty to delay reporting a PPS to an SDR

until the earlier of (a) the price being determined and (b) 11:59:59 pm eastern time on the

execution date.69 Proposed § 43.3(a)(4)(i) would further provide that, if the price of a

PRST that is a PPS is not determined by 11:59:59 pm eastern time on the execution date,

 68 However, to the extent the Commission’s proposal raises concerns in this regard, § 23.402(a)(1) does 

require SDs to “have written policies and procedures reasonably designed to . . . (ii) [p]revent a swap dealer 

. . . from evading or participating in or facilitating an evasion of any provision of the [CEA] or any 

regulation promulgated thereunder.”

69 By “11:59:59 pm eastern time on the execution date,” the Commission means 11:59:59 pm in the eastern 

time zone of the United States on the date the relevant swap is executed, irrespective of where either 

counterparty’s headquarters or personnel or office involved in executing the swap are located and 

irrespective of any other factors. This could result in the reporting counterparty having more or less time to 

report a swap depending on how close it is to 11:59:59 pm eastern time at execution in any time zones 

relevant to the reporting counterparty reporting the STAPD.
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the reporting counterparty shall report to an SDR by 11:59:59 pm eastern time on the

execution date all STAPD for such PPS other than the price and any other thenundetermined Variable Terms and shall report each such item of previously undetermined

STAPD ASATP after such item is determined.70 Proposed § 43.3(a)(4)(ii) would provide

that the more lenient proposed reporting deadline in § 43.3(a)(4)(i) would not apply to

PRSTs with respect to which the price is known at execution but one or more other

Variable Terms are not yet known at the time of execution.71

3. § 43.3(a)(5) – Clearing Swaps

The Commission proposes to amend § 43.3(a) to add DCOs to the reporting 

counterparty hierarchy for clearing swaps that are PRSTs. As background, in 2016, the 

Commission adopted rules that, among other things, added DCOs to the hierarchy for

determining the reporting counterparty for clearing swaps in § 45.8.

72 Although the 

Cleared Swap Final Rule added DCOs to the reporting counterparty hierarchy in § 45.8, it 

did not add DCOs to the reporting hierarchy in part 43.

 70 While the proposed definition of “post-priced swap” would be a swap for which the price has not been 

determined at the time of execution, such a swap with additional terms that are also not determined at the 

time of execution would also fall within the proposed “post-priced swap” definition. Consequently, if a PPS 

also has non-price terms that are not determined at the time of execution, a value for such non-price terms 

must be reported ASATP after it is determined. If a placeholder value that satisfies the allowable values 

parameters for an unknown Variable Term was previously reported for such undetermined STAPD, then 

such STAPD must be corrected ASATP after it is determined. 71 The Commission notes that when the price is known at execution but one or more Variable Terms are not 

yet known, the must report the swap ASATP and then amend the swap later to report the Variable Terms. 72 Amendments to Swap Data Recordkeeping and Reporting Requirements for Cleared Swaps, 81 FR 

41736 (June 27, 2016) (“Cleared Swap Final Rule”). Specifically, § 45.8(i) now states, in relevant part, “if 

the swap is a clearing swap, the [DCO] that is a counterparty to such swap shall be the reporting 

counterparty and shall fulfill all reporting counterparty obligations for such swap.”
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Most clearing swaps are the result of an original swap being accepted for clearing 

by a DCO. In these cases, there is no part 43 real-time public reporting for the clearing 

swaps. For most clearing swaps, there is no conflict between the part 43 and part 45 

reporting hierarchies.

However, there are limited circumstances in which DCOs create clearing swaps 

for which there is no original swap, and the clearing swaps may meet the definition of a 

PRST in part 43, while also being required to be reported pursuant to part 45. In these

circumstances, the part 43 and part 45 reporting hierarchies may conflict. For example, if 

a DCO enters into PRSTs to manage the default of a clearing member, the DCO would be 

the reporting counterparty under § 45.8(i) but not under current § 43.3(a)(3).

To avoid this conflict, the Commission proposes to add DCOs to the hierarchy in 

§ 43.3 for clearing swaps. Proposed § 43.3(a)(5) would state that “[n]otwithstanding the 

provisions of paragraphs (a)(1)-(3) of this section, if a clearing swap, as defined in § 45.1 

of this chapter, is a [PRST], the [DCO] that is a party to such swap shall be the reporting 

counterparty and shall fulfill all reporting counterparty obligations for such swap as soon 

as technologically practicable after execution.”

4. § 43.3(a)(6) – Mirror Swaps

As explained above, the CEA authorizes the Commission to make STAPD

available to the public “in such form and at such times as the Commission determines

appropriate to enhance price discovery.”73 In 2017, DMO announced its intention to

 73 7 U.S.C. 2(a)(13)(B) (emphasis added).
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review the reporting regulations to address ongoing issues of reporting prime brokerage

transactions.74 As a result of this review, and as discussed below in this section, the

Commission is proposing new regulations in § 43.3(a)(6) to help ensure that the STAPD

associated with mirror swaps, which some market participants view as duplicative, nonprice-forming data, does not distort the volume of trading activity or unnecessarily

impede price discovery for market participants and others who rely on the real-time

public tape for those purposes. The Commission notes that the swap data associated with

all mirror swaps would be required to be reported to SDRs pursuant to part 45 so the

Commission can fulfill its risk monitoring, compliance, and market manipulation

responsibilities.

The Commission understands that prime brokerage swaps begin with a

counterparty opening an account with a prime broker (“PB”) that grants limited agency

powers to the counterparty. These limited powers enable the counterparty, as an agent for

the PB, to enter into swaps with approved executing dealers (“ED”), subject to specific

limits and parameters, such as credit limits and collateral requirements. The PB also

enters into “give-up” arrangements with approved EDs in which the EDs agree to

 74 Roadmap at 11. DMO has previously provided no-action relief from the real-time public reporting 

requirements for swaps executed pursuant to prime brokerage arrangements in response to concerns that 

reporting both legs of prime brokerage transactions would incorrectly suggest the presence of more trading 

activity and price discovery in the market than actually exists. See CFTC Letter No. 12-53, Time-Limited 

No-Action Relief from (i) Parts 43 and 45 Reporting for Prime Brokerage Transactions, and (ii) Reporting 

Unique Swap Identifiers in Related Trades under Part 45 by Prime Brokers (Dec. 17, 2012), available at

https://www.cftc.gov/sites/default/files/idc/groups/public/@lrlettergeneral/documents/letter/12-53.pdf. The 

Financial Markets Lawyers Group (“FMLG”) and the International Swaps and Derivatives Association 

(“ISDA”), which requested the relief that DMO provided in CFTC Letter No 12-53, also sought and 

received relief from certain reporting requirements of part 45 of the Commission’s rules, but this proposal 

discusses only the part 43 reporting aspects of the relief.
Voting Draft – As approved by the Commission on 2/20/2020

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34

negotiate swaps with the counterparty, acting as an agent for the PB, within the specified

parameters and to face the PB as counterparty for the resulting ED-PB swap (“ED-PB

Swap”).

The Commission understands that in a prime brokerage swap, the counterparty

seeks bids for the desired swap from one or more of the approved EDs, within the

parameters established by the PB. Once the counterparty and ED agree on the terms, the

Commission believes that both the counterparty and ED provide a notice of the terms to

the PB, and those terms constitute the ED-PB Swap, which the PB must accept if: the

swap is with an approved ED; the counterparty and ED have committed to the material

terms; and the terms are within the parameters established by the PB. Once the ED-PB

Swap is accepted by the PB, the PB enters into a mirror swap (“Mirror Swap”) with the

counterparty with identical economic terms and pricing, subject to adjustment, as a result

of the prime brokerage servicing fee.

In 2012, DMO granted no-action relief, subject to conditions described below,

where: (i) an ED reports an ED-PB Swap under part 43, including any required post-trade

event reporting; and (ii) the related Mirror Swap is not reported for part 43 purposes by

the ED, PB or any other party, unless there is a modification to the economic terms of the

ED-PB swap.75 The relief was conditioned on: the allocation of part 43 reporting

responsibilities being agreed upon by the parties; the ED and the PB each being a

registered SD; and the ED-PB Swap and Mirror Swap having identical economic terms

 75 See id. at 5.
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35

and pricing, subject to adjustment in the case of the Mirror Swap as a result of a prime

brokerage servicing fee.

76

CFTC Letter No. 12-53 expired on June 30, 2013, but the Commission believes

that concerns about the impact on price discovery of mirror swap STAPD on the public

tape are still concerns today. To address these concerns, the Commission is proposing

new § 43.3(a)(6), and related definitions in § 43.2(a). The Commission believes the

proposed regulations would address issues raised by swaps executed pursuant to prime

brokerage arrangements and related mirror swaps.

77

a. Proposed New Definitions

The Commission is proposing to add the term “prime brokerage agency

arrangement” to § 43.2(a). “Prime brokerage agency arrangement” would mean “an

arrangement pursuant to which a prime broker authorizes one of its clients, acting as

agent for such prime broker, to cause the execution of a trigger swap.” The Commission

proposes to use the term “prime brokerage agency arrangement” in the new proposed

definitions of “prime brokerage agent” and “trigger swap” in § 43.2(a) to establish the

parameters of the proposed new definition of a “mirror swap,” also in § 43.2(a), which

would not be reportable under part 43 if it satisfied the terms of proposed § 43.3(a)(6)(i).

The Commission’s goal in proposing the “prime brokerage agency arrangement”

 76 Id. 77 The Commission notes that the Securities and Exchange Commission (“SEC”) has adopted a different 

approach with respect to security-based swaps, with the result that mirror security-based swaps would be 

PRSTs and thus reported. See Regulation SBSR—Reporting and Dissemination of Security-Based Swap 

Information, 81 FR 53546, at 53583-86 (Aug. 12, 2016) (declining to exempt from public dissemination 

certain prime brokerage SBSs discussed therein).
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36

definition and using it in other definitions in § 43.2(a) is to help ensure that the scope of

unreported mirror swaps is limited to swaps that are, among other things, integrally

related to trigger swaps and their related pricing events.

The Commission is proposing to add the term “prime brokerage agent” to §

43.2(a) as a new definition that would mean “a client of a prime broker who causes the

execution of a trigger swap acting pursuant to a prime brokerage agency arrangement.”

The Commission is also proposing to add the term “prime broker” to § 43.2(a).

“Prime broker” would mean “with respect to a mirror swap and its related trigger swap, a

swap dealer acting in the capacity of a prime broker with respect to such swaps.” The

Commission proposes to use the term “prime broker” in the proposed definitions of

“prime brokerage agency arrangement,” “prime brokerage agent,” and “trigger swap” in

§ 43.2(a), and in proposed § 43.3(a)(6), to establish the parameters of when a “mirror

swap” would not be reportable under part 43 if it satisfied the terms of proposed §

43.3(a)(6)(i).

The Commission is proposing to add the term “trigger swap” to § 43.2(a) as a new

definition that would mean “a swap: (1) that is executed pursuant to one or more prime

brokerage agency arrangements;78 (2) to which a prime broker is a counterparty or both

 78 The Commission understands that some pricing events (as proposed to be defined in § 43.2(a) and as 

discussed in the paragraph following the paragraph in the body of the preamble with which this footnote is 

associated) that result in trigger swaps and related mirror swaps (e.g., in the context of a reverse give-up, 

which is discussed below in section II.C.4.b.) are negotiated by persons that are acting pursuant to a prime 

brokerage agency arrangement with more than one prime broker. The Commission understands that some 

pricing events that lead to related trigger swaps and related mirror swaps (e.g., in the context of a double 

give-up, which is discussed below in section II.C.4.b.) are negotiated by two persons that are each acting 

pursuant to a prime brokerage agency arrangement with its respective prime broker.
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37

counterparties are prime brokers; (3) that serves as the contingency for, or triggers, the

execution of one or more corresponding mirror swaps; and (4) that is a PRST that is

required to be reported to a swap data repository pursuant to this part and part 45 of this

chapter.” The Commission proposes to use the term “trigger swap” as an element of a

“mirror swap,” which the Commission proposes to make not reportable.79

The Commission is proposing to add the term “pricing event” to § 43.2(a) as a

new definition that would mean “the completion of the negotiation of the material

economic terms and pricing of a trigger swap.” The Commission is proposing to use the

term “pricing event” in proposed § 43.3(a)(6)(i) to make it clear when execution of a

trigger swap, which would be required to be reported under proposed § 43.3(a)(6)(iv)

(discussed below in section II.C.4.b.), occurs.

The Commission is proposing to add the term “mirror swap” to § 43.2(a) to mean

a swap: (1) to which a prime broker is a counterparty or both counterparties are prime

brokers; (2) that is executed contemporaneously with a corresponding trigger swap; (3)

that has identical terms and pricing as the contemporaneously executed trigger swap

(except that a mirror swap, but not the corresponding trigger swap, may include any

associated prime brokerage service fees agreed to by the parties and except as provided in

the final sentence of this “mirror swap” definition); (4) with respect to which the sole

price forming event is the occurrence of the contemporaneously executed trigger swap;

and (5) the execution of which is contingent on, or is triggered by, the execution of the

 79 See proposed § 43.6(a)(6)(i), discussed below in section II.C.4.b.
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38

contemporaneously executed trigger swap. The notional amount of a mirror swap may

differ from the notional amount of the corresponding trigger swap, including, but not

limited to, in the case of a mirror swap that is part of a partial reverse give-up;80

provided, however, that in such cases, (i) the aggregate notional amount of all such mirror

swaps to which the prime broker that is a counterparty to the trigger swap is also a

counterparty shall be equal to the notional amount of the corresponding trigger swap and

(ii) the market risk and contractual cash flows of all such mirror swaps to which a prime

broker that is not a counterparty to the corresponding trigger swap is a party will offset

each other (and the aggregate notional amount of all such mirror swaps on one side of the

market and with cash flows in one direction shall be equal to the aggregate notional

amount of all such mirror swaps on the other side of the market and with cash flows in

the opposite direction), resulting in each prime broker having a flat market risk position.

The Commission is proposing to define the term “mirror swap” to delineate a

group of swaps that do not have to be reported under part 43 if the related conditions set

forth in proposed § 43.3(a)(6) are satisfied. The Commission preliminarily believes that

because the terms and pricing of a trigger swap and its related mirror swaps are the same,

part 43 reporting of both a trigger swap and the related mirror swaps could falsely

indicate the occurrence of two or more (depending on how many mirror swaps there are

for a given trigger swap) pricing events and incorrectly suggest the presence of more

trading activity and price discovery in the market than actually exist.

 80 A “partial reverse give-up” is described below in section II.C.4.b.
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The Commission preliminarily believes the STAPD of trigger swaps should be

reported pursuant to part 43 ASATP after the occurrence of the related pricing event for

the following reasons: (1) all the terms of a trigger swap are determined at the time of its

related pricing event, so execution of the trigger swap occurs at that time (as stated

expressly in proposed § 43.3(a)(6)(i)), so the ASATP clock should “start ticking” at that

time; (2) any delay in the mirror swap counterparties learning of the related trigger swap

terms should not delay part 43 reporting of the trigger swap given that the mirror swaps

would not be reported under proposed § 43.3(a)(6);

81 (3) one or both of the parties to a

pricing event often are the reporting counterparties in other swaps so have the

infrastructure in place to report the related trigger swap ASATP after the execution of the

pricing event; and (4) to the extent that (3) is untrue, one or more of the prime brokers

involved in the related mirror swaps (all of whom currently are SDs, the Commission

understands) can amend the terms of their prime brokerage arrangements (as proposed to

be defined in § 43.2) to require the parties thereto who are also parties to pricing events to

ensure that their prime brokers learn of the terms of the pricing events in a manner that is

sufficiently timely to permit their prime brokers to report trigger swaps ASATP after the

execution of the related pricing events.

The Commission is proposing to use the word “contemporaneously” in clause (2)

of the “mirror swap” definition (i.e., a swap “that is executed contemporaneously with a

 81 To the extent a trigger swap is outside the permitted scope of a prime brokerage arrangement, as 

proposed to be defined in § 43.2(a), the relevant party can cancel it. The Commission understands that this 

happens today but preliminarily believes that the potential for a trigger swap to be cancelled as a result of 

its being outside the scope of the relevant prime brokerage arrangement, as proposed to be defined in § 

43.2(a), should not delay reporting STAPD.
Voting Draft – As approved by the Commission on 2/20/2020

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40

corresponding trigger swap”) rather than “simultaneously” to reflect the fact that it may

take some time for potential parties to a mirror swap to receive the terms of such mirror

swap from the parties to the related trigger swap and to verify that the terms of the

potential mirror swap are within the parameters established by the governing prime

brokerage arrangement, as proposed to be defined in § 43.2(a). However, the

Commission expects the parties to a trigger swap to promptly convey those terms to the

relevant prime broker(s) that would be a party or parties to related mirror swaps; any

delay in conveying such terms should not be used as an opportunity to find additional

counterparties to take part in unreported mirror swaps.82 The Commission may construe

any purported mirror swaps resulting from such activity as not executed

contemporaneously with the related trigger swap, and thus not within the scope of the

proposed mirror swap definition or, as a result, proposed § 43.3(a)(6), and therefore

reportable under §§ 43.3(a)(1)-(3), as applicable, depending on the facts and

circumstances.

The Commission is proposing the language regarding associated prime brokerage

service fees in clause (3) of the proposed “mirror swap” definition (i.e., as is relevant

here, a swap “that has identical terms and pricing as the contemporaneously executed

trigger swap (except that a mirror swap, but not the corresponding trigger swap, may

include any associated prime brokerage service fees agreed to by the parties . . .”)) to

reflect that a mirror swap may contain fees that a prime broker that is a counterparty to a

 82 This could include, but would not be limited to, a potential party to a mirror swap receiving the terms of 

a related trigger swap from one party to the trigger swap and seeking additional counterparties to a mirror 

swap while waiting to receive the matching terms of the trigger swap from the other party thereto.
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41

mirror swap may charge its counterparty to that mirror swap as a fee for serving as a

prime broker in such swap. The Commission understands that prime brokers typically

charge their clients a service fee for the swap intermediation service that prime brokers

provide (i.e., serving as swap counterparties in lieu of counterparties that prime brokers’

clients would prefer not to face as swap counterparties for credit reasons). The prime

broker service fee is meant to reflect prime brokers’ credit intermediation costs as well as

prime brokers’ back-office and middle-office administrative services costs related to

trigger swaps and mirror swaps (e.g., booking, reconciling, settling and maintaining such

trigger swaps and mirror swaps). The prime broker service fee is typically agreed upon

by a prime broker and its client before a pricing event. To be considered prime brokerage

service fees for purposes of clause (3) of the proposed “mirror swap” definition, such fees

must be limited to the foregoing purpose and cannot contain any other elements.83

b. Other Proposed Regulations

Proposed new § 43.3(a)(6)(i) would provide that a mirror swap, which the

Commission is proposing to define in § 43.2(a), as discussed above in section II.B.1., is

not a PRST. Proposed new § 43.3(a)(6)(i) would also state that, for purposes of

determining when execution occurs under §§ 43.3(a)(1)-(3), execution of a trigger swap

shall be deemed to occur at the time of the pricing event for such trigger swap.

 83 For example, the Commission would not consider a purported prime brokerage service fee providing the 

prime broker or its counterparty exposure to a commodity to be a prime brokerage service fee within the 

meaning of clause (3) of the proposed “mirror swap” definition, as a result of which the related “mirror 

swap” would not be a mirror swap, and thus would not be within the scope of proposed § 43.3(a)(6) 

(discussed below in section II.C.4.b.), and therefore would be reportable under §§ 43.3(a)(1)-(3), as 

applicable, depending on the facts and circumstances.
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Proposed new § 43.3(a)(6)(ii) would provide parameters for determining which

counterparty is the reporting counterparty for a given trigger swap in situations where it is

unclear, with respect to a given set of swaps, which are mirror swaps and which is the

related trigger swap. More specifically, proposed new § 43.3(a)(6)(ii) would state that if,

with respect to a given set of swaps, it is unclear which are mirror swaps and which is the

related trigger swap (including, but not limited to, situations where there is more than one

prime broker counterparty within such set of swaps and situations where the pricing event

for each set of swaps occurs between prime brokerage agents of a common prime

broker), the PBs would be required to determine which swap is the trigger swap and

which are mirror swaps. Proposed new § 43.3(a)(6)(ii) would also specify that, with

respect to the trigger swap to which a PB is a party, the counterparty that falls within the

highest level of the reporting counterparty determination hierarchy set forth in §

43.3(a)(3) is the reporting counterparty; proposed new § 43.3(a)(6)(ii) would further

specify that, if both counterparties fall within the same level of that hierarchy, they must

determine who is the reporting counterparty for such trigger swap pursuant to §§

43.3(a)(3)(iii), (iv), or (v), as applicable. Proposed new § 43.3(a)(6)(ii) would add that,

notwithstanding the foregoing, if the counterparty to a trigger swap that is not a PB is an

SD, then that counterparty will be the reporting counterparty for the trigger swap.

Proposed new § 43.3(a)(6)(iii) would provide that, if, with respect to a given set

of swaps, it is clear which are mirror swaps and which is the related trigger swap, the

reporting counterparty for the trigger swap shall be determined pursuant to § 43.3(a)(3).
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43

Proposed new § 43.3(a)(6)(iv) would provide that trigger swaps described in

proposed § 43.3(a)(6)(ii) (situations in which it is unclear which of a set of swaps are

mirror swaps and which is the related trigger swap) and (iii) (situations in which it is

clear which of a set of swaps are mirror swaps and which is the related trigger swap) shall

be reported pursuant to the requirements set out in §§ 43.3(a)(2) or (a)(3), as applicable,

except that the provisions of proposed § 43.3(a)(6)(ii), rather than of proposed §

43.3(a)(3), shall govern the determination of the reporting counterparty for purposes of

the trigger swaps described in proposed § 43.3(a)(6)(ii).

CFTC Letter No. 12-53 provided relief for what it termed a “Typical Prime

Brokerage Transaction” in which an ED that is an SD agrees with its counterparty to the

terms of matching swaps entered into between the ED and the counterparty’s PB and

between the PB and the counterparty. The Commission understands that the scope of

proposed § 43.3(a)(6) would expand the scope of CFTC Letter No. 12-53 in that it would

encompass both the “typical prime brokerage transactions” covered by CFTC Letter No.

12-53 and at least three other forms of PB transactions: reverse give-up PB swaps; partial

reverse give-up PB swaps; and double give-up PB swaps. The Commission understands

that other forms of prime brokerage swap transactions also may be covered by proposed §

43.3(a)(6) and does not intend, by describing herein reverse give-up PB swaps, partial

reverse give-up PB swaps, and double give-up PB swaps, to limit the scope of proposed §

43.3(a)(6) to such forms of prime brokerage swap transactions.
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In a reverse give-up PB swap structure, the executing broker (“EB”)84 and one or

more clients of a PB, or of both PBs involved in the structure,85 negotiate swap terms

forming the basis of a trigger swap entered into between the EB and a PB86 and related

mirror swaps entered into between the PB and one or more other PBs, the other PB(s) and

one or more clients and, in some reverse give-up prime brokerage swap structures, the

client and the EB-facing PB.

87 In a double give-up prime brokerage swap structure, a

client of one PB and a client of a different PB negotiate with each other swap terms

forming the basis of a trigger swap entered into between the two PBs88 and of the related

mirror swaps entered into between each of the PBs and its respective client.

CFTC Letter No. 12-53 permitted the ED to be the reporting party for the ED-PB 

Swap, subject to the conditions that the ED and PB allocated reporting responsibility 

between them and both parties were SDs. Proposed § 43.3(a)(6)(ii) would differ from the 

 84 The Commission understands that EBs are always SDs today, but proposed § 43.3(a)(6) does not require 

EBs to be SDs. EBs play the same role in the prime brokerage swap transactions discussed in today’s 

proposal that EDs did in CFTC Letter No. 12-53. Thus, other than when it is discussing CFTC Letter No. 

12-53, which used the term “ED,” the Commission is using the term EB rather than ED in the preamble to 

reflect the fact that proposed § 43.3(a)(6) does not require EBs to be SDs.

85 As noted above, the Commission understands that some pricing events (as proposed to be defined in § 

43.2(a) and as discussed in the paragraph following the paragraph in the body of the preamble with which 

this footnote is associated) that result in trigger swaps and related mirror swaps (e.g., in the context of a 

reverse give-up, which is discussed below in section II.C.4.b.) are negotiated by persons that are acting 

pursuant to a prime brokerage agency arrangement with more than one prime broker. 86 The EB and the PB client are said to “give up” the swap that otherwise would have been entered into 

between the EB and the PB client to the EB and PB. That “given up” swap becomes the trigger swap. 87 The mirror swaps between the PBs, pursuant to instructions from a client, are said to be “reverse giveups” from the EB-facing PB to the other PB(s). If the reverse give-up is for 100% of the notional of the 

trigger swap, then the PB that is a swap counterparty to the EB in the trigger swap will not also be a swap 

counterparty to a client in a mirror swap. If the reverse give-up is for less than 100% of the notional of the 

trigger swap (i.e., a partial reverse give-up), then there will be a mirror swap between: the EB-facing PB 

and at least one client participating in the partial reverse give-up; the EB-facing PB and each of the other 

PBs participating in the partial reverse give-up; and each of such other PBs and at least one of the clients 

participating in the partial reverse give-up. 88 The two clients are said to “give up” to their respective PBs the swap that otherwise would be entered 

into between the two clients. That “given up” swap becomes the trigger swap.
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reporting structure in CFTC Letter No. 12-53 in that proposed § 43.3(a)(6)(ii) would 

instead incorporate the reporting counterparty hierarchy of § 43.3(a)(3). The goal of 

proposed § 43.3(a)(6)(ii) is to have each trigger swap be reported ASATP after its pricing 

event. The Commission understands that one counterparty to a trigger swap often will 

have participated in negotiating the related pricing event, so should be well-placed to 

report it pursuant to part 43 in such circumstances, particularly if it is an SD, given that 

SDs are experienced with part 43 reporting. If the PB is an SD, but its counterparty is not, 

the PB would be the reporting counterparty for the trigger swap even though the PB may 

not learn of the pricing event for some time, although, pursuant to proposed § 43.3(a)(7),

discussed below in section II.C.5., it could contract with a third-party service provider 

(which could include a party to the pricing event (e.g., an EB)) to handle such reporting if 

it believes reporting such PRST in a timely manner (i.e., ASATP after the pricing event, 

per proposed § 43.3(a)(6)(i)) would be problematic for it, while remaining fully 

responsible for such reporting. Similarly, even in circumstances in which neither 

counterparty to a trigger swap participated in negotiating the related pricing event (e.g., a 

double give-up prime brokerage swap structure), such counterparties can contract with a 

third-party service provider to handle such reporting if they believe that reporting such 

trigger swap in a timely manner (i.e., ASATP after the pricing event, per proposed § 

43.3(a)(6)(i)) would be problematic for them, while remaining fully responsible for such 

reporting.

5. § 43.3(a)(7) – Third-Party Facilitation of Data Reporting
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The Commission proposes to add § 43.3(a)(7) to provide for the third-party 

facilitation of data reporting. As background, in the 2012 RTR NPRM, Real-Time Public 

Reporting of Swap Transaction Data, 75 FR 76140 (Dec. 7, 2010), the Commission noted 

that SEFs, DCMs, and SDRs may enter into contractual relationships with third party 

service providers to facilitate reporting, while remaining responsible for the reporting 

requirement under part 43.89 Regulation 45.9 contains a parallel provision for part 45 

reporting. Regulation 45.9 provides for third-party facilitation of data reporting, and 

specifies that registered entities and swap counterparties that contract with third-party 

service providers remain fully responsible for the reporting requirement under part 45.

Proposed § 43.3(a)(7) would codify the Commission’s previously-stated position with 

respect to third party facilitation of part 43 reporting in a manner consistent with § 45.9

and expressly expand it to reporting parties for off-facility swaps. Therefore, proposed § 

43.3(a)(7) would state that any person required by part 43 to report STAPD, while 

remaining fully responsible for reporting as required by part 43, may contract with a 

third-party service provider to facilitate reporting.

6. § 43.3(b) – Public Dissemination of Swap Transaction and Pricing Data

The Commission is proposing several revisions to the rules for SEFs, DCMs,

SDs, MSPs, and SDRs in disseminating STAPD. First, as discussed above in section

 89 Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1201.
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II.C.1.b., the Commission is proposing to move the substance of current § 43.3(b)(1) to

revised § 43.3(a)(2).90

Second, the Commission is proposing to relocate current § 43.3(b)(2) to §

43.3(b)(1) and revise the regulation. As background, current § 43.3(b)(2) states that

registered SDRs shall ensure that STAPD is publicly disseminated ASATP after such

data is received from a SEF, DCM, or reporting party, unless such PRST is subject to a

time delay described in § 43.5, in which case the PRST shall be publicly disseminated in

the manner described in § 43.5.

The Commission is also proposing to replace the language in current § 43.3(b)(2)

stating that SDRs shall “ensure” STAPD is publicly disseminated with “an SDR shall

publicly disseminate [STAPD] ASATP” to clarify that SDRs must disseminate the data,

rather than ensure it is done. The Commission believes that this revision should not result

in any changes in current practice for SDRs. Finally, the Commission is proposing to

replace the two references to “publicly reportable swap transaction” with references to

“swap transaction and pricing data” for consistency both within proposed § 43.3(b)(1)

and with § 43.5, which is cross-referenced by current § 43.3(b)(2) and would continue to

be cross-referenced by proposed § 43.3(b)(1). Therefore, proposed § 43.3(b)(1) would

state that an SDR shall publicly disseminate STAPD ASATP after receiving it from a

SEF, DCM, or reporting counterparty, unless the STAPD is subject to a time delay

 90 Moving current § 43.3(b)(1) to § 43.3(a)(2) would consolidate the requirements for SEFs and DCMs to 

report STAPD in § 43.3(a)(2).
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48

described in § 43.5, in which case the SDR must publicly disseminate the STAPD

pursuant to § 43.5.

Third, the Commission is proposing to relocate § 43.3(c)(1) to § 43.3(b)(2) in

conjunction with the above relocation of § 43.3(b)(2) to § 43.3(b)(1). As background,

current § 43.3(c)(1) states that any SDR that accepts and publicly disseminates STAPD in

real-time shall comply with part 49 and shall publicly disseminate STAPD in accordance

with part 43 ASATP upon receipt of such data, except as otherwise provided in part 43.

The Commission is proposing to locate the regulations for SDRs to follow in

disseminating STAPD in § 43.3(b). Because current § 43.3(c)(1) is an SDR obligation

regarding the public dissemination of STAPD, the Commission believes it should be

located in revised § 43.3(b). The Commission is also proposing to remove the last phrase

of § 43.3(c)(1), which states that SDRs must publicly disseminate STAPD in accordance

with part 43 ASATP upon receipt of such data, except as otherwise provided in part 43.

The Commission believes this language unnecessary given the similar, but more precise,

reference to § 43.5 in current § 43.3(b)(2) and in proposed § 43.3(b)(1), discussed above

in this section II.C.6.

91 Therefore, proposed § 43.3(b)(2) would state that any SDR that

accepts and publicly disseminates STAPD in real-time shall comply with part 49.

The Commission is proposing to redesignate current §§ 43.3(c)(2) and (3) as §§

43.3(b)(4) and (5), respectively.

7. § 43.3(c) – Availability of Swap Transaction and Pricing Data to the Public

 91 The reference in § 43.3(c)(1) to “except as otherwise provided in part 43” rather than solely to § 43.5 is 

unnecessarily broad, given that § 43.5 currently is the only regulation in part 43 containing a delay to 

public dissemination.
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49

The Commission is proposing to relocate the requirements to make STAPD 

available to the public from § 43.3(d)(2) to §§ 43.3(c)(1) and (2).

92 As background, 

current § 43.3(d)(2) specifies that SDRs must make “publicly disseminated” STAPD 

“freely available and readily accessible” to the public. Currently, publicly disseminated is 

defined to mean “to publish and make available [STAPD] in a non-discriminatory 

manner, through the internet or other electronic data feed that is widely published and in 

machine readable electronic format.”

The requirement in § 43.3(d)(2) supports the fairness and efficiency of markets 

and increases transparency, which in turn improves price discovery and decreases risk 

(e.g., liquidity risk).93 Most SDRs currently make historical STAPD spanning multiple 

years available on their websites for market participants to download, save, and 

analyze.94 However, without clear requirements on how long SDRs must make this data 

available, or to make instructions available, a situation could arise where STAPD is 

reported, publicly disseminated, and then quickly or unreasonably made unavailable to 

the public. Removing STAPD in this fashion would deny the public a sufficient 

opportunity to review such data and ultimately impede the goals of increasing market 

transparency, improving price discovery, and mitigating risk.

 92 As discussed above in section II.C.6., the Commission is proposing to relocate the text of current § 

43.3(c)(1), as the Commission proposes to modify it, to § 43.3(b)(2), and current §§ 43.3(c)(2) and (3) as 

§§ 43.3(b)(4) and (5), respectively.

93 See Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1183.

94 DTCC-SDR’s historical STAPD is available at https://rtdata.dtcc.com/gtr/; CME SDR’s historical 

STAPD is available at https://www.cmegroup.com/market-data/repository/data.html; and ICE Trade 

Vault’s historical STAPD is available at https://www.icetradevault.com/tvus-ticker/#.
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Therefore, the Commission is proposing to move the requirement in current § 

43.3(d)(2) to new §§ 43.3(c)(1) and (2), along with revising the definition of “publicly 

disseminate” in § 43.2,95 to establish requirements for SDRs to make STAPD available to 

the public on their websites. First, the Commission is proposing to specify that SDRs 

must make STAPD available on their websites for a period of a least one year after the 

initial “public dissemination” of such data. Second, the Commission is proposing to move 

the format requirements for SDRs in making this STAPD available to the revised 

definition of “public dissemination.”96

Therefore, proposed § 43.3(c) would state that SDRs shall make: STAPD

available on their websites for a period of time that is at least one year after the initial

public dissemination thereof; instructions freely available on their websites on how to

download, save, and search such STAPD; and STAPD that is publicly disseminated

pursuant to part 43 available free of charge.

8. § 43.3(d) – Data Reported to SDRs

a. § 43.3(d)(1) – Standards for Reporting STAPD to SDRs

As discussed above in section II.B.2., the Commission is proposing to relocate the 

current requirement for SDRs to use a specific format in making STAPD available to the 

public from § 43.3(d)(1) to the definition of “public dissemination and publicly 

disseminate” in § 43.2.

 95 The revisions to the definition of “publicly disseminate” are discussed above in section II.B.2. 96 Id.
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Currently, § 45.13(b) requires reporting entities or counterparties to use the 

facilities, methods, or data standards provided or required by the SDR to which the entity 

or counterparty reports the data. An SDR may permit reporting entities and counterparties 

to use various facilities, methods, or data standards, provided that its requirements in this 

regard enable it to report the data to the Commission in a format acceptable to the 

Commission, and transmit all swap data requested by the Commission to the Commission

in an electronic file in a format acceptable to the Commission pursuant to § 45.13(a).

As explained in section III. below, the Commission had intended that part 43 data 

would be a subset of part 45 data reported to SDRs. As a result, § 45.13(b) indirectly 

required reporting entities or counterparties to use the data standards of their SDRs, as 

long as the standards enabled the SDR to report the data to the Commission in the format 

acceptable to the Commission. The Commission believes reporting counterparties would 

benefit from having a distinct regulatory requirement in part 43 for real-time public 

reporting. Therefore, the Commission is proposing § 43.3(d)(1), which would require 

reporting counterparties, SEFs, and DCMs to report the STAPD elements in appendix C 

in the form and manner provided in the technical specifications published by the 

Commission. The Commission is proposing to conform the parallel requirement in § 

45.13(a) in a separate part 45 NPRM.

b. § 43.3(d)(2) – Data Validations

As discussed above in section II.C.7., the Commission is proposing to relocate the 

current requirement for SDRs to make STAPD available to the public from § 43.3(d)(2) 

to §§ 43.3(c)(1) and (2).
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Proposed § 43.3(d)(2) would require reporting counterparties, SEFs, and DCMs to

satisfy SDR validation procedures when reporting STAPD to SDRs. Currently, the

Commission’s regulations do not require that SDRs validate STAPD. In a related NPRM,

the Commission is proposing to require that SDRs implement validations, including on

STAPD reported to SDRs.97 As explained below in section II.C.9., the Commission is

proposing to add related regulations for SDRs for STAPD validations in § 43.3(f). In

general, § 43.3(f) would require SDRs to notify SEFs, DCMs, and reporting

counterparties if the reported STAPD satisfied the SDR’s validation procedures. The rule

would further specify that SEFs, DCMs, and reporting counterparties have not fulfilled

their reporting obligations until the STAPD passes an SDR’s validation procedures.

The Commission believes that the SDR validation procedures in proposed §

43.3(f) would help improve the timeliness and accuracy of STAPD SDRs disseminate to

the public. However, the Commission also believes that a companion requirement for

reporting counterparties, SEFs, and DCMs to satisfy SDR validation procedures is

necessary. Without such a requirement, the Commission is concerned about ambiguity as

to the responsibilities of reporting counterparties, SEFs, and DCMs to respond to and

satisfy the validation requirements specified in proposed § 43.3(f).

c. § 43.3(d)(3) – SDR Facilities, Methods, and Data Standards

The Commission is proposing to delete current § 43.3(d)(3). Currently, § 

43.3(d)(3) requires SDRs to provide to the Commission a hyperlink to the internet 

 97 2019 Part 49 NPRM.
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website where publicly disseminated STAPD can be accessed by the public. This 

requirement is unnecessary, as SDRs have this information on their websites in a manner 

that is simple for the Commission and market participants to locate.

Proposed § 43.3(d)(3) would require reporting counterparties, SEFs, and DCMs to

use the facilities, methods, or data standards provided or required by the SDR to which

the reporting counterparty, SEF, or DCM, reports the data. The Commission understands

that reporting counterparties, SEFs, and DCMs are currently using the facilities, methods,

or data standards provided or required by the SDRs to which they are reporting data.

Otherwise, reporting counterparties, SEFs, and DCMs would be unable to send STAPD

to SDRs. However, as discussed throughout this section II.C.8., specifying this

requirement for market participants would provide regulatory certainty.

9. § 43.3(f) – Data Validation Acceptance Message

The Commission is proposing new regulations for SDRs in validating STAPD in 

§ 43.3(f). The Commission’s regulations do not currently require that SDRs validate 

STAPD. The Commission understands, however, that SDRs have implemented 

validations as a best practice. As a result, each SDR runs a number of checks, or 

validations, on each STAPD message prior to publicly disseminating it. A failed 

validation can cause an SDR to reject the message without disseminating it to the public.

The Commission is concerned that the lack of validation requirements has 

resulted in reporting counterparties, SEFs, and DCMs being unaware of, or unfamiliar 

with, the existence of such validations. The Commission is concerned that the lack of 

awareness may be resulting in reporting counterparties, SEFs, and DCMs being unclear 
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about their responsibilities to monitor their submissions to SDRs for errors that may 

result in validation failures that ultimately result in non-dissemination. As a result, the 

Commission is proposing in § 43.3(d)(2) to require reporting counterparties, SEFs, and 

DCMs to satisfy SDR validation procedures when reporting STAPD to SDRs. The 

Commission is also proposing § 43.3(f) to make clear the requirement for SDRs to notify 

submitting parties of a failure of its validation procedures and that an entity’s reporting 

obligation is not satisfied until the SDR’s validation procedures have been satisfied.

Therefore, proposed § 43.3(f)(1) would require that for an SDR to validate each 

STAPD report submitted it, the SDR shall notify the reporting counterparty, SEF, or 

DCM submitting the report whether the report satisfied the data validation procedures of 

the SDR. The SDR would have to provide such notice ASATP after accepting the 

STAPD report. Proposed § 43.3(f)(1) would provide that an SDR may satisfy the 

validation requirements by transmitting data validation acceptance messages as required 

by proposed § 49.10.98

Proposed § 43.3(f)(2) would provide that if a STAPD report submitted to an SDR

does not satisfy the data validation procedures of the SDR, the reporting counterparty, 

SEF, or DCM required to submit the report has not satisfied its obligation to report 

STAPD in the manner provided by § 43.3(d). The reporting counterparty, SEF, or DCM 

would not have satisfied its obligation until it submits the STAPD report in the manner 

 98 The Commission is proposing new regulations for SDRs to validate STAPD in a separate Roadmap 

proposal amending parts 45, 46, and 49.
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provided by § 43.3(d), which includes the requirement to satisfy the data validation 

procedures of the SDR.

10. § 43.3(h) – Timestamp Requirements

The Commission is proposing to delete the current timestamp requirements in § 

43.3(h).99 Regulation 43.3(h) sets forth timestamp requirements for registered entities, 

SDs, and MSPs with respect to STAPD for all PRSTs. 100 Pursuant to § 43.3(h)(1), SEFs 

and DCMs must timestamp STAPD relating to a PRST with the date and time, to the 

nearest second, of when such SEF or DCM receives data from a swap counterparty (if 

applicable), and transmits such data to an SDR for public dissemination. Pursuant to § 

43.3(h)(2), SDRs must timestamp STAPD relating to a PRST with the date and time, to 

the nearest second when such SDR receives data from a SEF, DCM, or reporting party, 

and publicly disseminates such data. Pursuant to § 43.3(h)(3), SDs or MSPs must

timestamp STAPD for off-facility swaps with the date and time, to the nearest second 

when such SD or MSP transmits such data to an SDR for public dissemination.

Regulation 43.3(h)(4) requires that records of all timestamps required by § 43.3(h) must

be maintained for a period of at least five years from the execution of the PRST.

 99 The Commission notes that it has proposed to remove and reserve current § 43.3(g), and move the 

substance of the current requirements in § 43.3(g) regarding SDR hours of operation to § 49.28. See 2019 

Part 49 NPRM at 20164. In this release, the Commission is proposing to relocate current § 43.3(i) to § 

43.3(g), in conjunction with the proposed removal of current § 43.3(h) discussed above, as well as make 

conforming changes to the wording.

100 In addition to allowing the Commission to monitor compliance with the timing requirements, 

timestamps also confirm for market participants that publicly reported STAPD is in fact being reported 

ASATP after transactions have been executed.
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As discussed in section III. below, the Commission is proposing an updated list of 

STAPD elements in appendix C where the timestamps described in § 43.3(h) would be 

covered. Therefore, the Commission proposes to remove the requirements in §§ 

43.3(h)(1)-(3) for SEFs, DCMs, SDs, MSPs, and SDRs to timestamp STAPD.

In addition, the Commission believes that the separate recordkeeping requirement 

for timestamps is duplicative of other recordkeeping requirements for SEFs, DCMs, SDs, 

MSPs, and SDRs. For instance, SDRs must already keep swap data for five years 

following the final termination of the swap and for an additional ten years in archival 

storage.

101 In the 2019 Part 49 NPRM, the Commission is proposing to more clearly 

include part 43 STAPD in the recordkeeping requirement in § 49.12(b)(1).102 SEFs, 

DCMs, SDs, and MSPs have similar recordkeeping requirements for swaps.103 As a 

result, when timestamps are reported or disseminated, SEFs, DCMs, SDs, MSPs, and 

SDRs subject to Commission jurisdiction have to maintain them as part of recordkeeping 

requirements separate from § 43.3(h)(4). Therefore, the Commission is also proposing to 

remove the requirement in § 43.3(h)(4) for these entities to keep records of the 

timestamps for at least five years from execution.

 101 See §§ 45.2(f) and (g) (containing recordkeeping requirements for SDRs); see also § 49.12(a)

(referencing part 45 recordkeeping requirements). In the 2019 Part 49 NPRM, the Commission is proposing 

to move the requirements in §§ 45.2(f) and (g) to § 49.12. See Certain Swap Data Repository and Data 

Reporting Requirements, 84 FR 21044, 21103-04. 102 The Commission is doing so by replacing the term “swap data” with “SDR data,” which the 

Commission proposes to define as data required to be reported pursuant to two or more of parts 43, 45, 46, 

or 49 of the Commission’s regulations. See Certain Swap Data Repository and Data Reporting 

Requirements, 84 FR 21044, 21103-04. 103 17 CFR 45.2(c) requires SDs, MSPs, SEFs, and DCMs subject to Commission jurisdiction to maintain 

records for each swap throughout the life of the swap for a period of at least five years following the final 

termination of the swap.
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Request for Comment

The Commission requests comment on all aspects of the proposed changes to 

§ 43.3. In addition, the Commission requests specific comment on the following:

(2) Instead of permitting a delay for PPS, should reporting counterparties be required to 

submit PPSs ASATP after execution using the Post-priced swap indicator (59), leaving 

the price empty and then be required to update that entry after the price is determined?

(3) Should the Commission permit an indefinite delay for reporting STAPD for PPSs? In

other words, should reporting such data be required only once the price and/or other

Variable Terms is/are known regardless of how long that takes? The Commission notes

that such swaps could be flagged on the public tape as PPSs once reported. Alternatively,

should the Commission set a shorter deadline for reporting STAPD for PPS?

(4) Should the Commission exclude from the PPS definition and/or from the reporting 

delay in proposed § 43.3(a)(4) swaps for which a price is not known at execution because 

it is contingent upon the outcome of SD hedging? Would permitting such swaps to 

receive the reporting delay in proposed § 43.3(a)(4) cause market participants to 

intentionally delay reporting in reliance on the need to hedge a swap where such market 

participants do not delay their reporting under current Commission reporting regulations?

(5) Should market participants be required to rely on the Commission’s block trade

reporting delays and capping and rounding rules, rather than proposed § 43.3(a)(4), to 

avoid the front-running concerns discussed above in section II.C.2.? Conversely, are the

CEA’s provisions and the Commission’s regulations sufficient to deter market 

participants from intentionally altering their behavior to delay their reporting of swaps for 
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which a price is not known at execution because it is contingent upon the outcome of SD 

hedging?

(6) Should the Commission modify its PPS indicator in appendix C, or add another 

indicator, to require market participants to indicate whether a swap is a PPS because it is 

contingent upon the outcome of SD hedging?

(7) Should the Commission modify its PPS indicator, or add another indicator, to require 

market participants to indicate whether a swap is a PPS based on other common reasons, 

such as the price being determined based on the volume-weighted average price (also 

known as “VWAP”) of an index level at market close?

(8) The Commission understands that trade at settlement (“TAS”) futures orders104 are 

displayed to the market when entered, in contrast to PPS executions under proposed § 

43.3(a)(4). Do the similarities between PPSs and TAS futures orders warrant reporting 

PPSs when executed, rather than by the deadline specified in proposed § 43.3(a)(4)? 

Conversely, do PPSs’ relative illiquidity vis-à-vis TAS futures orders warrant the 

reporting delay in proposed § 43.3(a)(4)?105

(9) Did the Commission accurately describe the prime brokerage swap transaction 

structures discussed above? Should the real-time public tape reflect the number of mirror 

 104 See, e.g., Trading at Settlement (TAS), CME Group Inc., available at 

https://www.cmegroup.com/trading/trading-at-settlement.html (explaining that “Trading at Settlement 

(TAS) order types . . . allow you to buy or sell a contract at the settlement price”). 105 See Paul Peterson, Trading at Settlement for Agricultural Futures: Results from the First Month, 

farmdocdaily, available at https://farmdocdaily.illinois.edu/2015/07/trading-at-settlement-for-agriculturalfutures.html (Jul. 29, 2015) (noting that “[t]o prevent [“banging the close” and other forms of 

manipulation] . . . from happening in the ag markets, TAS is available only in the most liquid commodities, 

and only in the most liquid contract months” and “[s]ome energy market participants claim that . . . price 

discovery is reduced because TAS trades are simply assigned a price without having to compete (like a 

limit or ‘price’ order would) for a price in the open market”).
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swaps related to a given trigger swap to provide information to the public on the number 

of prime brokerage swap transaction structures with multiple mirror swaps? Would such 

an indicator provide useful information to market participants?

(10) Should the Commission scale back the scope of the exclusion of mirror swaps from 

the PRST definition in proposed § 43.3(a)(6)(i) such that each of the following swaps 

would be PRSTs: (a) swaps executed as part of partial reverse give-up arrangements 

and/or (b) swaps executed as part of other prime brokerage transaction structures in 

which the notional amount of a mirror swap may differ from the notional amount of the 

corresponding trigger swap? Should the Commission scale back the scope of the 

exclusion of mirror swaps from the PRST definition in proposed § 43.3(a)(6)(i) such that 

the exclusion would be limited to “plain vanilla” mirror swaps?

(11) If a SD executed one or more swaps to hedge a swap that the SD had executed with 

a counterparty, and the hedging swap(s) was/were executed at the same price as the swap 

being hedged, the hedging swap(s) generally would be a PRST or PRSTs and, thus,

subject to part 43 reporting.106 Given the similarity of such transaction structures to 

trigger swap-mirror swap transactions structures, is it appropriate to treat mirror swaps as 

non-PRSTs pursuant to proposed § 43.3(a)(6)?

 106 But see paragraph (2) of the “Publicly reportable swap transaction” definition in § 43.2, which states that 

“Examples of executed swaps that do not fall within the definition of publicly reportable swap [transaction] 

may include: (i) Internal swaps between one-hundred percent owned subsidiaries of the same parent 

entity[.]”
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(12) Should the Commission modify proposed § 43.2(a) to include a carve out for prime 

brokerage service fees to reflect that such fees might not be included in all such mirror 

swaps?

(13) Is the proposed definition of “prime broker” sufficient and clear enough to accurate 

describe the term as understood in common industry practice? Is it sufficiently narrow to 

limit the non-reporting of mirror swaps to transactions involving “prime brokers,” as that 

term is understood in the market? If the Commission should propose a different definition 

of “prime broker,” what should that definition be?

(14) In order to ensure data quality, should the Commission mandate a certain standard 

for reporting to the SDRs? If so, what standard should the Commission mandate and what 

would be the benefits of mandating this standard? If not, why should the Commission not

mandate a standard?

D. § 43.4 – Swap Transaction and Pricing Data to be Publicly Disseminated in RealTime

1. § 43.4(a)-(e) – Public Dissemination, Additional Swap Information, Anonymity, and

Unique Product Identifiers

The Commission proposes to make several primarily non-substantive changes to

current §§ 43.4(a)-(e), (g) and (h). As background, § 43.4(a) generally requires that

STAPD must be reported to an SDR so that the SDR can publicly disseminate it in realtime, including according to the manner described in § 43.4 and appendix A. The

Commission proposes to delete current § 43.4(a). The Commission believes that current §
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43.4(a) is overly general. As a result of removing current § 43.4(a), the Commission

proposes to re-designate §§ 43.4(b)-(d) as §§ 43.4(a)-(c).

Current § 43.4(b) requires that any SDR that accepts and publicly disseminates

STAPD in real-time shall publicly disseminate the information described in appendix A,

as applicable, for any PRST. The Commission proposes to re-designate § 43.4(b) as §

43.4(a), and make conforming changes. As proposed, § 43.4(a) would require that any

SDR that accepts and publicly disseminates STAPD in real-time shall publicly

disseminate the information for the STAPD elements in appendix C to part 43 in the form

and manner provided in the technical specifications published by the Commission.

Current § 43.4(c) states that SDRs that accept and publicly disseminate STAPD in

real-time may require reporting parties, SEFs, and DCMs to report to the SDR

information necessary to compare the STAPD that was publicly disseminated in real-time

to the data reported to an SDR pursuant to section 2(a)(13)(G) of the CEA or to confirm

that parties to a swap have reported in a timely manner pursuant to § 43.3. The

Commission proposes to re-designate § 43.4(c) as § 43.4(b) and make minor nonsubstantive changes.

Current § 43.4(d) contains regulations for maintaining the anonymity of the

parties to a PRST. The Commission is proposing to re-designate § 43.4(d) as § 43.4(c)

and make minor non-substantive changes. Among these changes, the Commission is

proposing to remove current § 43.4(d)(4)(i)-(iii); re-designate § 43.4(d)(4) as §

43.4(c)(4); and consolidate the substance of §§ 43.4(d)(4)(i) and (iii) in proposed §

43.4(c)(4). These actions would remove the requirement in current § 43.4(d)(4)(ii) that
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registered SDRs publicly disseminate the actual assets underlying other commodity

swaps that either reference one of the contracts described in appendix B to part 43107 or

that are economically related to such contracts.108

Currently, depending on the assets underlying other commodity swaps, such 

assets are either disseminated as reported or are disseminated as described in § 

43.4(d)(4)(iii). Current § 43.4(d)(4)(iii) states that the underlying assets of swaps in the 

“other commodity” asset class that are not described in § 43.4(d)(4)(ii) shall be publicly 

disseminated by limiting the detail of the underlying assets. Current § 43.4(d)(4)(iii) also 

states that the identification of any specific delivery point or pricing point associated with 

the underlying asset of such “other commodity” swap shall be publicly disseminated 

pursuant to appendix E to part 43.

As proposed to be amended, § 43.4(c)(4) would provide the same geographic 

masking treatment for all assets underlying “other commodity” swaps, namely the 

geographic masking described in current § 43.4(d)(4)(iii). The Commission believed 

when adopting part 43 that other commodity swaps referencing or economically related 

to one of the contracts described in appendix B to part 43 were sufficiently liquid that 

publicly disseminating such information would not identify the swap counterparties109 or 

 107 See current § 43.3(d)(4)(ii)(A). 108 See current § 43.3(d)(4)(ii)(B).

109 See Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1211. CEA section 

2(a)(13)(E)(i) requires the Commission to ensure that information disseminated pursuant to its real-time 

reporting rules does not identify swap “participants.” 7 U.S.C. 2(a)(13)(E)(i).
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materially reduce swap market liquidity.110 However, the Commission preliminarily 

believes that other commodity swaps referencing, or economically related to, the 

contracts in appendix B may still be sufficiently bespoke to warrant additional masking. 

Consequently, the Commission proposes to remove the requirement in current § 

43.4(d)(4)(ii) that registered SDRs publicly disseminate the actual assets underlying other 

commodity swaps that either reference one of the contracts described in appendix B to 

part 43 or that are economically related to such contracts. Because the Commission 

proposes to remove that requirement from current § 43.4(d)(4)(ii), the Commission also 

proposes to remove appendix B to part 43 from its regulations. The Commission also 

proposes to redesignate current appendix E as appendix B.

Finally, current § 43.4(e) permits SDRs to disseminate UPIs for certain data fields

once a UPI is available. The Commission proposes to delete current § 43.4(e), which

gives SDRs discretion regarding what fields to publicly disseminate after a UPI exists.111

As discussed below in section III., the UPI will be addressed in the STAPD elements in

appendix C.

2. § 43.4(f)-(g) – Process to Determine Appropriate Rounded Notional or Principal 

Amounts

 110 CEA section 2(a)(13)(E)(iv) requires the Commission to take into account whether public disclosure 

pursuant to its real-time reporting rules will materially reduce market liquidity. 7 U.S.C. 2(a)(13)(E)(iv). 111 The Commission has not yet designated a UPI and product classification system to be used in 

recordkeeping and swap data reporting pursuant to § 45.7.
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Current § 43.4(f) requires that reporting parties, SEFs, and DCMs report the

actual notional or principal amount of any swap, including block trades, to an SDR that

accepts and publicly disseminates such data pursuant to part 43.112

As discussed above, the Commission is proposing to remove §§ 43.4(a) and (e),

and re-designate § 43.4(b)-(d) as § 43.4(a)-(c). As a result of these changes, the

Commission proposes to re-designate § 43.4(f) as § 43.4(d) and make minor nonsubstantive changes.

3. § 43.4(g) – Public Dissemination of Rounded Notional or Principal Amounts

As discussed above, the Commission is proposing to redesignate current § 43.4(f)

as § 43.4(d). As a result of these changes, the Commission is proposing to re-designate

current § 43.4(g) as § 43.4(e) and make minor non-substantive edits.

One of these non-substantive edits is a structural change in the regulations.

Current § 43.4(g), titled “Public dissemination of rounded notional or principal amounts,”

states that the notional or principal amount of a [PRST], as described in appendix A to

this part, shall be rounded and publicly disseminated by a registered [SDR],” and then

sets out the rules for rounding.

The Commission is proposing to rephrase § 43.4(g), which would be redesignated as § 43.4(e), to state that the notional or principal amount of a PRST shall be

publicly disseminated by an SDR subject to rounding as set forth in § 43.4(f) and a cap

size as set forth in § 43.4(g).

 112 17 CFR 43.4(f)(1)-(2).
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Then, the rounding rules in current § 43.4(g) would be in a new section § 43.4(f)

titled “Process to determine appropriate rounded notional or principal amounts.” Section

§ 43.4(f) would then contain the rounding rules for SDRs, subject to two substantive

changes explained below, among other non-substantive changes.

The Commission proposes amending §§ 43.4(g)(8) and (9), which would be redesignated as §§ 43.4(f)(8) and (9). Current § 43.4(g)(8) requires a registered SDR to 

round the notional or principal amount of a PRST to the nearest one billion if it is less 

than 100 billion but equal to or greater than one billion. The Commission proposes to 

amend proposed § 43.4(f)(8) to require rounding to the nearest 100 million instead of one 

billion. Current § 43.4(g)(9) requires a registered SDR to round the notional or principal 

amount of a PRST to the nearest 50 billion if it is greater than 100 billion. The 

Commission proposes to amend § 43.4(f)(9) to require rounding to the nearest 10 billion 

and to add the words “equal to or” before “greater than 100 billion” to include swaps with 

notional or principal amounts that are exactly 100 billion, the omission of which from the 

2012 RTR Final Rule appears to have been an oversight.113

 113 The omission of swaps with notional or principal amounts of exactly 100 billion did not change the 

rounding result. Although such swaps are not presently subject to rounding due to their omission from § 

43.4(g)(9), even if they were included therein, because their notional or principal amount is a round number 

already, they would not have been rounded, and would not be rounded as a result of proposed § 43.4(f)(9). 

However, because all swaps with notional or principal amounts of greater than 100 billion will be rounded 

to the nearest 10 billion if § 43.4(f)(9) is adopted as proposed, such swaps would still obtain the 

anonymizing benefits of §§ 43.4(f)(8) and (9) when 100 billion is the nearest number to round to pursuant 

to §§ 43.4(f)(8) or (9), as applicable.
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The Commission is concerned that broadly rounded notional or principal amounts

could undermine the price discovery purpose of real time reporting.114 The Commission

is particularly concerned about swaps with notional or principal amounts over 1 billion,

because there tend to be fewer swaps of such size relative to swaps with smaller notional

or principal amounts. The Commission preliminarily believes that smaller rounding

increments for the notional or principal amount of swaps covered by proposed §§

43.4(f)(8) and (9) would improve price discovery for such swaps. Rounding the notional

or principal amounts in smaller increments in proposed §§ 43.4(f)(8) and (9) also would

be consistent with the rounding increments prescribed in § 43.4(g)(1)-(7) (i.e., proposed §

43.4(f)(1)-(7)) on a percentage basis. The Commission preliminarily believes that the

rounding increments in proposed §§ 43.4(f)(8) and (9) are sufficiently wide to protect the

anonymity of swap counterparties, but invites comment on this issue. Additionally, the

Commission intends to continue to limit geographic detail about delivery and pricing

points and to provide notional or principal cap sizes, each of which further protects swap

counterparties’ anonymity.115

4. § 43.4(h) – Process to Determine Cap Sizes

As a result of the above proposal to re-designate current § 43.4(g) as § 43.4(e) and

create a separate section for rounding in § 43.4(f), the Commission is proposing to re-

 114 See CEA section 2(a)(13), 7 U.S.C. 2(a)(13) (stating that “[t]he purpose of this section is to authorize the 

Commission to make swap transaction and pricing data available to the public in such form and at such 

times as the Commission determines appropriate to enhance price discovery”). 115 See proposed §§ 43.4(c)(4) (limiting geographic detail) and 43.4(g) (notional or principal cap sizes).
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designate current § 43.4(h) as § 43.4(g). Current § 43.4(h) contains, and proposed §

43.4(g) would contain, the cap size rules for SDRs.

As background, the initial cap sizes were to be equal to the greater of the initial

AMBS for the respective swap category in appendix F or the respective cap sizes in §

43.4(h)(1)(i)-(v).116 The Commission was to establish post-initial cap sizes, according to

the process in § 43.6(f)(1), using reliable data collected by SDRs based on a one-year

window of STAPD corresponding to each relevant swap category, recalculated no less

than once each calendar year and using the 75-percent notional amount calculation

described in § 43.6(c)(3) applied to the STAPD.117 The Commission was to publish postinitial cap sizes on its website at www.cftc.gov,

118 and the caps were to be effective on the

first day of the second month following the date of publication.119

Since the Commission has not yet moved to the post-initial period, the

Commission now proposes to move to the post-initial cap sizes based on the 75%

notional calculation, as the Commission directed itself to do in current § 43.4(h)(2). In

 116 17 CFR 43.4(h)(1). If appendix F did not provide an initial AMBS for a particular swap category, the 

initial cap size for such swap category would be equal to the appropriate cap size as set forth in § 

43.4(h)(1)(i)-(v). As discussed in section II.F.3., the Commission is proposing to remove appendix F and 

publish the AMBSs and cap sizes on the Commission’s website, www.cftc.gov. Current § 43.4(h)(1) also 

requires SDRs, when publicly disseminating the notional or principal amounts for each such category, to 

disseminate the cap size specified for a particular category rather than the actual notional or principal 

amount in those cases where the actual notional or principal amount of a swap is above the cap size for its 

category. Current § 43.4(h) does not explicitly state that an SDR must publicly disseminate swap data 

subject to the cap size limit, but the Commission clarified this requirement in the preamble to the 2012 

RTR Final Rule. See Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1214. 117 17 CFR 43.4(h)(2). 118 17 CFR 43.4(h)(3).

119 17 CFRC 43.4(h)(4).
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addition, the Commission is proposing several amendments to the substance of the cap

size regulations that the Commission will discuss in this section.

Structurally, the Commission proposes to remove the “initial cap sizes” and

relabel the “post-initial cap sizes” as the “cap sizes.” Because the initial cap sizes will be

superseded by the post-initial cap sizes once adopted, there is no longer any need to

distinguish between initial cap sizes and post-initial cap sizes. Specifically, the

Commission proposes to remove the initial cap sizes in § 43.4(h)(1) and establish cap

sizes, which would not be referred to as post-initial cap sizes, in proposed § 43.4(g) that

align with the methodology for setting block sizes in proposed § 43.6(e).

The initial cap sizes for the asset classes other than equities are currently equal to 

the greater of the initial AMBS set forth in appendix F to part 43 or the applicable cap 

size set forth in §§ 43.4(h)(1)(i)-(v). Appendix F sets forth initial AMBS by asset class 

and, within asset class, by various other categories. Current §§ 43.4(h)(1)(i)-(v) contain 

cap sizes for swaps, categorized by asset class,120 expressed in notional or principal 

amounts.

The proposed cap sizes would be based on a 75-percent notional amount 

calculation for a select set of swap categories in the interest rate, credit, foreign exchange 

(“FX”) (consisting of U.S. currency and specified non-U.S. currency pairs), and other 

commodity asset classes,

121 as the Commission had intended when finalizing the Block 

 120 For swaps in the interest rate asset class, there are three separate cap sizes for different tenors. 121 The Commission is not proposing to revise the current cap size for equities in § 43.4(h)(1)(iii). Instead, 

the Commission proposed to redesignate current § 43.4(h)(1)(iii) as § 43.4(g)(6) and leave the cap size for 

swaps in the equity category as USD 250 million.
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Trade Rule. The Commission proposes to establish the cap sizes for these swap 

categories set forth in proposed §§ 43.6(b)(1)(i) (interest rate), (b)(2)(i)-(vii) (credit), 

(b)(4)(i) (FX), and (b)(5)(i) (other commodity), using the same methodology that the 

Commission proposes to use to establish AMBSs for those categories, but using a 75% 

notional amount calculation for the cap sizes rather than the 67% notional amount 

calculation that the Commission proposes to use to establish AMBSs.122

Additionally, the proposed cap sizes for those swap categories containing swaps 

with limited trading activity in the interest rate, credit, equity, FX, and other commodity 

asset classes would be set at USD 100 million, USD 400 million, USD 250 million, USD 

150 million, and USD 100 million, respectively, in § 43.4(g)(4)-(8).

123

Furthermore, as discussed below in II.F.2., the Commission also proposes to 

revise the current 75-percent notional amount calculation currently used for setting postinitial cap sizes and, as discussed below in II.F.1, to revise the swap categories used to 

calculate cap sizes.

The Commission preliminarily believes that requiring itself to recalculate the cap 

size no less than once each calendar year, as required by current § 43.4(h)(2)(i), could 

lead to frequent updates to systems for SDRs without a clear benefit to the real-time 

public tape. Instead, the Commission is proposing a flexible approach to determine if 

 122 See section II.F.3. below for a discussion of the Commission’s proposal to revise the process to 

determine AMBS. As mentioned above, using the 75% notional amount calculation would be consistent 

with what the Commission had intended when it adopted the Block Trade Rule. See 17 CFR 43.4(h)(2). 123 Proposed § 43.4(g)(4)-(8) would reference the regulations containing the categories for swaps with 

limited trading activity: § 43.6(b)(1)(i) (interest rate); § 43.6(b)(2)(viii) (credit); § 43.6(b)(3) (equity); § 

43.6(b)(4)(iii) (FX); § 43.6(b)(5)(ii) (other commodity). The Commission’s process for determining these 

categories is discussed in section II.F.1. below.
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recalculating those cap sizes, based on the 75-percent notional amount calculation, is 

merited. The Commission expects to evaluate the swap markets and trading in the 

proposed swap categories on an ongoing basis. The Commission believes this approach 

would strike the right balance between updating the cap sizes when doing so would 

benefit the public tape and not wanting to require SDRs to make unnecessary system 

changes.

For those cap sizes for which the Commission has established fixed USD 

amounts, there is no calculation or calculation method to update. Instead, the 

Commission expects to propose new cap sizes for these swap categories in the future if 

the Commission believes it warranted.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to

§ 43.4. In addition, the Commission specifically requests comment on the following:

(15) Each of § 43.4(f)(1)-(9) directs an SDR to “round” to the nearest specified amount, 

rather than to round up or down to the nearest specified amount. Should the Commission 

specify in proposed §§ 43.4(f)(1)-(9) that an SDR must round up, or down, to the nearest 

specified amount and in which circumstances an SDR must round up or down to the 

nearest specified amount? If so, what rounding convention should the Commission 

specify?

(16) Should the Commission require the removal of any caps that were applied pursuant 

to § 43.4(h) after six months and thereby reveal the actual notional amount of any capped 
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amounts once six months has passed? Would six months be long enough to mitigate any 

anonymity concerns? 

E. § 43.5 – Time Delays for Public Dissemination of Swap Transaction and Pricing Data

1. § 43.5(a) – General Rule

The Commission proposes several changes to § 43.5(a). Current § 43.5(a) states 

that the time delay for the real-time public reporting of a block trade or LNOF begins 

upon execution, as defined in § 43.2. Current § 43.5(a) goes on to state that it is the 

responsibility of the registered SDR that accepts and publicly disseminates STAPD in 

real-time to ensure that the block trade or LNOF STAPD is publicly disseminated 

pursuant to part 43 upon the expiration of the appropriate time delay described in §§

43.5(d) through (h).

The Commission proposes to change the reference to “public reporting” of a 

block trade or LNOF to “dissemination” thereof to reflect that reporting counterparties

report STAPD to an SDR pursuant to part 43 but SDRs “disseminate” it by making such 

STAPD public. The Commission also proposes to remove references to LNOF 

transactions in § 43.5(a), and throughout part 43, to reflect that the Commission is 

proposing to establish, in § 43.5(c), discussed below in section II.E.3., a single time delay 

for public dissemination of STAPD of a swap with a notional or principal amount at or 

above the AMBS. The other proposed changes to § 43.5(a) are ministerial, conform to the 

proposed removal of §§ 43.5(c)-(h), or are discussed elsewhere in this NPRM.

As revised, proposed § 43.5(a) would state that the time delay for the real-time 

public dissemination of a block trade begins upon execution, as defined in § 43.2(a). 
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Proposed § 43.5(a) would go on to state that it is the responsibility of the SDR that 

accepts and publicly disseminates STAPD in real-time to ensure that the STAPD for 

block trades is publicly disseminated pursuant to part 43 upon the expiration of the 

appropriate time delay described in § 43.5(c).

2. § 43.5(b) – Public Dissemination of Publicly Reportable Swap Transactions Subject to 

a Time Delay

The Commission proposes to remove unnecessary text from § 43.5(b). Currently, 

§ 43.5(b) uses a three-part description of the timing for a registered SDR to publicly 

disseminate STAPD that is subject to a time delay. Specifically, § 43.5(b) states that “[a]

registered [SDR] shall publicly disseminate [STAPD] that is subject to a time delay 

pursuant to this paragraph, as follows: (1) no later than the prescribed time delay period 

described in this paragraph; (2) no sooner than the prescribed time delay period described 

in this paragraph; and (3) precisely upon the expiration of the time delay period described 

in this paragraph.”124 The Commission proposes to remove the requirements of §§ 

43.5(b)(1) and (2) that registered SDRs must disseminate the specified STAPD no sooner 

than, and no later than the prescribed time delay period and to retain the requirement of § 

43.5(b)(3) that SDRs must disseminate the specified STAPD precisely upon the 

expiration of the time delay period. The precisely upon language implicitly includes 

prohibitions on both disseminating the STAPD sooner that the prescribed time delay 

period and disseminating it any later than such period, so these proposed changes are not 

 124 Emphasis added.
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substantive. The Commission also proposes to make ministerial rephrasing amendments 

to § 43.5(b).

As revised, proposed § 43.5(b) would state that an SDR shall publicly disseminate 

STAPD that is subject to a time delay precisely upon the expiration of the time delay 

period described in § 43.5(c).

3. § 43.5(c)-(h) – Removal of Certain Regulations Related to Time Delays

The Commission proposes to remove current §§ 43.5(c)-(h) and add a new § 

43.5(c) that requires SDRs to implement a time delay of 48 hours for disseminating 

STAPD for each applicable swap transaction with a notional or principal amount above 

the corresponding AMBS, if the parties to the swap have elected block treatment.

Because the time delays in proposed § 43.5(c) would replace the time delays in current 

appendix C, the Commission also proposes to remove appendix C.

125

Current § 43.5(c) provides interim time delays for each PRST, not just block 

trades and LNOFs, until an AMBS is established for such PRST. The Commission 

adopted § 43.5(c) in case compliance with part 43 was required before the establishment 

of AMBSs.

126 Because the Commission has now established AMBSs by swap 

category,

127 current § 43.5(c) is no longer applicable. Therefore, the Commission 

proposes to remove current § 43.5(c).

 125 As discussed in section III, the Commission is proposing to replace appendix C with the list of STAPD 

elements that would be publicly disseminated by SDRs.

126 See Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1217 (stating “it is possible 

that compliance with part 43 may be required before the establishment of [AMBSs] for certain asset classes 

and/ or groupings of swaps within an asset class”).

127 See § 43.6 (setting forth the block sizes for various swap categories).
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Current §§ 43.5(d)-(h) phased in the various time delays for the dissemination of 

swap block trades and LNOFs over a one to two year period. The Commission believed 

when it adopted those regulations that “providing longer time delays for public 

dissemination during the first year or years of real-time reporting [would] enable market 

participants to perfect and develop technology and to adjust hedging and trading 

strategies in connection with the introduction of post-trade transparency.”128 Now that the 

phasing in of the time delays in current §§ 43.5(d)-(h) is complete, the Commission is 

proposing to remove the text remaining from the phase-in concept.

Current §§ 43.5(d)-(h) provide specific time delays for the public dissemination of 

STAPD by an SDR.

129 As background, CEA section 2(a)(13)(E)(iv) directs the 

Commission to take into account whether public disclosure of STAPD “will materially 

reduce market liquidity.” When the Commission adopted the Block Trade Rule in 2013, 

the Commission understood that the publication of detailed information regarding 

“outsize swap transactions” (i.e., block trades and LNOFs) could expose swap 

counterparties to higher trading costs.130 In this regard, the publication of detailed 

information about an outsize swap transaction could alert the market to the possibility 

that the original liquidity provider to the outsize swap transaction will be re-entering the 

market to offset that transaction. Other market participants, alerted to the liquidity 

provider’s large unhedged position, would have a strong incentive to exact a premium 

 128 Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1217.

129 The time delays are discussed above in section I.B. 130 See Block Trade Rule at 32871 n.44 (stating that “an ‘outsize swap transaction’ is a transaction that, as a 

function of its size and the depth of the liquidity of the relevant market (and equivalent markets), leaves one 

or both parties to such transaction unlikely to transact at a competitive price”).
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from the liquidity provider when the liquidity provider seeks to enter into offsetting 

trades to hedge this risk. As a result, liquidity providers may be deterred from becoming 

counterparties to outsize swap transactions if STAPD is publicly disseminated before 

liquidity providers can adequately offset their positions.

If a liquidity provider agrees to execute an outsize swap transaction, it likely will 

charge the counterparty the additional cost associated with hedging this transaction. In 

consideration of these potential outcomes, the Commission established the time delays 

for block trades and LNOFs to balance public transparency and the concerns that posttrade reporting would reduce market liquidity.131 The Commission noted when proposing 

the time delays for block trades and LNOFs that it would continue to analyze and study 

the effects of increased transparency on post-trade liquidity in the context of block trades 

and LNOFs.132

When the Commission adopted the block delays in 2012, it noted that 

commenters to the proposal recommended a range of time delays for public 

dissemination of block trades and LNOFs, including end-of-day, 24 hours, T+1, T+2, a 

minimum of four hours, and 180 days.133 In the Roadmap, DMO stated an intention to 

evaluate real-time reporting regulations in light of goals of liquidity, transparency, and 

 131 Cf. Federal Reserve Bank of New York Staff Reports, An Analysis of OTC Interest Rate Derivatives 

Transactions: Implications for Public Reporting (Mar. 2012, revised Oct. 2012) at 3 (explaining that most 

post-trade reporting regimes allow for reduced reporting requirements for large transactions since 

immediate reporting of trade sizes has the potential to disrupt market functioning, deter market-making 

activity, and increase trading costs).

132 See Real-Time Public Reporting of Swap Transaction Data, 75 FR 76140, 76159 n.67 (Dec. 7, 2010). 133 See Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1216.
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price discovery in the swaps market.134 In response, the Commission received additional 

comments on the block delays.

One commenter generally supported DMO’s efforts to review public 

dissemination requirements in light of product liquidity, and asserted that DMO should 

consider whether there should be increased time delays for public reporting of block 

trades.135 Another commenter requested that as DMO considered whether to shorten 

reporting deadlines and, relatedly, public dissemination of the data, DMO evaluate the 

impacts, if any, on market liquidity and counterparty confidentiality.136 This commenter 

went on to explain that any changes in the speed for public dissemination could 

potentially be counterproductive and harmful and could further the need to examine block 

trade thresholds to protect counterparties and markets.137

In response to a later-announced Commission review of its rules, a commenter 

expressed concern that, with respect to block trades, fifteen minutes is too short a window 

within which to execute large hedging programs, which typically take several days or 

even weeks to execute, and current block trade reporting delays do not give end-users 

sufficient flexibility for creating efficient trade execution strategies without the risk of 

potentially revealing counterparty identities.138 According to this commenter, anecdotal 

evidence suggests that data mining is pervasive, and that market participants have 

 134 Roadmap at 11. 135 Joint ISDA-SIFMA Letter at 9. 136 Letter from SIFMA-AMG at 3. 137 Id. 138 Letter from the Financial Services Roundtable at 27.
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reported repeated instances in which markets have moved away from them shortly after 

beginning to execute large transactions as part of a hedging strategy.139

DMO and the Commission did receive comments supporting the current, shorter, 

block delay. One commenter stated that the “delay periods governing block trades should 

be minimized to what is truly essential and the size thresholds should be similarly high to 

minimize opacity in the market.”140 Similarly, another commenter requested that given 

the existing 15 minute delay from real-time public reporting, the Commission should 

endeavor to update the block thresholds using recent market data to avoid risking that too 

many, or not enough, transactions are eligible for the delay from real-time public 

reporting requirements.141

In particular, the Commission is receptive to concerns that market participants

may generally seek to hedge their portfolios before the close of business on the day a 

swap is executed, which would seem to support an either 24-hour or end-of-day reporting 

delay. The Commission understands that there are many variables that influence the time 

a market participant may take to put on a hedge, including risk tolerance to a price 

change, the risk of information leakage, the asset class involved and perceived demand 

for the hedge from other market participants, as well as consideration of the deadlines 

imposed by other authorities.

142 In light of these considerations, the Commission 

 139 Id. 140 Letter from Better Markets at 7. 141 Letter from Citadel at 3. 142 The Commission notes that that the European Union’s regulatory technical standards on transparency 

requirements for trading venues and investment firms for non-equity financial instruments under MiFID II 

(commonly referred to as RTS 2) provides that large-in scale swap transactions are eligible for deferred 
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proposes to extend the delay to 48 hours for all block trades as a conservative measure to 

account for potential situations when a market participant requires additional time to 

place a hedge position without significant unfavorable price movement and to create 

some consistency with the disclosure requirements of other authorities for non-liquid 

swaps.

A 48 hour time delay would extend, in each case, the time delay applicable to

block trades or LNOFs pursuant to current §§ 43.5(d)-(g).143 The longest current time 

delay is the 24 business hour time delay in § 43.5(h)(3) for LNOFs that are not subject to 

mandatory clearing or are exempt from such mandatory clearing and in which neither 

counterparty is an SD or MSP. Due to weekends and holidays, that delay is often longer 

than 48 hours. Although the proposed 48 hour time delay may in some cases be shorter 

than the 24 business hour time delay,144 as noted above, the Commission preliminarily 

believes that a 48 hour time delay is more appropriate and should be sufficient.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to 

§ 43.5. In particular, the Commission requests comment on the following: 

 publication for two working days. See Article 8 of (EU) 2017/583 supplementing Regulation (EU) 

No 600/2014 of the European Parliament and of the Council on markets in financial instruments with 

regard to regulatory technical standards on transparency requirements for trading venues and investment 

firms in respect of bonds, structured finance products, emission allowances and derivatives (July 14 2016).

143 The Commission supports setting the same time delay for all outsize swap transactions. The 

Commission believes that setting dissimilar (i.e., relatively shorter and longer) time delays for different 

swap transactions may inappropriately disadvantage hedging the risk of swaps in certain categories 

compared to hedging the risk of others, as discussed below in the context of § 43.5(h)(3).

144 For example, during a typical five business day work week, a block trade executed midday Monday 

would have to be disseminated no later than midday Tuesday, whereas a 48 hour time delay would permit 

delaying the dissemination of such swap until midday Wednesday.
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(17) The Commission understands that for many trades that meet the definition of a 

block trade, the hedging process is often completed as quickly as possible and typically 

by the end of the trading day in which the block trade is executed so that the liquidity 

provider can establish its profit or loss on the transaction. On the other hand, some block 

trades that are very large in size or have unique characteristics could take longer than a 

single trading period to hedge. To balance the competing interest of price discovery and 

allowing hedging to occur, should the Commission consider two delay periods? For 

example, would a 15 minute, one hour, end of day, or 24 hour time delay be appropriate 

for swaps that fall within a 67 percent to 90 or 95 percent of the total notional amount of 

transactions range, while block trades that exceed the higher level would have a 48 hour 

time delay? If so, what would be the appropriate ranges for the total notional amounts and 

time delay periods? The Commission invites comments on all aspects of the block delay, 

including how the Commission should analyze swaps in each asset class for the purpose 

of analyzing the block delay with respect to data sets and methodologies, among other 

factors.

F. § 43.6 – Block Trades

1. § 43.6(b) – Swap Categories

In the Block Trade Rule, the Commission assigned swap contracts to “swap

categories” for the purpose of applying a common AMBS to different swap
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transactions.145 Section 43.6(a) states that the Commission shall establish the AMBS for

PRSTs based on the swap categories set forth in § 43.6(b) in accordance with the

provisions set forth in paragraphs (c), (d), (e), (f) or (h) of § 43.6, as applicable.146

To create the swap categories, the Commission divided swap contracts into five

asset classes: interest rates; equity; credit; FX; and other commodity. The Commission

then subdivided these asset classes into the various swap categories in § 43.6(b). The

swap category criteria used by the Commission were intended to address the following

two policy objectives: (1) categorizing together swaps with similar quantitative or

qualitative characteristics that warrant being subject to the same AMBS; and (2)

minimizing the number of swap categories within an asset class in order to avoid

unnecessary complexity in the determination process.147

The Commission is concerned that some of the current swap categories include

multiple swap transaction types that have different average notional amounts resulting in

an AMBS for the swap category that has a disparate impact on swap transaction types

that currently fall within the same swap category. For instance, current swap categories

group together economically distinct swaps, such as interest rate swaps (“IRSs”)

denominated in U.S. dollars (“USD IRSs”) and IRSs denominated in Japanese yen (“JPY

 145 As discussed above in section II.D.3., the process to determine cap sizes in proposed § 43.4(g) depends 

on the swap categories in proposed § 43.6(b) and the methodologies in proposed § 43.6(c). 146 Regulation 43.6(c) sets forth the methodologies to determine AMBS and cap sizes. Regulation 43.6(d) 

specifies that there are no AMBSs for equity swaps. Regulation 43.6(e) sets forth the initial AMBSs, and § 

43.6(f) sets forth the post-initial process to set AMBSs. Regulation 43.6(h) sets forth special provisions 

relating to AMBSs and cap sizes. The proposed changes to each of §§ 43.6(c), (e), and (f) will be discussed 

in II.F.2., 3., and 4., respectively. The Commission is not proposing to amend § 43.6(d). 147 See Block Trade Rule at 32872.
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IRSs”). Because the notional amounts of USD IRS transactions is, on average, higher

than the notional amounts of JPY IRS transactions, the Commission preliminarily

believes that the current IRS AMBS, which includes transactions from a group of

currencies, is too high for some products, like JPY IRSs, and too low for others, like USD

IRSs. In other words, USD IRSs are eligible for a dissemination delay, even though a

delay may be unnecessary for a counterparty to hedge the trade at minimal additional cost

due to the trade size, and that JPY IRSs are not eligible for a dissemination delay when

the Commission preliminarily believes a delay is necessary for a counterparty to hedge

the trade without incurring material additional costs due to the trade size.

In publishing the Block Trade Rule, the Commission had to rely on a small,

private data set limited to IRSs and credit swaps.148 Today, the Commission is able to

analyze swap data from the SDRs. As described in the below sections, based on

Commission staff analysis of SDR swap data across all asset classes, as well as

discussions with market participants, the Commission preliminarily believes it is

appropriate to re-evaluate the current swap categories for IRSs, credit swaps, FX swaps,

and other commodity swaps in § 43.6(b).149

Although maintaining a limited set of swap categories is necessary, as a practical

matter, to implement the block protocol and avoid excess complications and costs for

market participants, the Commission believes that the AMBS for a swap category should

 148 See Block Trade Rule at 32873. For the Block Trade Rule, the Commission relied on transaction-level 

data for credit swaps and IRSs from Over-the-Counter Derivatives Supervisors Group, IRS data from 

MarkitSERV, and credit data from The Warehouse Trust Company.

149 As discussed below in section II.F.1.c., the Commission is not proposing to amend the equity asset class 

in current § 43.6(b)(3).
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be suited to the specific swap products in the swap category. Consequently, in some

cases, the Commission is recommending increasing the number of swap categories to

encompass smaller sets of swap transactions. The Commission preliminarily believes that

the amendments to the categories proposed below would allow better tailoring of the

block size to the profile of the swap transactions within the applicable swap category.

For the below analysis, Commission staff reviewed swap data from SDRs for a 

one-year period from May 2018 to May 2019 to develop swap categories that would 

generate block sizes suitable for the individual swap products in the category. The 

Commission then identified the proposed criteria discussed below as the most relevant for 

purposes of its analysis, for the reasons explained below. The Commission anticipates 

that these criteria would provide an appropriate way to group swaps with economic 

similarities while reducing unnecessary complexity for market participants in 

determining whether their swaps are classified within a particular swap category.

a. Interest Rate Asset Class

Current § 43.6(b)(1) sets forth the IRS categories. The current IRS categories are

based on a unique combination of three currency groups and nine tenor ranges, for a total

of 27 categories. The three currency groups are super-major currencies,150 major

currencies,151 and non-major currencies.152 The tenor ranges are: zero to 46 days; 47 to

 150 The term “Super-major currencies” is defined in § 43.2 as the currencies of the European Monetary 

Union (i.e., the euro), Japan (i.e., the yen), the United Kingdom (i.e., the pound sterling), and the United 

States (i.e., the U.S. dollar).

151 The term “Major currencies” is defined in § 43.2 as the currencies, and the cross-rates between the 

currencies, of Australia (i.e., the Australian dollar), Canada (i.e., the Canadian dollar), Denmark (i.e., the 

Danish krone), New Zealand (i.e., the Kiwi dollar), Norway (i.e., the Norwegian krone), South Africa (i.e., 
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107 days; 108 to 198 days; 199 to 381 days; 382 to 746 days; 747 to 1,842 days; 1,843 to

3,668 days; 3,669 to 10,973 days; or 10,974 days and above.153

At the time the categories were adopted, the Commission recognized that using 

individual currencies would have correlated better with the underlying curves.154

However, the Commission was concerned that using individual currencies would have 

resulted in nearly 200 swap categories, and the Commission had wanted to reduce the 

number to avoid unnecessary complexity.155 The Commission was also concerned that 

more categories would not substantially increase the explanation of variations in notional 

amounts, and that some categories would contain too few observations.156

In reviewing the 2018-2019 STAPD, the Commission found that 15 currencies 

made up 96% of the total population of IRS trades. These 15 currencies are the currencies 

of Australia, Brazil, Canada, Chile, Czech Republic, the European Union, Great Britain, 

India, Japan, Mexico, New Zealand, South Africa, South Korea, Sweden, or the United 

States.

In light of the foregoing, for IRSs, the Commission proposes to establish separate

swap categories for each combination of the 15 different currencies above157 and the nine

 

the South African rand), South Korea (i.e., the South Korean won), Sweden (i.e., the Swedish krona), and 

Switzerland (i.e., the Swiss franc).

152 The term “Non-major currencies” is defined in § 43.2 as all other currencies that are not super-major 

currencies or major currencies.

153 The Commission is not proposing to amend the interest rate tenor ranges. 154 Block Trade Rule at 32880. 155 Id. 156 See id. 157 See proposed § 43.6(b)(1)(i)(A)(I)-(XV).
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tenor ranges,158 for a total of 135 swap categories. The nine tenor ranges would remain

the same as the current nine tenor ranges in §§ 43.6(b)(1)(ii)(A)-(I). The proposed

changes to the currencies would result in adding the currencies of Brazil, Chile, the

Czech Republic, India and Mexico, and removing the currencies of Switzerland and

Norway from current § 43.6(b)(1)(i)(A). The Commission believes the new swap

categories will allow the Commission to establish AMBSs that better address the needs of

these various swap products.

The Commission does not believe that the number of trades in currencies outside 

of the top 15 currencies in proposed § 43.6.(b)(1)(i)(A) is high enough to compute a

reliable and robust AMBS. Therefore, the Commission is also proposing to create a 136th 

swap category, in § 43.6(b)(1)(ii), for IRSs that the Commission has preliminarily 

determined are relatively illiquid. This “other” category would include IRS transactions 

in currencies other than those of the 15 countries specified in proposed § 

43.6(b)(1)(i)(A)(I)-(XV) and the nine tenors specified in § 43.6(b)(i)(B). The 

Commission is proposing to group these low liquidity swaps together and set their block 

size to zero, which would make each transaction in this swap category eligible for 

delayed dissemination.

159

b. Credit Asset Class

Current § 43.6(b)(2) sets forth the credit swap categories. The current credit swap

categories in § 43.6(b)(2) are based on combinations of three conventional spread levels

 158 See proposed § 43.6(b)(1)(i)(B)(I)-(IX).

159 See proposed § 43.6(e)(4), discussed below in section II.F.3.
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and six tenor ranges, for a total of 18 swap categories. The current spread levels are: (1)

CDSs with spread values under 175 bps; (2) CDSs with spread values between 175 and

350 bps; and (3) CDSs with spread values above 350 bps.160 The current tenor ranges are:

(1) 0–746 days; (2) 747–1,476 days; (3) 1,477–2,207 days; (4) 2,208–3,120 days; (5)

3,121–4,581 days; and (6) 4,581 days and above.161

In the Block Trade Rule, the Commission noted that it believed the tenor and

conventional spread categories sufficiently captured the variation in notional size that is

necessary for setting AMBS.162 In particular, the Commission believed the proposed

approach provided an appropriate way to group swaps with economic similarities while

reducing unnecessary complexity for market participants in determining whether a

particular swap was classified within a particular swap category.163

At the time, the Commission noted that the tenor buckets generally resulted in

separate categorization for on-the-run and off-the-run indexes for swaps in its CDS data

set, but declined to use these designations for grouping CDSs into categories because: (i)

the underlying components of swaps with differing versions or series based on the same

method or index are broadly similar, if not the same, and indicate economic

substitutability across versions or series; (ii) differences in the average notional amount

across differing versions or series were explained by differences in tenor; and (iii) using

 160 § 43.6(b)(2)(i). 161 § 43.6(b)(2)(ii). 162 See Block Trade Rule at 32883. 163 See id.
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versions or series as the criterion for CDS categories could result in an unnecessary level

of complexity.164

However, in analyzing 2018-2019 swap data from SDRs, the Commission now

believes that CDS spreads may not be a consistent measure on which to base swap

categories. Specifically, the Commission is concerned that products with similar spreads

are not necessarily economically similar because all market participants may not

calculate the same spread for a given product. In addition, a product’s spread range can

change, making it difficult for parties to be certain that they are eligible for block

treatment.

Instead, the Commission has observed that most market participants trade specific 

credit products within specific tenor ranges. Based on its review of the swap data from 

SDRs, the Commission believes the most-traded CDS products are: (i) the CDXHY; (ii) 

iTraxx Europe, Crossover, and Senior Financials indexes; (iii) CDXIG; (iv) 

CDXEmergingMarkets; and (v) CMBX.165 For each CDS product except for CMBX, the 

Commission has observed that the four to six year tenors, or 1,477 to 2,207 days, make 

up about 90% of all CDS trades.

 164 See id. 165 The Markit CDX family of indices is the standard North American CDS family of indices, with the 

primary corporate indices being the CDX North American Investment Grade (consisting of 125 investment 

grade corporate reference entities) (CDX.NA.IG) and the CDX North American High Yield (consisting of 

100 high yield corporate reference entities) (CDX.NA.HY). The Markit CDX Emerging Markets Index 

(CDX.EM) is composed of 15 sovereign reference entities that trade in the CDS market. The Market 

CMBX index is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed 

securities. Markit iTraxx indices are a family of European, Asian and Emerging Market tradable CDS 

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In light of the foregoing, the Commission is proposing to replace the current

spreads and tenor ranges in §§ 43.6(b)(2)(i) and (ii) with the seven product types above

and four to six year tenor ranges in setting the parameters of the various credit swap

categories. The Commission is proposing to set the new credit asset class categories in §

43.6(b)(2) as: (i) based on the CDXHY product type and a tenor greater than 1,477 days

and less than or equal to 2,207 days; (ii) based on the iTraxx Europe product type and a

tenor greater than 1,477 days and less than or equal to 2,207 days; (iii) based on the

iTraxx Crossover product type and a tenor greater than 1,477 days and less than or equal

to 2,207 days; (iv) based on the iTraxx Senior Financials product type and a tenor greater

than 1,477 days and less than or equal to 2,207 days; (v) based on the CDXIG product

type and a tenor greater than 1,477 days and less than or equal to 2,207 days; (vi) based

on the CDXEmergingMarkets product type and a tenor greater than 1,477 days and less

than or equal to 2,207 days; and (vii) based on the CMBX product type.

The Commission does not believe the trade count outside of the products and/or

tenor ranges proposed in § 43.6(b)(2)(i)-(vii) is high enough to compute a robust and

reliable AMBS. Therefore, the Commission is proposing to add a swap category in §

43.6(b)(2)(viii) for credit swaps that trade at relatively low liquidity and set the block size

for these illiquid credit swaps at zero, which would make each transaction in this swap

category eligible for delayed dissemination.

166

c. Equity Asset Class

 166 See proposed § 43.6(e)(4), discussed below in section II.F.3.
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Current § 43.6(b)(3) specifies that there shall be one swap category consisting of 

all swaps in the equity asset class. Unlike the other four asset class categories, the equity 

asset class contains no subcategories. The Commission adopted this approach in the 

Block Trade Rule based on: (i) the existence of a highly liquid underlying cash market 

for equities; (ii) the absence of time delays for reporting block trades in the underlying 

equity cash market; (iii) the small relative size of the equity index swaps market relative 

to futures, options, and cash equity index markets; and (iv) the Commission’s goal of 

protecting the price discovery function of the underlying equity cash market and futures 

market.167

The Commission has not learned of anything since the Block Trade Rule that 

would suggest there is not a highly liquid underlying cash market for equities and that the 

equity index swaps market is not still small relative to the futures, options, and cash 

equity index markets. Based on the foregoing, the Commission is not proposing to amend 

the equity asset class in § 43.6(b)(3).

d. Foreign Exchange Asset Class

Current § 43.6(b)(4) sets forth the FX swap categories. The current FX swap

categories are grouped by: (i) the unique currency combinations of one super-major

currency168 paired with another super major currency, a major currency,169 or

 167 See Block Trade Rule at 32884. 168 The term “Super-major currencies” is defined in § 43.2 as the currencies of the European Monetary 

Union (i.e., the euro), Japan (i.e., the yen), the United Kingdom (i.e., the pound sterling), and the United 

States (i.e., the U.S. dollar).

169 The term “Major currencies” is defined in § 43.2 as the currencies, and the cross-rates between the 

currencies, of Australia (i.e., the Australian dollar), Canada (i.e., the Canadian dollar), Denmark (i.e., the 
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a currency of Brazil, China, Czech Republic, Hungary, Israel, Mexico, Poland, Russia,

and Turkey; or (ii) unique currency combinations not included in § 43.6(b)(4)(i).170

In establishing the FX swap categories in § 43.6(b)(4)(i), the Commission

believed that the categories would cover the most liquid currency combinations while

minimizing complexity by using a small number of swap categories.171 To establish the

FX swap categories, the Commission primarily relied on the Survey of North American

FX Volume in October 2012 conducted by the Foreign Exchange Committee.

172 The

survey suggested that the categories in § 43.6(b)(4)(i) would cover more than 86% of the

notional value of total monthly volume of FX swaps that are priced or facilitated by

traders in North America.173

In reviewing the 2018-2019 swap data from SDRs, the Commission observed that

almost 94% of the over 7 million FX swaps included USD as one currency in each

swap’s currency pair. Of these swaps, the top-20 currencies paired with USD were

currencies from Argentina, Australia, Brazil, Canada, Chile, China, Colombia, the

European Union, Great Britain, India, Indonesia, Japan, Malaysia, Mexico, New Zealand,

Peru, Philippines, Russia, South Korea, or Taiwan.

 

Danish krone), New Zealand (i.e., the Kiwi dollar), Norway (i.e., the Norwegian krone), South Africa (i.e., 

the South African rand), South Korea (i.e., the South Korean won), Sweden (i.e., the Swedish krona), and 

Switzerland (i.e., the Swiss franc).

170 See § 43.6(b)(4). 171 See Block Trade Rule at 32885. 172 The Foreign Exchange Committee is an industry group that provides guidance and leadership to the FX 

market that includes representatives of major financial institutions engaged in foreign currency trading in 

the United States and is sponsored by the Federal Reserve Bank of New York. 173 See Block Trade Rule at 32885.
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In light of the foregoing, the Commission proposes to replace the swap categories

in § 43.6(b)(4) for FX swaps with new swap categories by currency pair. The

Commission believes new swap categories would allow the Commission to generate

AMBSs that address the needs of market participants trading these various swap

products. Proposed § 43.6(b)(4)(i) would be comprised of FX swaps with one currency of

the currency pair being USD, paired with another currency from one of the following:

Argentina, Australia, Brazil, Canada, Chile, China, Colombia, the European Union, Great

Britain, India, Indonesia, Japan, Malaysia, Mexico, New Zealand, Peru, Philippines,

Russia, South Korea, or Taiwan.

The Commission proposes to create a new category for FX swaps where neither

currency in the currency pair is USD in proposed § 43.6(b)(4)(ii). Proposed §

43.6(b)(4)(ii) would be comprised of swaps with currencies from Argentina, Australia,

Brazil, Canada, Chile, China, Colombia, the European Union, Great Britain, India,

Indonesia, Japan, Malaysia, Mexico, New Zealand, Peru, Philippines, Russia, South

Korea, or Taiwan. As discussed further below in the discussion about amendments to the

process to determine AMBS in section II.F.1.d., the Commission is proposing that parties

to these FX swaps could elect to receive block treatment if the notional amount of either

currency in the currency exchange is greater than the minimum block size for a FX swap

between the respective currencies, in the same amount, and USD described in §

43.6(b)(4)(i).

The Commission does not believe there is sufficient trade count in FX swaps

outside of the currency pairs proposed in § 43.6(b)(4)(i)-(ii) to compute a reliable and
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robust AMBS. Therefore, the Commission is proposing to add a swap category in §

43.6(b)(4)(iii) for FX swaps that trade at relatively low liquidity, and set the block size

for these illiquid FX swaps at zero, which would make each transaction in this swap

category eligible for delayed dissemination.

174

e. Other Commodity Asset Class

Current § 43.6(b)(5) sets forth the other commodity swap categories. The current

other commodity swap categories are grouped by either (1) the relevant contract

referenced in appendix B of part 43175 with respect to swaps that are economically related

to a contract in appendix B, or (2) the following futures-related swaps with respect to

swaps that are not economically related to contracts in appendix B: CME Cheese; CBOT

Distillers’ Dried Grain; CBOT Dow Jones-UBS Commodity Index; CBOT Ethanol; CME

Frost Index; CME Goldman Sachs Commodity Index (GSCI), (GSCI Excess Return

Index); NYMEX Gulf Coast Sour Crude Oil; CME Hurricane Index; CME Rainfall

Index; CME Snowfall Index; CME Temperature Index; or CME U.S. Dollar Cash Settled

Crude Palm Oil.176 Swaps that are not covered in either § 43.6(b)(5)(i) or § 43.6(b)(5)(ii)

are categorized according to the relevant product type referenced in appendix D of part

43.177

 174 See proposed § 43.6(e)(4), discussed below in section II.F.3. 175 Appendix B to part 43 lists 42 swap categories based on such contracts. 176 See § 43.6(b)(5)(i)-(ii). The 18 swap categories in § 43.6(b)(5)(ii) are based on futures contracts to 

which swaps in these categories are economically related. 

177 See § 43.6(b)(5)(iii). Appendix D establishes “other” commodity groups and individual other 

commodities within these groups. These categories are for swaps that are not economically related to any of 

the contracts listed in appendix B or any of the contracts listed in § 43.6(b)(5)(ii). If there is an individual 

other commodity listed, the Commission would deem it a separate swap category, and thereafter set an 

AMBS for each such swap category. If a swap unrelated to a specific other commodity listed in the other 
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The swap categories in § 43.6(b)(5)(i) differ from those in § 43.6(b)(5)(ii) in that

the former may be economically related to futures or swaps that are not subject to the

block trade rules of a DCM, whereas the latter are economically related to futures

contracts that are subject to the block trade rules of a DCM.178 Despite that difference,

the Commission established the §§ 43.6(b)(5)(i)-(ii) swap categories and related initial

block sizes to correspond with those set by DCMs for economically related futures

contracts.179

The Commission noted in the Block Trade Rule that it was relying on DCMs’

knowledge of, and experience with, liquidity in related futures markets until additional

data became available.180 In addition, the Commission noted that it was not using

additional criteria to create more granular swap categories in the other commodity asset

class until swap data became available.181

The Commission proposes to establish swap categories for the other commodity

swaps asset class based on the list of underliers in current appendix D to part 43. The

Commission proposes to modify the list of underliers in current appendix D and to

redesignate the appendix as appendix A as a result of the proposed removal of current

appendices A through C. For swaps that have a physical commodity underlier listed in

 

commodity group in appendix D, the Commission would categorize such swap as falling under the relevant 

other swap category. See Block Trade Rule at 32888. As discussed below in this section, the Commission is 

proposing to redesignate appendix D as appendix A, and replace it with updated swap categories for the 

other commodity asset class.

178 See id. at 32887.

179 See id. at 32888. 180 See id. 181 See id.
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proposed appendix A to part 43, proposed § 43.6(b)(5)(i) would group swaps in the other

commodity asset class by the relevant physical commodity underlier. The proposed list of

underliers in appendix A would be based on broad commodity categories the

Commission has identified from its review of the swap data from SDRs, rather than

references to specific futures contracts.

For other commodity swaps outside of those based on the underliers in proposed 

appendix A, the Commission does not believe trade count is high enough to compute a 

robust and reliable AMBS. Therefore, the Commission is proposing to add a swap 

category in § 43.6(b)(5)(ii) for relatively illiquid other commodity swaps and set the 

block size for these swaps at zero.182

2. § 43.6(c) – Methodologies to Determine Appropriate Minimum Block Sizes and Cap 

Sizes

The Commission adopted §§ 43.6(c)-(f) and (h) to establish a phased-in approach 

for determining AMBSs, with an initial period and a post-initial period for determining 

AMBSs and cap sizes for each swap category.183

Regulation 43.6(c) sets forth the methodologies for the Commission to determine

AMBSs and cap sizes using the PRSTs in the swap categories established pursuant to §

43.6(b). Current § 43.6(c) sets forth three alternative, notional-based statistical

calculations: a 50-percent notional amount calculation; a 67-percent notional amount

 182 See proposed § 43.6(e)(4), discussed below in section II.F.3. 183 Block Trade Rule at 32918. Appendix F to part 43 currently contains a schedule of AMBSs effective 

during the initial period. Regulations 43.6(e) and (f) set forth the initial AMBSs and the post-initial process 

to determine AMBSs, while § 43.6(c) contained the methodologies for the Commission to do so with the 

swap categories set forth in § 43.6(b).
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calculation; and a 75-percent notional amount calculation.184 Each methodology is

intended to ensure that within a swap category, the stated percentage of the sum of the

notional amounts of all swap transactions in that category are disseminated on a real-time

basis.

In general, the instructions for each of the 50-percent, 67-percent, and 75-percent

levels to calculate AMBSs and cap sizes require the Commission to select all PRSTs

within a swap category using one year’s worth of data, converting them to the same

currency and using a trimmed data set, determine the sum of the notional amounts of

swaps in the trimmed data set, multiply the sum of the notional amounts by 50, 67, or 75

percent, rank the results from least to greatest, calculate the cumulative sum of the

observations until it is equal to or greater than the 50, 67, or 75-percent notional amount,

select and round the notional amount, and set the AMBS equal to that amount.

185

For the initial period, the Commission applied the 50-percent notional amount

calculation in § 43.6(c)(1) to determine the AMBS.

186 For AMBS in the post-initial

period, the Commission was to adopt the 67-percent notional amount calculation in

current § 43.6(c)(2).

187

 184 See §§ 43.6(c)(1), (2), and (3), respectively. 185 See generally §§ 43.6(c)(1)-(3). Once the AMBS is set, the Commission sets the related cap size 

pursuant to § 43.6(h). For the post-initial period, current § 43.6(h) requires the Commission to use reliable 

data collected by SDRs based on: (i) a one-year window of STAPD corresponding to each relevant swap 

category recalculated no less than once each calendar year; and (ii) the 75-percent notional amount 

calculation described in § 43.6(c)(3) applied to the STAPD described in § 43.6(h)(2)(i). The Commission’s 

proposed amendments to the process to determine cap size are discussed above in section II.D.4.

186 See § 43.6(e). 187 See § 43.6(f)(2).
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The Commission set the initial cap sizes as the greater of the interim cap sizes

(the period of time before the initial period) in all five asset classes set forth in the 2012

RTR Final Rule and the AMBS for the respective swap category calculated pursuant to

the 50-percent notional amount calculation.

188 The Commission was to use the 75-percent

notional amount calculation in current § 43.6(c)(3) to determine the appropriate postinitial cap sizes for all swap categories.189 However, the Commission has not calculated

the block sizes or cap sizes for the post-initial period.

The Commission is proposing several changes to the AMBS and cap size

methodologies in § 43.6(c). First, the Commission is proposing to remove the 50-percent

notional amount calculation in § 43.6(c)(1) because the 50-percent notional amount

calculation was only intended to be used for calculating the AMBS for the interest rate

and credit swap categories in the initial period,

190 and the initial period has now passed.

Based on the proposed removal of § 43.6(c)(1), the Commission is proposing to redesignate §§ 43.6(c)(2) and (3) as §§ 43.6(c)(1) and (2), respectively.

The Commission is also proposing minor amendments to the calculations in

current §§ 43.6(c)(2)-(3) (the 67-percent and 75-percent notional amount calculations,

respectively). The Commission is proposing to update certain steps of the statistical

calculations set forth in current §§ 43.6(c)(2)(i)-(ix), proposed to be re-designated as §

 188 See § 43.4(h)(1). 189 See § 43.4(h)(2)(ii). As discussed above in section II.D.3., the Commission is proposing to revise the 

process to determine cap size in § 43.4(g), which the Commission proposes to re-designate from § 43.4(h), 

but proposes to continue to use the 75-percent notional amount calculation for cap sizes.

190 § 43.6(e)(1). The Commission applied the 50-percent notional amount calculation methodology in § 

43.6(c)(1) and published the related AMBS in appendix F to part 43.
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43.6(c)(1)(i)-(ix). Current § 43.6(c)(2)(i) requires the Commission to select all PRSTs

within a specific swap category using a one-year window of data. As re-designated,

proposed § 43.6(c)(1)(i) would require the Commission to select all reliable SDR data for

at least a one-year period for each relevant swap category. The Commission believes this

revision will simplify the language and clarify that the Commission will be using SDR

data in its calculations.

Current § 43.6(c)(2)(ii) requires the Commission to “convert to the same currency

or units and use a trimmed data set[]” but does not specify what is being converted. As

redesignated, proposed § 43.6(c)(1)(ii) would clarify that the Commission will convert

the notional amount to the same currency or units and use a trimmed data set. The

Commission considers this to be a non-substantive amendment to improve the readability

of step (ii) in the methodology.

As mentioned above in the discussion of the proposed amendments to the

definition of “trimmed data set,” the Commission is also proposing to change the number

of standard deviations used for excluding outliers in the data set. The current definition of

“trimmed data set” has the Commission remove extraordinarily large notional

transactions by transforming the data into a logarithm with a base of 10, computing the

mean, and excluding transactions that are beyond four standard deviations above the

mean.

As explained in the Block Trade Rule, trimming the data set is necessary to avoid

the skewing of these measures, which could lead to the establishment of inappropriately
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high minimum block sizes.191 However, in applying these methodologies to propose

updates to the block and cap sizes, Commission staff found that excluding commodity

transactions beyond four standard deviations above the mean led to the inclusion of more

extraordinarily large notional transactions that staff worried would skew results. With

commodity swaps in particular, the Commission is concerned that the wide variation in

how reporting counterparties report notional amounts leads to more outliers that should

not be included in the trimmed data set.

Commission staff found a similar issue with four standard deviations for the other

asset classes, but to a lesser extent than commodities, that the Commission preliminarily

believes could be addressed by moving from four standard deviations to three. In each

case, the Commission invites comment on staff’s approach and findings with respect to

the methodologies and accounting for outliers. Until then, the Commission is proposing

updating the definition of “trimmed data set” to mean a data set that has had

extraordinarily large notional transactions removed by transforming the data into a

logarithm with a base of 10, computing the mean, and excluding transactions that are

beyond two standard deviations above the mean for the other commodity asset class and

three standard deviations above the mean for all other asset classes.

In the Block Trade Rule proposal, the Commission provided the following

example to explain the rounding instructions in § 43.6(c)(2)(viii): “if the observed

notional amount is $1,250,000, the amount should be increased to $1,300,000. This

 191 See Block Trade Rule at 32895.
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adjustment is made to assure that at least 67 percent of the total notional amount of

transactions in a trimmed data set are publicly disseminated in real time.”192

Current § 43.6(c)(2)(viii) directs the Commission to round the notional amount of

the observation discussed in § 43.6(c)(2)(vii) “to” two significant digits,193 or if the

notional amount is already significant “to” two digits, increase the notional amount to the

next highest rounding point of two significant digits. The Commission is proposing to

revise § 43.6(c)(1)(viii) to specify that the Commission has to round the notional amount

of the observation “up to” two significant digits, or if it is already significant “to only”

two digits, increase the notional amount to the next highest rounding point of two

significant digits. The Commission believes changing “to” to “up to” and “to only,”

respectively, in § 43.6(c)(2)(vii) would clarify the Commission’s intent consistent with

the above example.

Finally, the Commission is proposing to replace the individual instructions for the

75-percent notional amount calculation contained in current § 43.6(c)(3) with a crossreference in proposed § 43.6(c)(2) to the procedures set out in proposed § 43.6(c)(1).

Since the steps for the calculations are the same, the Commission believes simply crossreferencing in proposed § 43.6(c)(2) the procedures in proposed § 43.6(c)(1) will help

ensure that market participants do not believe the calculation procedures are different.

3. § 43.6(e) – Process to Determine Appropriate Minimum Block Sizes

 192 Block Trade Rule at 15480 n.192. 193 By significant digits, the Commission means the number of digits in a figure that express the precision 

of a measurement instead of its magnitude. In a measurement, commonly the in-between or embedded 

zeros are included but leading and trailing zeros are ignored. Non-zero digits, and leading zeros to the right 

of a decimal point, are always significant.
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The Commission is proposing several amendments to the § 43.6 processes for

determining AMBS. Current §§ 43.6(e) and (f) set forth the processes for the

Commission to set the AMBS in the initial and post-initial periods by applying the

methodologies in § 43.6(c) and using the PRSTs within the swap categories established

pursuant to § 43.6(b).

For the initial period, § 43.6(e) established that the AMBS for PRSTs in the IRS

category, credit swap category, FX swap category in § 43.6(b)(4)(i), and the other

commodity category in § 43.6(b)(5)(i) or (ii) was the AMBS in appendix F to part 43.194

Swaps in the FX swap category in § 43.6(b)(4)(ii), and other commodity swap category

in § 43.6(b)(5)(iii), were eligible to be treated as block trades or LNOFSs, as

applicable.195

Regulation 43.6(e)(3) provided an exception from treatment as block trades or

LNOFs (as applicable) for PRSTs in the other commodity swap category in §

43.6(b)(5)(i) that were economically related to a futures contract in appendix B of part

43, if such futures contract is not subject to a DCM’s block trading rules.

For the post-initial period, § 43.6(f) directed the Commission to establish, after an

SDR collected at least one year of reliable data for a particular asset class, the post-initial

 194 See § 43.6(e)(1). The Commission applied the 50-percent notional amount calculation to the credit and 

interest rate swap categories in appendix F. As discussed further below in this section, the Commission is 

proposing to remove appendix F and publish the new AMBS for PRSTs on the Commission’s website, 

www.cftc.gov. 195 See § 43.6(e)(2).
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AMBS, by swap categories.196 For the swap categories listed in § 43.6(e)(1), the

Commission was to apply the 67-percent notional amount calculation.

197 Swaps in the FX

category in § 43.6(b)(4)(ii) were eligible for block trade or LNOF treatment, as

applicable.

198

Regulation 43.6(f)(4) directed the Commission to publish the post-initial AMBSs

on its website and stated that the AMBSs would be effective on the first day of the

second month following the date of publication.199 However, the Commission has not

published any post-initial AMBSs.

Since the initial period has passed, the Commission is proposing to remove the

regulations for the initial AMBS in current § 43.6(e) and appendix F, which, as described

above, specifies the initial AMBSs for PRSTs in the swap categories specified in current

§ 43.6(e)(1). To avoid retaining § 43.6(e) in its regulations with no text other than

“Reserved,” the Commission is proposing to re-designate § 43.6(f) as § 43.6(e) and

rename it “Process to determine appropriate minimum block sizes.”

In new § 43.6(e), the Commission would be required to apply the 67-percent

notional amount calculation to calculate new AMBS, as current § 43.6(f) specified for the

post-initial period. Proposed § 43.6(e)(1) would state that the Commission shall establish

AMBS, by swap categories, as described in § 43.6(e)(2)-(5). Proposed § 43.6(e)(2) would

state that the Commission shall determine the AMBS for the swap categories described in

 196 See § 43.6(f)(1). Regulation 43.6(f)(1) also specified that the Commission had to update those AMBSs 

no less than once each calendar year thereafter.

197 See § 43.6(f)(2).

198 See § 43.6(f)(3).

199 § 43.6(f)(5).
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§§ 43.6(b)(1)(i), (b)(2)(i)-(vii), (b)(4)(i), and (b)(5)(i) by applying the 67-percent notional

amount methodology in proposed § 43.6(c)(1).

Proposed § 43.6(e)(3) would set forth a method for determining which block sizes

are applicable to FX swaps. Proposed § 43.6(e)(3) would specify that the parties to a FX

swap described in § 43.6(b)(4)(ii) may elect to receive block treatment if the notional

amount of either currency would receive block treatment if the currency were paired with

USD. In other words, for each currency underlying the FX swap, the counterparties

would determine whether the notional amount of either currency would be above the

block threshold if paired with USD, as described in § 43.6(b)(4)(i). If either notional

amount paired with USD was greater than the block threshold, the swap described in §

43.6(b)(4)(ii) would qualify for block treatment.

As discussed above in section II.F.1., the Commission is proposing to set the

block size of all swaps in the swap categories described in §§ 43.6(b)(1)(ii), (b)(2)(viii),

(b)(4)(iii), and (b)(5)(ii) at zero and make all such swaps eligible to be treated as block

trades in proposed § 43.6(e)(4). Finally, the Commission is proposing to remove current

appendix F and specify in proposed § 43.6(e)(5) that the Commission would publish the

AMBSs determined pursuant to § 43.6(e)(1) on its website at www.cftc.gov.

4. § 43.6(f) – Required Notification

The Commission is proposing to re-designate current § 43.6(g) as § 43.6(f) to

reflect the consolidation of §§ 43.6(e) and (f) discussed above in section II.F.3. and avoid

designating § 43.6(f) as reserved in the Code of Federal Regulations. Current § 43.6(g)
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sets forth the requirements for parties to notify their execution venue (i.e., SEF or DCM)

of the parties’ block trade or LNOF elections.

The Commission is proposing to revise the content of current § 43.6(g)(1)(i)

(redesignated as § 43.6(f)(1)(i)) to clarify that parties to a PRST with a notional at or

above the AMBS can elect to have the PRST treated as a block trade. As background,

current § 43.6(g)(1)(i) requires the parties to a PRST that has a notional amount at or

above the AMBS to notify the relevant SEF or DCM, as applicable, pursuant to the rules

of such SEF or DCM, of their election to have the PRST treated as a block trade. As

background, current § 43.6(g)(1)(i) requires the parties to a PRST that has a notional

amount at or above the AMBS to notify the relevant SEF or DCM, as applicable,

pursuant to the rules of such SEF or DCM, of its election to have the PRST treated as a

block trade. The Commission intended for § 43.6(g)(1)(i) to establish that the parties to a

PRST with a notional amount at or above the AMBS would be required to notify the SEF

or DCM of their election to have their qualifying PRST treated as a block trade.200

However, the Commission is concerned that the current phrasing of the regulation

suggests parties must elect to have a qualifying PRST treated as a block trade, instead of

providing parties with the discretion to choose.

As a result, to remove any ambiguity, proposed § 43.6(f)(1)(i) would state that if

the parties make such an election, the reporting counterparty must notify the SEF or

DCM.

 200 See Block Trade Rule at 32904.
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Current § 43.6(g)(1)(ii) requires the execution venue (i.e., SEF or DCM) to notify

the SDR of such a block trade election when transmitting STAPD to the SDR in

accordance with § 43.3(b)(1). The Commission is retaining the substance of current §

43.6(g)(1)(ii) in re-designated § 43.6(f)(1)(ii), but removing the specific reference to §

43.3(b)(1) and streamlining the language to state that the SEF or DCM, as applicable,

shall notify the SDR of such a block trade election when reporting the STAPD to such

SDR in accordance with part 43.

The Commission is proposing to add new § 43.6(f)(1)(iii) to clarify that SEFs and

DCMs may not disclose block trades prior to the expiration of the applicable

dissemination delay. The Commission has previously explained that the dissemination

delays in part 43 are intended to protect end users and liquidity providers from the

expected price impact of the disclosure of block trades.201 The Commission believes that

it is current practice for SEFs and DCMs to wait until the expiration of the applicable

dissemination delay before disclosing block trades. However, the Commission believes

market participants would benefit from having this requirement codified to avoid

ambiguity. As a result, proposed § 43.6(f)(1)(iii) would state that SEFs or DCMs shall

not disclose STAPD relating to block trades subject to the block trade election prior to

the expiration of the applicable delay set forth in § 43.5(c).

Current § 43.6(g)(2) states that reporting parties who execute an off-facility swap

that has a notional amount at or above the AMBS shall notify the applicable registered

 201 See Block Trade Rule at 32870 n.46.
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SDR that such swap transaction qualifies as an LNOF concurrently with the transmission

of STAPD in accordance with part 43. The Commission is proposing to revise §

43.6(g)(2), which would be re-designated as § 43.6(f)(2). The proposed amendments to §

43.6(g)(2) are similar to the proposed amendments to § 43.6(f)(1)(i). Specifically, the

Commission is proposing to clarify that parties to a PRST that is an off-facility swap with

a notional at or above the AMBS can elect to have the PRST treated as a block trade.

Revised § 43.6(f)(2) would state that if the parties make such an election, the reporting

counterparty must notify the SDR.

5. § 43.6(g) – Special Provisions Relating to Appropriate Minimum Block Sizes and Cap

Sizes

The Commission is proposing to re-designate current § 43.6(h) as § 43.6(g) in

response to the consolidation of §§ 43.6(e) and (f) and to avoid designating § 43.6(f) as

reserved in the Code of Federal Regulations, as discussed above in section II.F.3.

202 The

Commission also proposes to remove current § 43.6(h)(5), which contains a provision for

determining the appropriate currency classification for currencies that succeed supermajor currencies. Regulation 43.6(h)(5) would no longer be necessary due to the

proposed modifications in § 43.6(b) changing the swap categories to individual

currencies rather than currency groups like super-major currencies.

 202 The Commission is proposing a related conforming change in § 43.6(a). Currently, that paragraph crossreferences § 43.6(h). The Commission proposes to update that provision so it cross-references § 43.6(g) to 

reflect the re-designation.
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As a result of the proposed removal of § 43.6(h)(5), the Commission proposes to

re-designate the current § 43.6(h)(6) aggregation provision as § 43.6(g)(5) rather than §

43.6(g)(6) and to make certain substantive changes to re-designated § 43.6(g)(5).

Current § 43.6(h)(6) generally prohibits the aggregation of orders for different

accounts to satisfy minimum block trade size or cap size requirements but contains an

exception for orders on SEFs and DCMs by certain commodity trading advisors

(“CTAs”), investment advisers, and foreign persons performing a similar role or function.

The Commission believed such a prohibition was necessary to ensure the integrity of

block trade principles and preserve the basis for the anonymity associated with

establishing cap sizes.203

While the aggregation prohibition in current § 43.6(h)(6) is intended to

incentivize trading on SEFs and DCMs, the Commission recognizes this incentive does

not exist for swaps that are not listed or offered for trading on SEFs and DCMs.204 The

Commission is therefore proposing to amend the aggregation prohibition to provide for

swaps listed or offered for trading on SEFs and DCMs.

Current § 43.6(h)(6)(ii) conditions the exception from the aggregation prohibition

on a CTA, investment adviser, or foreign person having more than $25 million in assets

 203 See Block Trade Rule at 32904. 204 In 2013, DMO granted indefinite no-action relief extending the exception to swaps that are not listed or 

offered for trading on a SEF or a DCM. See No-Action Relief For Certain Commodity Trading Advisors 

and Investment Advisors From the Prohibition of Aggregation Under Regulation 43.6(h)(6) for Large 

Notional Off-Facility Swaps, CFTC Staff No-Action Letter No. 13-48 (Amended), (Aug. 6, 2013), 

available at https://www.cftc.gov/sites/default/files/idc/groups/public/@lrlettergeneral/documents/letter/13-

48.pdf (“NAL 13-48”). The Commission is proposing to incorporate this no-action relief, along with its 

related conditions (with one exception discussed below), into proposed § 43.6(g)(5).
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under management. In adopting this condition, the Commission explained that the $25

million threshold would help ensure that persons allowed to aggregate orders were

appropriately sophisticated, while at the same time not excluding an unreasonable

number of CTAs, investment advisers, and similar foreign persons.205

However, since the Block Trade Rule was adopted, the Commission has come to

believe that the $25 million threshold may be excluding more participants from taking

advantage of the exception than DMO staff initially expected. Therefore, the Commission

is proposing to remove the $25 million threshold in current § 43.6(h)(6)(ii) and, therefore,

to not incorporate that into proposed § 43.6(g)(5) as a condition, even though it was a

condition of the relief in NAL 13-48.

Finally, the Commission is proposing several non-substantive changes throughout

proposed § 43.6(g)(5). These changes include rephrasing the introductory text for clarity,

updating cross-references, and specifying in proposed §§ 43.6(g)(5)(ii) and (iii) that the

aggregated transaction is reported as a block trade, and the aggregated orders are

executed as one swap transaction, respectively.

6. § 43.6(h) – Eligible Block Trade Parties

The Commission is proposing to re-designate § 43.6(i) as § 43.6(h) in response to

the consolidation of §§ 43.6(e) and (f) to avoid designating § 43.6(f) as reserved in the

Code of Federal Regulations, as discussed above in section II.F.3. In addition, to conform

to the proposed revisions to § 43.6(h)—specifically the removal of the $25 million assets

 205 Block Trade Rule at 32905.
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under management threshold in current § 43.6(h)(6)(ii)—the Commission is proposing to

remove the $25 million threshold in current § 43.6(i)(1)(iii) (i.e., § 43.6(h)(1)(iii), as redesignated). The Commission is also proposing several non-substantive ministerial

changes, such as correcting cross-references and capitalization.

Request for Comment

The Commission requests comment on all aspects of the proposed changes to 

§ 43.6. In addition, the Commission requests specific comment on the following:

(18) Would the proposed new other commodity categories be useful to SDRs and 

counterparties? Please explain why or why not.

(19) Are there other categories the Commission should add or remove for other 

commodities? Please explain any recommendations to add or remove a category.

(20) The Commission is proposing minor updates to the methodologies for calculating 

AMBS and cap sizes. Should the Commission consider other changes to the 

methodologies? Please provide examples and data, where possible.

G. § 43.7 – Delegation of Authority

The Commission is proposing several changes to § 43.7, which is a rule

governing Commission delegation of certain authority to the DMO Director or such other

employee or employees as the DMO Director may designate from time to time (“DMO

staff”). The Commission is proposing to add a new paragraph (a)(1) that would delegate

to DMO the authority to publish the technical specifications providing the form and

manner for reporting and publicly disseminating the STAPD elements in appendix C as

described in §§ 43.3(d)(1) and 43.4(a). If it chooses to, the Commission may, pursuant to
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§ 43.7(c), which the Commission is not proposing to amend, exercise any authority

delegated pursuant to proposed § 43.7(a)(1) (or any other authority delegated pursuant to

§ 43.7(a)) rather than permit DMO staff to exercise such authority.

Because there currently is a § 43.7(a)(1) (delegation of authority to determine

whether swaps fall within specific swap categories as described in § 43.6(b)), the

Commission is proposing to renumber existing § 43.7(a)(1) as § 43.7(a)(3).

The Commission is further proposing to renumber existing § 43.7(a)(2) (authority

to determine and publish post-initial, AMBSs as described in § 43.6(f)) as § 43.7(a)(4)

and to replace the reference to § 43.6(f) (the rule pursuant to which post-initial, AMBSs

are determined) with a reference to § 43.6(e) to conform to the Commission’s proposed

movement of the cap size determination process itself from § 43.6(f) § 43.6(e). The

proposed changes to post-initial AMBSs are discussed above in section II.F.3.

Additionally, the Commission is proposing to renumber existing § 43.7(a)(3) 

(authority to determine post-initial cap sizes as described in § 43.4(h)) as § 43.7(a)(2). 

Related to this, the Commission is proposing to delete the term “post-initial,” given that 

the Commission already determined initial cap sizes, and is proposing to replace the 

reference to § 43.4(h) (the rule pursuant to which post-initial cap sizes are determined) 

with a reference to § 43.4(g) to conform to the Commission’s proposed movement of the 

cap size determination process itself from § 43.4(h) to proposed § 43.4(g). The proposed 

changes to post-initial cap sizes are discussed above in section II.D.4.

Request for Comment
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The Commission requests comment on all aspects of the proposed changes to 

§ 43.7. The Commission also requests specific comment on the following:

(21) Do the Commission’s proposed amendments to the current § 43.6(h) aggregation 

prohibition create any problems for market participants?

(22) Should the Commission retain the $25 million assets under management eligibility 

requirement? Please explain in detail why the Commission should or should not retain the 

eligibility requirement.

III. Swap Transaction and Pricing Data Reported to and Publicly Disseminated by 

SDRs

A. General

The Commission is proposing to remove the list of STAPD elements in appendix

A to part 43 and revise the list to update it206 to further standardize the STAPD being

reported to, and publicly disseminated by, SDRs. The STAPD elements are currently

found in appendix A, which states that, among other things, SDRs must publicly

disseminate the information in appendix A in a “consistent form and manner” for swaps

within the same asset class.

Appendix A includes a description of each field, in most cases phrased in terms of

“an indication” of the data that must be reported and disseminated and an example

illustrating how the field could be populated. For example, the description of the “Asset

class” field in table A1 of appendix A calls for “[a]n indication of one of the broad

 206 As discussed in section II.E.3., the Commission is proposing to delete appendix C in connection with 

changes to the block delays. In its place, the Commission is proposing to update the list of STAPD 

elements in current appendix A and move them to appendix C.
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categories as described in § 43.2(e)[,]” and the example provided states “IR . . (e.g.,

interest rate asset class).”

In adopting appendix A to part 43, the Commission believed consistency could be

achieved in the data, but intentionally avoided prescriptive requirements in favor of

flexibility in reporting the various types of swaps.207 The Commission recognizes that

over the years each SDR has further standardized the STAPD reported and disseminated.

However, SDRs have implemented the field list in appendix A in different ways, causing

publicly disseminated messages to appear differently depending on the SDR. As such, the

Commission now believes a significant effort must be made to standardize STAPD across

SDRs, as part of a larger effort to standardize swap data both across U.S. SDRs and

across jurisdictions, as described below.

As part of the Roadmap review, DMO announced its intention to propose a

detailed technical specification for data fields.208 DMO received many comments on data

fields in response to the Roadmap. In general, commenters stated that the Commission

should ensure that all required fields are set forth in the appendices to parts 43 and 45.209

The same commenters suggested that the differences between the data fields in parts 43

and 45 should be reconciled.210 Additionally, commenters stated that data fields should

be standardized211 and only those fields that are specified in part 43 should be

 207 See Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1224. 208 Roadmap at 9.

209 Letter from CME at 3; Joint SDR Letter at 2-3. 210 Joint SDR Letter at 2-3. 211 Letter from the Commercial Energy Working Group (“CEWG”) (Aug. 21, 2017) at 3; Joint ISDASIFMA Letter at 5-6 (noting that data fields should be harmonized globally to the extent possible.); Letter 
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disseminated by the SDR.212 One commenter also suggested that the Commission clarify

what a reporting counterparty is obligated to report when data fields do not apply or are

not available at the time of reporting.213

In response, the Commission reviewed the data fields in appendix A to update the

current list and provide further specifications on reporting and public dissemination. As

an initial matter, the Commission notes that this assessment was part of a larger review of

the parts 43 and 45 data the Commission requires to be reported to, and publicly

disseminated by, SDRs. In the course of determining which data elements to propose in

parts 43 and 45, the Commission reviewed the STAPD data fields in appendix A and the

swap data elements in appendix 1 to part 45 to determine if any currently required data

elements should be eliminated and if any additional data elements should be added. As

part of this process, the Commission also reviewed the part 45 swap data elements to

determine whether any differences could be reconciled.214 With this NPRM, and the 2020

Part 45 NPRM proposed at the same time, the Commission is proposing that the STAPD

elements to be publicly disseminated would be a subset of the part 45 swap data elements

required to be reported in appendix 1 to part 45. After determining the set of swap data

and STAPD elements, the Commission reviewed the CDE Technical Guidance to

 

from LCH at 2 (noting that clarification of the CFTC’s required minimum standards for submission of data 

will be helpful following the next phase of the international setting process.); Letter from NGSA at 1; Joint 

SDR Letter at 2-3. 212 Letter from CEWG at 3. 213 Joint ISDA-SIFMA Letter at 6.

214 The Commission had intended that the data elements in appendix A to part 43 would be harmonized 

with the data elements required to be reported to an SDR for regulatory purposes pursuant to part 45. See

Real-Time Public Reporting of Swap Transaction Data, 77 FR 1182, 1226 (noting that “it is important that 

the data fields for both the real-time and regulatory reporting requirements work together”). However, the 

Commission did not require linking the two sets of data elements. 
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determine which data elements the Commission could adopt according to the CDE

Technical Guidance.215

After completing this assessment, the Commission is proposing to list the STAPD

elements required to be publicly disseminated by SDRs pursuant to part 43 in appendix

C. In a separate NPRM, the Commission is proposing to list the swap data elements

required to be reported to SDRs pursuant to part 45 in appendix 1 to part 45. The STAPD

elements in appendix C would be a harmonized subset of the swap data elements in

appendix 1 to part 45.

As appendix C would contain the list of STAPD elements required to be publicly

disseminated by SDRs, the Commission notes that SDRs would need additional swap

data elements reported along with these STAPD elements. These swap data elements

include identifying information like the reporting counterparty, unique swap identifier

(“USI”) or UTI, and the submitter. However, DMO will note these swap data elements

separately in the technical specifications published on www.cftc.gov to simplify the list of

publicly disseminated STAPD elements in appendix C.

 215 The Commission has also reviewed the data elements and technical standards to determine where the 

Commission can adopt the standards established in the CDE Technical Guidance. See Committee on 

Payments and Market Infrastructures (“CPMI”) and the International Organization of Securities 

Commissions (“IOSCO”), Technical Guidance, Harmonisation of Critical OTC Derivatives Data Elements 

(other than UTI and UPI) (Apr. 2018) (“CDE Technical Guidance”). The CDE Technical Guidance, and 

the Commission’s role in its development, are discussed in the 2020 Part 45 NPRM. From there, the 

Commission set out to establish definitions, formats, standards, allowable values, and conditions. The CDE 

Technical Guidance also establishes technical standards for how to report the data elements for 

jurisdictions to adopt. DMO is publishing draft technical standards, along with validation conditions, when 

this NPRM is released, so market participants can comment on both the NPRM and technical standards at 

the same time.
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At the same time as the Commission is proposing to update the STAPD elements

in appendix C, DMO is publishing draft technical specifications for reporting the swap

data elements in appendix 1 to part 45 to SDRs and for reporting and publicly

disseminating the STAPD elements in appendix C to part 43. DMO is publishing the

draft technical standards on www.cftc.gov when this release is published so commenters

can comment on both the NPRM and the technical standards and validation conditions.

DMO will then publish the technical specifications in the Federal Register pursuant to the

delegation of authority proposed in § 43.7(a)(1).

A discussion of the STAPD elements in appendix C required to be publicly

disseminated by SDRs according to the technical standards follows below. In general,

SDRs are already publicly disseminating most of this information. As the Commission is

proposing that the part 43 STAPD would be a subset of the swap data elements, most of

these data elements are discussed in more depth in the 2020 Part 45 NPRM.

B. Swap Transaction and Pricing Data Elements

As a preliminary matter, the Commission notes that the STAPD elements in

appendix C do not include STAPD elements specific to swap product terms. The

Commission is currently heavily involved in separate international efforts to introduce

UPIs.216 The Commission preliminarily expects UPIs will be available within the next

 216 See FSB, Governance arrangements for the UPI: Conclusions, implementation plan and next steps to 

establish the International Governance Body (Oct. 9, 2019), available at

https://www.fsb.org/2019/10/governance-arrangements-for-the-upi/.
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two years.217 Until the Commission designates a UPI pursuant to § 45.7, the Commission

is proposing SDRs continue to accept, and reporting counterparties continue to report, the

product-related data elements unique to each SDR. The Commission believes this

temporary solution would have SDRs change their systems only once when UPI becomes

available, instead of twice if the Commission proposes standardized product data

elements in this release before UPIs are available. Once the Commission designates the

UPI, the Commission would also work with SDRs on the humanly-readable short names

for products that SDRs would publicly disseminate.

In addition, the Commission notes that it has endeavored to propose adopting the 

CDE Technical Guidance data elements as closely as possible. Where the Commission 

proposes adopting a CDE Technical Guidance data element, the Commission has 

proposed adopting the terms used in the CDE Technical Guidance. This means that some 

terms may be different for certain concepts. For instance, “derivatives clearing 

organization” is the Commission’s term for registered entities that clear swap 

transactions, but the CDE Technical Guidance uses the term central counterparty.

To help clarify, DMO has proposed footnotes in the technical standards to explain

these differences in at least four terms as well as provide examples and jurisdictionspecific requirements. However, the Commission has not included these footnotes in

appendix C. In addition, the definitions from CDE Technical Guidance data elements

included in appendix C sometimes include references to allowable values in the CDE

 217 See id. The FSB recommends that jurisdictions undertake necessary actions to implement the UPI 

Technical Guidance and that these take effect no later than the third quarter of 2022.
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Technical Guidance, which may not be included in appendix C but can be found in

DMO’s technical standards.

Finally, the CDE Technical Guidance did not harmonize many fields that would 

be particularly relevant for commodity and equity swap asset classes (e.g., unit of 

measurement for commodity swaps). CPMI and IOSCO have set out governance 

arrangements for CDE data elements (“CDE Governance Arrangements”).218 The CDE 

Governance Arrangements address both implementation and maintenance of CDE, 

together with their oversight. One area of the CDE Governance Arrangements includes 

updating the CDE Technical Guidance, including the harmonization of certain data 

elements and allowable values that were not included in the CDE Technical Guidance 

(e.g., data elements related to events, and allowable values for the following data 

elements: Price unit of measure and Quantity unit of measure).

The Commission invites comment on any of the swap data elements proposed in

appendix C. The Commission briefly discusses the STAPD elements below by category

to simplify the topics for comment. To the extent any comment involves data elements

adopted according to the CDE Technical Guidance, however, the Commission anticipates

raising issues according to the CDE Governance Arrangements procedures to help ensure

that authorities follow the established processes for doing so. In addition, the

Commission anticipates updating its rules to adopt any new or updated CDE Technical

Guidance.

 218 https://www.iosco.org/library/pubdocs/pdf/IOSCOPD642.pdf.
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1. Category: Clearing

The Commission is proposing to require SDRs to publicly disseminate one field

related to clearing: Cleared (1). This data element is currently being publicly

disseminated by SDRs according to the field in current appendix A “Cleared or

uncleared.” The Commission requests specific comment on the following related to

clearing data elements for public dissemination:

(23) Should the Commission publicly disseminate any additional data elements related to

clearing, including the DCO where the swap is intended to be cleared? Please provide

comment on any challenges market participants would face in reporting this information

for PRSTs.

2. Category: Custom Baskets

The Commission is proposing to require SDRs to publicly disseminate a custom

basket indicator.

219 The Commission preliminarily believes this data element would help

market participants identify that a disseminated price is associated with a custom basket.

The Commission is proposing this data element for swaps that are based on a basket of

underlying assets. The Commission would like to preliminarily clarify that this data

element is not a field to indicate an otherwise exotic swap.

3. Category: Events

 219 This data element is Custom basket indicator (23) in appendix C.
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The Commission is proposing to require SDRs to publicly disseminate four data

elements related to events.

220 Reporting counterparties currently report this information

to SDRs, but the Commission is proposing to further standardize how this information is

reported across SDRs. The current event fields in appendix A include cancellation and

correction. The Commission preliminarily believes more specific event information

would help market participants understand why certain swap changes to PRSTs are being

publicly disseminated.

4. Category: Notional Amounts and Quantities

The Commission is proposing to require SDRs to publicly disseminate eleven

data elements related to notional amounts and quantities.

221 SDRs are currently publicly

disseminating information related to notional amounts, but the Commission is proposing

to further standardize how this information is reported across SDRs. The notional fields

in current appendix A include notional currency and rounded notional. SDRs would

continue to cap and round the notional amounts as required by § 43.4.

5. Category: Packages

 220 In appendix C, these data elements are: Action type (24); Event type (25); Event identifier (26); and 

Event timestamp (27).

221 In appendix C, these data elements are: Notional amount (28); Notional currency (29); Call amount 

(31); Call currency (32); Put amount (33); Put currency (34); Notional quantity (35); Quantity frequency 

(36); Quantity frequency multiplier (37); Quantity unit of measure (38); and Total notional quantity (39).
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The Commission is proposing to require SDRs to publicly disseminate four data

elements related to package transactions.

222 The Commission requests specific comment

on the following related to clearing data elements for package transactions:

(24) The 2019 Part 45 NPRM requests specific comment on whether the Commission

should adopt additional data elements related to package transactions according to the

CDE Technical Guidance.223 Should the Commission also require SDRs to publicly

disseminate the additional data elements related to package transactions? Do any of the

Commission’s proposed package transaction data elements create implementation

challenges for SDRs?

6. Category: Payments

The Commission is proposing to require SDRs to publicly disseminate eight data

elements related to payments.

224 SDRs are currently publicly disseminating information

related to payments, but the Commission is proposing to further standardize how this

information is reported across SDRs. The payment fields in current appendix A include

payment frequency and reset frequency, and day count convention.

7. Category: Prices

 222 In appendix C, these data elements are: Package identifier (40); Package transaction price (41); Package 

transaction price currency (42); and Package transaction price notation (43).

223 In the CDE Technical Guidance, the additional package data elements are: Package transaction spread 

(2.93); Package transaction spread currency (2.94); and Package transaction spread notation (2.95).

224 In appendix C, these data elements are: Day count convention (44); Floating rate reset frequency period 

(46); Floating rate reset frequency period multiplier (47); Other payment type (48); Other payment amount 

(49); Other payment currency (50); Payment frequency period (54); and Payment frequency period 

multiplier (55).
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The Commission is proposing to require reporting counterparties to report

seventeen data elements related to swap prices for SDRs to publicly disseminate.

225

SDRs are currently publicly disseminating information related to prices, but the

Commission is proposing to further standardize how this information is reported across

SDRs. The payment fields in current appendix A include payment price, price notation,

and additional price notation.

In the price category, the Commission is also proposing Post-priced swap

indicator (59), in connection with the proposed rules permitting a delay for reporting PPS

discussed above in section II.C.2.

8. Category: Product

The Commission is proposing to require SDRs publicly disseminate two data

elements relating to products, and has included a placeholder data element for the UPI.

226

As discussed above, the Commission preliminarily believes that SDRs should continue

publicly disseminating any product fields they are currently publicly disseminating until

the Commission designates a UPI according to § 45.7. Current appendix A includes a

similar placeholder field for UPI.

9. Category: Settlement

 225 In appendix C, these data elements are: Exchange rate (56); Exchange rate basis (57); Fixed rate (58); 

Post-priced swap indicator (59); Price (60); Price currency (61); Price notation (62); Price unit of measure 

(63); Spread (64); Spread currency (65); Spread notation (66); Strike price (67); Strike price 

currency/currency pair (68); Strike price notation (69); Option premium amount (70); Option premium 

currency (71); and First exercise date (73).

226 In appendix C, these data elements are: Index factor (76); Embedded option type (77); and Unique 

product identifier (78).
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The Commission is proposing to require SDRs to publicly disseminate one field

related to settlement: Settlement currency (80). Current appendix A contains a field for

settlement currency.

10. Category: Transaction-Related

The Commission is proposing to require SDRs to publicly disseminate seven

transaction-related fields.

227 The transaction-related fields in current appendix A include

execution timestamp, indication of other price affecting term, block trade indicator,

execution venue, and start and end date. The Commission is proposing one new indicator,

Prime brokerage transaction indicator, in connection with the proposed rules for reporting

mirror swaps discussed above in section II.C.4.

In connection with the data element for Execution timestamp (86), the

Commission reminds reporting counterparties that execution timestamp is the date and

time that the swap was executed, not the date and time that the swap was recorded in a

computer system (e.g., a trade capture system) or transmitted to an SDR. The

Commission is concerned that some market participants incorrectly report an execution

timestamp that indicates when a swap executed orally was recorded in market

participants’ computer systems, regardless of whether any time has passed since swap

execution. Similarly, some market participants incorrectly report an execution timestamp

that indicates when a swap executed electronically was transmitted to an SDR, regardless

 227 In appendix C, these data elements are: Non-standardized term indicator (82); Block trade election 

indicator (83); Effective date (84); Expiration date (85); Execution timestamp (86); Platform identifier (88); 

and Prime brokerage transaction indicator (90).
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of whether any time has passed between execution and transmission. Reporting of

incorrect execution timestamps in instances such as these violates the reporting

requirements of part 43.

Request for Comment

The Commission requests comment on all aspects of the proposed STAPD 

elements in appendix C and DMO’s proposed technical standards and validation 

conditions. The Commission also requests specific comment on the following:

(25) In the 2012 RTR Final Rule, the Commission stated that public dissemination was 

not “presently required” for among other types, swaps generated by portfolio 

compression exercises that would not provide price discovery benefits to the public. 

Since 2012, market participants have engaged in more complex activities, with some 

similarities to compression exercises, which are generally referred to as “risk reduction 

services.” The Commission understands that parties that facilitate risk reduction services, 

including SEFs, have reported under part 43 any new swaps that are created as the result 

of their risk-reduction services. Should the Commission require swaps resulting from risk 

reduction services be indicated using a unique identifier or flag on the real-time public 

tape to indicate the price may not reflect current market prices?

IV. Compliance Date

Market participants raised questions about the compliance schedules for the 

Commission’s proposed reporting rule amendments in response to the Roadmap 

solicitations for public comment. Commenters raised various concerns about the 

compliance schedule. For instance, the SDRs requested that system updates that would 
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result from any rule changes happen all at once.

228 Other suggested phasing in any SDR 

obligations before requiring reporting counterparty changes.229 Multiple market 

participants requested that all rulemakings take place simultaneously to inform one 

another,

230 and that DMO wait for CPMI-IOSCO to publish the CDE fields before 

undertaking the rulemakings.

231

One commenter noted the dependencies between different actors in changing 

systems and suggested that compliance dates take that into account.232 Commenters 

cautioned against artificial deadlines,233 requested avoiding compliance dates at the end 

of the year during holidays and code freezes,234 and requested that the Commission

consider deadlines for changes in foreign jurisdictions when setting compliance dates.235

The Commission understands that market participants will need a sufficient 

implementation period to accommodate the changes proposed in the three NPRMs. The 

Commission therefore expects that the compliance date for the rules that the Commission 

adopts as a result of each of the Roadmap NPRMs would be at least one year from the 

date that the last one of such final rulemakings is published in the Federal Register.

Request for Comment

The Commission requests comment on all aspects of a one year compliance date.

 228 Joint SDR Letter at 12.

229 Letter from Chatham Financial (Aug. 21, 2017) at 5-6; Joint NRECA-APPA Letter at 3. 230 Joint SDR Letter at 1; Letter from GFXD of the GFMA at 5; Joint ISDA-SIFMA Letter at 2-3; Letter 

from LCH at 2.

231 Joint ISDA-SIFMA Letter at 2-3. 232 Joint SDR Letter at 12. 233 Letter from Chatham at 5. 234 Joint SDR Letter at 12. 235 Id.
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V. Related Matters

A. Regulatory Flexibility Act

The Regulatory Flexibility Act (“RFA”) requires federal agencies, in 

promulgating rules, to consider the impact of those rules on small entities.236 The 

Commission has previously established certain definitions of “small entities” to be used 

by the Commission in evaluating the impact of its rules on small entities in accordance 

with the RFA.237 The amendments to part 43 proposed herein would have a direct effect 

on the operations of DCMs, DCOs, MSPs, prime brokers,238 reporting counterparties, 

SDs, SDRs, and SEFs. The Commission has previously certified that DCMs,239 DCOs,240

MSPs,241 SDs,242 SDRs243, and SEFs244 are not small entities for purpose of the RFA.

Various proposed amendments to part 43 would have a direct impact on all 

reporting counterparties. These reporting counterparties may include SDs, MSPs, DCOs, 

and non-SD/MSP/DCO counterparties. Regarding whether non-SD/MSP/DCO reporting 

counterparties are small entities for RFA purposes, the Commission notes that section 

2(e) of the CEA prohibits a person from entering into a swap unless the person is an 

 236 See 5 U.S.C. 601 et seq. 237 See Policy Statement and Establishment of “Small Entities” for Purposes of the Regulatory Flexibility 

Act, 47 FR 18618 (Apr. 30, 1982) (“1982 RFA Release”). 238 The Commission understands that all prime brokers currently acting as such in connection with swaps 

are SDs. Consequently, the RFA analysis applicable to SDs applies equally to prime brokers.

239 See 1982 RFA Release. 240 The Commission has previously certified that DCOs are not small entities for purposes of the RFA. See

DCO General Provisions and Core Principles, 76 FR 69334, 69428 (Nov. 8, 2011). 241 See SD and MSP Recordkeeping, Reporting, and Duties Rules, 77 FR 20128, 20194 (Apr. 3, 2012) 

(basing determination in part on minimum capital requirements). 242 See id. 243 See Swap Data Repositories, 75 FR 80898, 80926 (Dec. 23, 2010) (basing determination in part on the 

central role of SDRs in swaps reporting regime, and on the financial resource obligations imposed on 

SDRs).

244 See Core Principles and Other Requirements for SEFs, 78 FR 33476, 33548 (June 4, 2013).
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eligible contract participant (“ECP”), except for swaps executed on or pursuant to the 

rules of a DCM.245 The Commission has previously certified that ECPs are not small 

entities for purposes of the RFA.246

The Commission has analyzed swap data reported to each SDR247 across all five 

asset classes to determine the number and identities of non-SD/MSP/DCOs that are 

reporting counterparties to swaps under the Commission’s jurisdiction. A recent

Commission staff review of swap data, including swaps executed on or pursuant to the 

rules of a DCM, identified nearly 1,600 non-SD/MSP/DCO reporting counterparties. 

Based on its review of publicly available data, the Commission believes that the 

overwhelming majority of these non-SD/MSP/DCO reporting counterparties are either 

ECPs or do not meet the definition of “small entity’ established in the RFA. Accordingly, 

the Commission does not believe the proposed rule would affect a substantial number of 

small entities.

Based on the above analysis, the Commission does not believe that this proposal 

will have a significant economic impact on a substantial number of small entities. 

 245 See 7 U.S.C. 2(e). 246 See Opting Out of Segregation, 66 FR 20740, 20743 (Apr. 25, 2001). The Commission also notes that 

this determination was based on the definition of ECP as provided in the Commodity Futures 

Modernization Act of 2000. The Dodd-Frank Act amended the definition of ECP by modifying the 

threshold for individuals to qualify as ECPs, changing “an individual who has total assets in an amount in 

excess of” to “an individual who has amounts invested on a discretionary basis, the aggregate of which is in 

excess of . . . .” Therefore, the threshold for ECP status is currently more restrictive than it was when the 

Commission certified that ECPs are not small entities for RFA purposes, meaning that there are likely 

fewer entities that could qualify as ECPs today than could qualify when the Commission first made the 

determination.

247 The sample data sets varied across SDRs and asset classes based on relative trade volumes. The sample 

represents data available to the Commission for swaps executed over a period of one month. These sample 

data sets captured 2,551,907 FX swaps, 603,864 equity swaps, 357,851 other commodity swaps, 276,052 

interest rate swaps, and 98,145 credit swaps.
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Therefore, the Chairman, on behalf of the Commission, pursuant to 5 U.S.C. 605(b), 

hereby certifies that the proposed rules will not have a significant economic impact on a 

substantial number of small entities.

B. Paperwork Reduction Act

The PRA of 1995248 imposes certain requirements on federal agencies, including 

the Commission, in connection with their conducting or sponsoring any collection of 

information, as defined by the PRA. This proposed rulemaking would result in a 

collection of information within the meaning of the PRA, as discussed below. The 

proposed rulemaking contains a collection of information for which the Commission has 

previously received a control number from the Office of Management and Budget

(“OMB”): OMB Control Number 3038-0070 (relating to real-time STAPD).

The Commission is proposing to amend information collection 3038-0070 to 

accommodate newly proposed and revised information collection requirements for swap 

market participants and SDRs that require approval from OMB under the PRA. The 

amendments described herein are expected to modify the existing annual burden for 

complying with certain requirements of part 43.

The Commission therefore is submitting this proposal to the OMB for its review 

in accordance with 44 U.S.C. 3507(d) and 5 CFR 1320.11. Responses to this collection of 

information would be mandatory. The Commission will protect proprietary information 

according to the FOIA and 17 CFR 145, “Commission Records and Information.” In 

 248 See 44 U.S.C. 3501.
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addition, section 8(a)(1) of the CEA strictly prohibits the Commission, unless specifically 

authorized by the CEA, from making public “data and information that would separately 

disclose the business transactions or market positions of any person and trade secrets or 

names of customers.”249 The Commission is also required to protect certain information 

contained in a government system of records according to the Privacy Act of 1974.250

1. STAPD Reports to SDRs

The Commission is proposing to amend § 43.3, which requires SEFs, DCMs, and 

reporting counterparties to report data to SDRs when entering into new swaps, or making 

certain changes to swaps, for SDRs to publicly disseminate. Existing § 43.3 requires 

reporting counterparties to send swap reports to SDRs as soon as technologically 

practicable after execution. The Commission is proposing to amend § 43.3(a)(4) to allow 

reporting counterparties more time to report PPS to SDRs. Currently, some entities report 

PPS using a placeholder price, and then send a swap report later amending the price. 

Those entities would experience a reduction in the number of swap reports they are 

required to send pursuant to § 43.3 under the proposal. The Commission estimates 50 

SD/MSP reporting counterparties would reduce the number of PPS reports they report to 

SDRs by 100 reports per respondent annually, or 5,000 reports in the aggregate for an 

aggregate cost burden reduction of $24,197.

The Commission is also proposing to amend § 43.3 to establish new requirements 

for reporting prime brokerage swaps in § 43.3(a)(6). The proposed rules would establish 

 249 7 U.S.C. 12(a)(1). 250 5 U.S.C. 552a.
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that “mirror swaps” would not need to be publicly disseminated by SDRs. Reporting 

counterparties would continue to report mirror swaps to SDRs pursuant to part 45, but the 

amendment to § 43.3 would reduce the number of reports SDRs would be required to 

publicly disseminate according to § 43.4. The amendment to the requirement for SDRs in 

§ 43.4 is discussed in the next section below.

The Commission is also proposing to create a new requirement in § 43.3(a)(5) for 

DCOs to report STAPD for clearing swaps that are PRSTs. The proposed change would 

increase the burden for no more than 14 DCOs that would need to report PRSTs, but 

would not affect the burden for the majority of 1,732 reporting counterparties required to 

report data ASATP after execution. As a result, the Commission is not proposing to 

amend the estimate for § 43.3 based on this change.

Existing § 43.3(h) requires timestamping by multiple entities. Existing § 

43.4(h)(1) requires registered entities, SDs, and MSPs to timestamp real-time swap 

reports with the time they receive the data from counterparties, as applicable, and the 

time at which they transmit the report to an SDR. Registered entities, SDs, and MSPs 

then send these timestamps to the SDR. Existing § 43.3(h)(2) requires SDRs to 

timestamp the swap reports they receive from SEFs, DCMs, and reporting parties, and 

then timestamp the report with the time they publicly disseminate it. SDRs then place 

these timestamps on the reports they publicly disseminate. Existing § 43.3(h)(3) requires 
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SDs and MSPs have to timestamp all off-facility swaps they report to SDRs. SDs and 

MSPs then report these timestamps to SDRs.251

Removing § 43.3(h)(1) would reduce the amount of time SDs, MSPs, and 

registered entities spend reporting swap reports to SDRs, but would not amend the 

number of reports they send. Removing § 43.3(h)(2) would reduce the amount of time 

SDRs spend publicly disseminating swap reports, but would not amend the number of 

reports they send. Removing § 43.3(h)(3) would reduce the amount of time SDs and 

MSPs spend reporting off-facility swaps to SDRs, but would not reduce the amount of 

reports they send. Finally, removing § 43.3(h)(4) would remove the recordkeeping 

burden for these entities. As shown in Appendix A, this would remove the current 

recordkeeping burden of 5,854 hours from the collection.

2. STAPD Reports Disseminated to the Public by SDRs

As discussed above, existing § 43.3 requires reporting counterparties to send swap 

reports to SDRs as soon as technologically practicable after execution. The Commission 

is proposing to amend § 43.3 to establish new requirements for reporting prime brokerage 

swaps in § 43.3(a)(6). The proposed rules would establish that “mirror swaps” would not 

need to be publicly disseminated by SDRs. Reporting counterparties would continue to 

report mirror swaps to SDRs pursuant to part 45, but the amendment to § 43.3 would 

reduce the number of reports SDRs would be required to publicly disseminate according 

 251 Current § 43.3(h)(4) requires all entities have recordkeeping requirements with respect to these 

timestamps. The Commission is proposing to eliminate the recordkeeping requirements in § 43.3(h)(4). 

This would result in the removal of the recordkeeping burden from collection 3038-0070, which is 

currently 5,854 hours in the aggregate.
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to § 43.4. The Commission estimates that the amendments would reduce the number of 

mirror swaps SDRs would need to publicly disseminate by 100 reports per each SDR, or 

300 reports in the aggregate, which would reduce the cost burden by $1,451 in the 

aggregate.

The estimated updated reporting burden total for real-time public reporting would 

be as follows:

Estimated number of respondents: 1,732

Estimated number of reports per respondent: 20,747

Average number of hours per report: .07

Estimated gross annual reporting burden: 1,206,508

Request for Comment

The Commission invites the public and other Federal agencies to comment on any 

aspect of the proposed information collection requirements discussed above. The 

Commission will consider public comments on this proposed collection of information 

in: 

1. evaluating whether the proposed collection of information is necessary for the proper 

performance of the functions of the Commission, including whether the information will 

have a practical use; 

2. evaluating the accuracy of the estimated burden of the proposed collection of 

information, including the degree to which the methodology and the assumptions that the 

Commission employed were valid; 
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3. enhancing the quality, utility, and clarity of the information proposed to be collected; 

and 

4. reducing the burden of the proposed information collection requirements on 

registered entities, including through the use of appropriate automated, electronic, 

mechanical, or other technological information collection techniques, e.g., permitting 

electronic submission of responses.

Copies of the submission from the Commission to OMB are available from the 

CFTC Clearance Officer, 1155 21st Street NW, Washington, DC 20581, (202) 418–5160 

or from http://RegInfo.gov. Organizations and individuals desiring to submit comments 

on the proposed information collection requirements should send those comments to:

• The Office of Information and Regulatory Affairs, Office of Management and 

Budget, Room 10235, New Executive Office Building, Washington, DC 20503, Attn: 

Desk Officer of the Commodity Futures Trading Commission;

• (202) 395–6566 (fax); or

• OIRAsubmissions@omb.eop.gov (email).

Please provide the Commission with a copy of submitted comments so that all comments 

can be summarized and addressed in the final rulemaking, and please refer to the 

ADDRESSES section of this rulemaking for instructions on submitting comments to the 

Commission. OMB is required to make a decision concerning the proposed information 

collection requirements between 30 and 60 days after publication of this Release in the 

Federal Register. Therefore, a comment to OMB is best assured of receiving full 

consideration if OMB receives it within 30 calendar days of publication of this Release. 
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Nothing in the foregoing affects the deadline enumerated above for public comment to

the Commission on the proposed rules.

C. Cost-Benefit Considerations

1. Statutory and Regulatory Background

Section 15(a)252 of the CEA requires the Commission to consider the costs and 

benefits of its actions before promulgating a regulation under the CEA or issuing certain 

orders. Section 15(a) further specifies that the costs and benefits shall be evaluated in 

light of five broad areas of market and public concern: (1) protection of market 

participants and the public; (2) efficiency, competitiveness, and financial integrity of 

markets; (3) price discovery; (4) sound risk management practices; and (5) other public 

interest considerations. The Commission considers the costs and benefits resulting from 

its discretionary determinations with respect to the section 15(a) factors.

In this release, the Commission is proposing both substantive and non-substantive 

revisions and additions to existing regulations in part 43. Together, these proposed 

revisions and additions are intended to improve real-time public reporting for reporting 

counterparties, SEFs, DCMs, SDRs, and market participants that use real-time public 

data. The non-substantive amendments discussed above in this release do not have costbenefit impact and are not discussed in this section.

Many of the proposed rule changes will likely affect a wide variety of proprietary

reporting systems developed by SDRs and reporting entities. In many cases, SDRs and

 252 7 U.S.C. 19(a).
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other industry participants are in the best position to estimate computer programming

costs of changing the reporting requirements. Hence, while the Commission can provide

broad ranges of estimates of the programming costs associated with the proposed rule

changes, the Commission looks forward to receiving comments that will help refine those

numbers. Regarding changes which require technical updates to reporting systems, where

significant, CFTC staff estimated the hourly wages market participants will likely pay

software developers to implement each change to be between $47 and $100 per hour.253

Relevant amendments below will list a low-to-high range of potential cost as determined

by the number of developer hours estimated by technical subject matter experts (“SMEs”)

in the Commission’s Office of Data and Technology.

Quantifying other costs and benefits, such as those resulting from changes in price 

transparency from a rule change, are inherently harder to measure. Such effects will be 

discussed qualitatively when quantitative measures are difficult to obtain. In addition, 

quantification of effects relative to current market practice may not be fully 

representative of future activity if participants adjust their trading behavior in response to 

rule updates. The Commission therefore specifically requests comment on the costs 

 253 Hourly wage rates came from the Software Developers and Programmers category of the May 2018 

National Occupational Employment and Wage Estimates Report produced by the U.S. Bureau of Labor 

Statistics, available at https://www.bls.gov/oes/current/oes_nat.htm. The 25th percentile was used for the 

low range and the 90th percentile was used for the upper range ($36.07 and $76.78, respectively). Each 

number was multiplied by an adjustment factor of 1.3 for overhead and benefits (rounded to the nearest 

whole dollar) which is in line with adjustment factors the CFTC has used for similar purposes in other final 

rules adopted under the Dodd-Frank Act. See, e.g., 77 FR at 2173 (using an adjustment factor of 1.3 for 

overhead and other benefits). These estimates are intended to capture and reflect U.S. developer hourly

rates market participants are likely to pay when complying with the proposed changes. We recognize that 

individual entities may, based on their circumstances, incur costs substantially greater or less than the 

estimated averages and encourage commenters to share relevant cost information if it differs from the 

numbers reported here.
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associated with this proposed rulemaking to help the Commission quantify such costs in 

the final rulemaking.

The Commission notes that the discussion in this section is based on the 

understanding that swap markets often extend across geographical regions. Many swap 

transactions involving U.S. firms occur across international borders; some Commission 

registrants are even headquartered outside of the United States, with the most active 

participants often conducting operations both within and outside the United States. Where 

the Commission does not specifically refer to matters of location, the discussion of costs 

and benefits refers to the proposed rules’ effects on all swaps activity, whether by virtue 

of the activity’s physical location in the United States or by virtue of the activity’s 

connection with or effect on U.S. commerce under CEA section 2(i).254

2. Considerations of the Costs and Benefits of the Commission’s Action

a. § 43.3 – Method and Timing for Real-Time Public Reporting255

i. § 43.3(a)(4) – Post-Priced Swaps

The Commission is proposing § 43.3(a)(4) to establish requirements for reporting 

PPSs, which the Commission proposes to define as off-facility swaps for which the price 

has not been determined at the time of execution. The Commission understands that PPSs 

 254 See 7 U.S.C. 2(i). CEA section 2(i) limits the applicability of the CEA provisions enacted by the DoddFrank Act, and Commission regulations promulgated under those provisions, to activities within the U.S., 

unless the activities “have a direct and significant connection with activities in, or effect on, commerce of 

the [U.S.]; or contravene such rules or regulations as the Commission may prescribe or promulgate as are 

necessary or appropriate to prevent the evasion of any provision of [the CEA] enacted by the [Dodd-Frank 

Act].” Application of section 2(i)(1) to the existing part 43 regulations with respect to SDs/MSPs and nonSD/MSP counterparties is discussed in the Commission’s Interpretive Guidance and Policy Statement 

Regarding Compliance With Certain Swap Regulations, 78 FR 45292 (July 26, 2013).

255 The proposed amendments to §§ 43.1 and 43.2 do not have any cost-benefit impact.
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can arise in a variety of settings. One possibility is for the price of the swap to be tied to a 

reference price that is not yet determined at the time of the trade; examples of this could 

include the daily settlement price of a stock index or crude oil futures or a benchmark 

such as the Argus WTI Midland price assessment.256 In this case, the PPS would only 

have a defined price once the reference price is determined. A second possibility is for 

the price of a PPS to be determined only after the dealing counterparty is able to hedge its 

exposure to the PPS. In this case, the price of the PPS would only be fixed after the SD 

has completed its hedge.

The Commission is not able to clearly identify which swaps would be classified 

as PPSs under the new rules.257 This makes an accurate estimate of how many individual 

swaps or counterparties the proposed rule change would impact difficult to obtain. Under 

the updated list of STAPD elements in appendix C, reporting parties would be required to 

report that a swap is a PPS to allow the Commission and the public to get a clearer view 

of PPS activity.258

 256 This is similar to “trade at settlement” trades in futures markets which trade at prices that represent the 

settlement price or a spread to the settlement price (e.g., a TAS plus one tick); once the settlement price is 

defined, the trade is then marked with the corresponding trade price. The Commission believes that this 

type of post-priced swap is especially common for equity swaps, where traders often need to match the 

settlement price of a given index.

257 There are a few alternatives to identify the set of swaps that would be impacted by proposed § 

43.3(a)(4). First, it might be possible to identify PPSs using part 43 data by searching the data to determine 

how many swaps are reported with a missing price with a reporting time close to execution time. However, 

the Commission understands that not all reporting parties report their PPSs close in time to the execution of 

the PPS; instead, these counterparties wait until a price is determined. A second option might be to assume 

swaps with a price but a large difference between reporting time and execution time are PPSs; however, 

this methodology might include swaps with other non-price varying terms such as quantity. Finally, a more 

involved check would combine parts 43 and 45 data to check for differences in the reported price. Since all 

of these options are potentially over- or under-inclusive, the Commission is not attempting to identify for 

this discussion which swaps in the current data would be classified as PPSs.

258 The proposed STAPD element for “post-priced swap indicator” is discussed above in section III.
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As discussed above in section II.C.2., proposed § 43.3(a)(4)(i) would permit 

reporting counterparties to delay reporting that are identified as PPSs to SDRs until the 

earlier of: (i) the price being determined; and (ii) 11:59:59 PM eastern time on the 

execution date. For Variable Terms Swaps for which the price is known at execution but 

some other term is left for future determination (e.g., quantity), reporting parties remain 

obligated to report the swap ASATP after execution, even absent the as-of-yet 

undetermined terms.

Baseline: The current rule requires reporting parties to report all swaps ASATP 

after execution; this baseline does not contain an exception for Variable Terms Swaps, a 

category of swaps which includes PPSs. However, based on discussions with market 

participants, many PPSs and other Variable Terms Swaps are not currently reported until

all terms have been determined and those that are reported are difficult to identify. The 

Commission believes that may be due in some part to market participants’ lack of 

awareness that the ASATP standard applies to all Variable Terms Swaps, or interprets 

execution in a different way than the Commission.

Benefits: This rule would establish a bright-line standard for when a PPS and 

other Variable Terms Swaps needs to be reported for public dissemination, in lieu of the 

reporting variation that, as described above, appears to be current practice. By explicitly 

describing reporting obligations for PPSs, as well as the other Variable Terms Swaps, the 

rule would create consistency in reporting, reduce uncertainty about obligations, and 

create a more level playing field for reporting entities. This would make the real-time 

public data more informative to traders.
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Another benefit of allowing delayed reporting of PPSs is that it would permit 

parties to hedge the positions they acquire in a more cost-effective way. For example, if a 

client asks an SD to take the long side of a large swap, the SD may be able to hedge that 

position with less price impact if other traders are unaware of the SD’s hedging need.

This ability to hedge while mitigating price impact can often translate to better pricing for 

the client. Thus, the Commission anticipates proposed § 43.3(a)(4) would decrease SDs’ 

hedging costs, especially for large or non-standardized trades, improve customer pricing, 

and increase those clients’ willingness to take positions.

Costs: Delayed reporting of PPSs may reduce the amount of information available 

to market participants as a whole and, in that sense, frustrate the objective of price 

transparency. In particular, other market participants would have a less-precise estimate 

of intraday trading volume in real-time, which can introduce an information asymmetry. 

Another cost is that proposed § 43.3(a)(4) might encourage traders to trade more PPSs, 

and fewer swaps for which the price is known at execution,259 further reducing 

transparency as fewer trades are reported ASATP after execution.

The Commission is proposing regulation § 43.3(a)(4) to specify the requirements 

for how PPSs are to be reported. Notwithstanding the potential incremental costs

identified above, the Commission preliminarily believes this change is warranted in light 

of the anticipated benefits.

 259 For instance, because proposed § 43.3(a)(4) permits delaying reporting, it could create an incentive for 

an SDs’ PPS counterparties to seek to enter into swaps that they know will take some time for the SD to 

hedge (e.g., swaps in larger size than they ordinarily would seek to execute) so that such counterparties can 

receive the benefit of the delayed reporting permitted by proposed § 43.3(a)(4).
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Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.3(a)(4), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(26) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(27) Are there alternatives that would generate greater benefits and/or lower costs?

(28) What percentage of PPSs have their prices determined by midnight on the date of 

execution (by asset class and overall)? What percentage of Variable Terms Swaps have 

their prices determined by midnight on the date of execution (by asset class and overall)? 

Do market participants have trouble reporting, and do SDRs have difficulty 

disseminating, PPS trades, because the placeholder terms of the swaps (including, but not 

limited to, placeholder values such as zero or blank fields) are inconsistent with SDRs’ 

allowable values?

(29) Do market participants have an estimate for the number of swaps that may shift to 

PPS if the Commission grants PPS a reporting delay?

ii. § 43.3(a)(5) – Clearing Swaps

The Commission is proposing § 43.3(a)(5) to add DCOs to the reporting 

counterparty hierarchy for clearing swaps that are publicly reportable. DCOs are not 

typically the entities that are required to report information under part 43, since swaps 
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associated with the clearing process (e.g., novations) have already been reported in some 

form; for example, SEFs, DCMs, and reporting counterparties report the original, marketfacing swap to SDRs for public dissemination and then send that swap to the DCO for 

clearing. This is inconsistent with the part 45 reporting hierarchy that the Commission is 

concerned introduces some confusion. Proposed § 43.3(a)(5) describes the limited, 

specific cases when a DCO would be required to submit a swap for public dissemination 

(e.g., when executing swaps to hedge the risk resulting from a default of a clearing 

member). While the number of such cases is small, the reporting responsibility in those 

cases is left unspecified under current rules.

Baseline: The rules currently do not expressly require DCOs to submit any swap 

records to an SDR for public dissemination.

Benefits: Proposed § 43.3(a)(5) will require DCOs to report swaps for public 

dissemination if the DCO is a counterparty to the initial swap, and the swap falls within 

the definition of a PRST. In cases where these swaps are not currently being reported 

under part 43, perhaps due to ambiguity over the reporting hierarchy, this rule change is 

likely to increase market transparency. Related, more clearly defining the reporting 

responsibilities for DCOs would improve reporting consistency and reporting validation.

Costs: The Commission expects that proposed § 43.3(a)(5) would impose minor 

additional costs on DCOs because DCOs would now be the reporting party for a certain 

category of PRSTs. As a preliminary matter, the Commission believes that the proposed 

amendment will affect a small number of swaps. Further, while the Commission currently 

lacks information to estimate the direct cost incurred here by the DCOs, it expects the 
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incremental per-swap reporting cost to be very small because DCOs have already 

incurred most of the fixed set-up costs of reporting. In addition, two DCOs report to 

affiliated SDRs, which should mitigate the cost of reporting PRSTs. For DCOs that are 

not affiliated with SDRs, the cost may be higher. 

The Commission is proposing § 43.3(a)(5) to add DCOs to the required reporting

hierarchy for clearing swaps. Notwithstanding the anticipated incremental costs identified 

above, the Commission preliminarily believes this change is warranted in light of the 

anticipated benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.3(a)(5), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(30) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(31) Are there alternatives that would generate greater benefits and/or lower costs?

(32) Are there additional situations in which a DCO would be the reporting counterparty 

to a PRST that the Commission has not considered? Please specify any scenarios, along 

with the frequency with which they occur. Would these scenarios result in additional 

costs for DCOs if the Commission were to require DCOs to be the reporting 

counterparties?
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(33) What are the costs of requiring DCOs to report clearing swaps that are PRSTs? 

Please specify all expected one-time and ongoing compliance costs. What are the 

reporting costs faced by the parties that are reporting these trades under the current 

regulations?

iii. § 43.3(a)(6) – Mirror Swaps

The Commission is proposing § 43.3(a)(6) to establish requirements for reporting 

a certain subset of prime brokerage swaps. These prime brokerage swaps result from an 

agency agreement between a prime broker and a customer, pursuant to which a prime 

broker agrees to serve as a swap counterparty to the customer on terms negotiated by the 

customer with third parties, often referred to as executing brokers (or executing dealers). 

This arrangement is possible, provided that the terms of the swap fall within acceptable 

parameters set forth in the agency agreement. 

To illustrate proposed § 43.3(a)(6) and consider its costs and benefits, the 

Commission will focus on what it understands to be the simplest type of prime brokerage 

swap.260 In that structure, once the customer negotiates with an executing broker the 

terms of a swap that fits within the parameters set forth in the agency agreement (the 

“pricing event”), two swaps are created: a swap between the executing broker and the 

 260 The Commission understands that there are many different prime brokerage swap transaction structures. 

However, the Commission has limited the discussion in this Cost-Benefit Considerations section to one 

representative type because it is impractical to consider the costs and benefits of each structure in a set of 

an unlimited number of transaction structures. The cost-benefit considerations discussion may therefore fail 

to account for some costs associated with all covered prime-brokerage transactions. The Commission 

requests comment below on the costs the Commission may need to account for as a result of prime 

brokerage swap transaction structures other than the one considered for this analysis.
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prime broker (the “trigger swap”) and a swap with offsetting economic terms between the 

prime broker and the customer (the “mirror swap”).261

Because the prime broker is a counterparty to both a trigger swap and a mirror 

swap, it has two offsetting exposures that should leave it market risk neutral. The prime 

broker does, however, take on counterparty credit risk from both the client and the 

executing broker.

The current part 43 rules and, in particular, the definition in § 43.2 of PRST, do 

not expressly address mirror swaps or trigger swaps. As a result, the Commission is 

concerned that this reporting is inconsistent today. In particular, the Commission is 

concerned that mirror swaps are currently under-reported because market participants—

acting on the belief that reporting mirror swap terms duplicative of those already reported 

for the corresponding trigger swap would distort price discovery,

262 and informed by

CFTC Letter No. 12-53, discussed above in section II.C.4.263—inconsistently report 

them. Because there is no indicator for which swaps represent trigger or mirror swaps in 

the public reporting requirements, the Commission cannot identify how common these 

swaps may be. More generally, potential current non-reporting of mirror swaps makes it 

difficult to quantify how many swap trades and open positions result from prime 

 261 This mirror swap includes an adjustment resulting from the prime brokerage servicing fees. 262 This would be the case if all the primary economic terms are the same for, for instance, a trigger swap 

and a single mirror swap. By reporting both the mirror and the trigger swap, market participants may 

assume that the volume of price-forming trade activity is higher than it actually is. 263 As discussed above in section II.C.4., CFTC Letter No. 12-53 provided no-action relief for reporting 

counterparties from the obligation to report mirror swaps to SDRs.
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brokerage activity.264 These current issues introduce difficulties in using part 43 

information for real-time analysis or longer historical studies of swaps market activity.

Pursuant to proposed § 43.3(a)(6)(i), an SDR would not need to publicly 

disseminate a mirror swap, but the swap would still be reported to an SDR pursuant to 

part 45; in contrast, the trigger swap would both publicly disseminated by an SDR 

pursuant to part 43 and reported to an SDR pursuant to part 45. This would result in 

different reporting regimes for mirror swaps than for other swaps used to hedge exposure. 

Baseline: The current rules do not specifically address mirror swaps or prime

brokerage transactions. Pursuant to the current regulations, real-time public reporting is 

required for both trigger swaps and mirror swaps. To the extent some reporting 

counterparties are not in compliance, cost and benefits relative to the status quo may be 

different than when measured against the regulatory baseline. This different cost/benefit 

profile is considered as well.

Benefits: Proposed § 43.3(a)(6) would help market participants by explicitly 

providing that mirror swaps are not publicly reportable, provided that the related trigger 

swaps are reported pursuant to parts 43 and 45. The changes would reduce the current 

burden on regulatory-compliant prime brokers and other parties to report mirror swaps, 

an incremental benefit that market participants who currently do not report these swaps 

would not realize.

 264 The STAPD elements in appendix C would include a new data element “Prime brokerage transaction 

identifier” and would require the reporting party to include the USI or UTI of the trigger swap in the “prior 

USI” or “prior UTI” fields of each mirror swap.
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The Commission preliminarily believes that proposed § 43.3(a)(6) also would 

benefit market participants who monitor the public tape (likely some of the most active 

participants) by preventing duplicative mirror swaps that reflect the same economic terms 

as trigger swaps.265 Inclusion of such duplicative records can create a false impression of 

market volume at a particular price.

Costs: The Commission recognizes that, in the plain vanilla, trigger swap-mirror 

swap structure described above, the prime broker establishes two open positions: one 

between it and the executing broker and one with offsetting economic terms facing the 

client. This subjects the prime broker to counterparty risk from both counterparties but 

not to market risk.266 By omitting mirror swaps from the public tape, the proposed rule 

change would increase the number of swaps that affect the credit risk position of market 

participants but are not required to be publicly reported pursuant to part 43, thus 

frustrating the objective of price transparency.267

 265 In the case of partial reverse give-ups, the mirror swaps may reflect different notional amounts than the 

trigger swaps. However, as discussed above, the Commission is limiting the discussion in this section to the 

plain vanilla, trigger swap-mirror swap structure illustrated above, which does not involve partial reverse 

give-ups. 266 Although the execution of the trigger swap results in a change in the market risk position between the 

prime broker and the executing broker, and the execution of the mirror swap results in a change in the 

market risk position between the prime broker and its customer, the prime broker does not have any net 

market exposure (because its market position is flat). However, because the market risk position between 

the prime broker and each of its counterparties changed, the trigger swap and mirror swap both are 

currently PRSTs. 

267 For additional information regarding swaps that affect the credit risk position of market participants but 

are not required to be publicly reported, see: Paragraph (2) of the definition of a PRST in § 43.2 gives two 

“[e]xamples of executed swaps that do not fall within the definition of a publicly reportable swap . . .: (i) 

[i]nternal swaps between [100%] subsidiaries of the same parent entity; and (ii) [swaps resulting from 

p]ortfolio compression exercises. Paragraph (3) of the definition of a PRST in § 43.2 states that those 

examples “represent swaps that are not at arm’s length and thus are not [PRSTs], notwithstanding that they 

do result in a corresponding change in the market risk position between two parties.”
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While the Commission’s analysis has focused on plain vanilla mirror swaps in 

this section, it notes that some mirror swaps do not contain the same economic terms as 

the trigger swap. There may be mirror swaps in which there are multiple trades that 

comprise the mirror side for a single trigger swap. In these cases, the public will not learn 

about the multiple mirror swaps which have an aggregate notional amount that is equal to 

the trigger swap. This, as with other examples, has the potential to reduce the level of 

transparency for a specific subset of trade activity, though the trade activity is in part 

duplicative of other swaps visible to the market.

Furthermore, eliminating reporting for mirror swaps could incentivize the use of 

more complex mirror swaps to avoid public reporting, increasing the possibility of more 

complicated, risky swaps being created. The Commission expects such risk to be 

minimal, however, given that all swaps associated with prime brokerage transactions will 

still be reported to SDRs pursuant to part 45.

The Commission is proposing § 43.3(a)(6) to establish requirements for reporting 

prime brokerage swaps. Notwithstanding the anticipated incremental costs, the 

Commission preliminarily believes this change is warranted in light of the anticipated 

benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.3(a)(6), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.
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(34) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(35) Are there alternatives that would generate greater benefits and/or lower costs?

(36) Can the double-reporting concerns be addressed by the alternative of adding an 

additional reporting field to indicate if a swap is a trigger or a mirror? If so, what are 

costs and benefits of this alternative approach relative to what is being proposed?

(37) How common are mirror swaps? What percentage are “plain vanilla” as 

characterized above as compared to more complex scenarios? What would the costbenefit differences be between plain vanilla and non-plain vanilla mirror swaps?

iv. § 43.3(c) – Availability of Swap Transaction and Pricing Data to the Public

Current § 43.3(d)(1) and (2) (which would be relocated to § 43.3(c)(1) and (2)) 

specify the format in which SDRs must make STAPD available to the public; in addition, 

current rules require that the disseminated data must be made “freely available and 

readily accessible” to the public. Substantively, the Commission is proposing to amend 

these requirements by specifying that SDRs shall make such data available for at least 

one year after dissemination, and provide instructions on how to download, save, and 

search the data. While current § 43.3(d) is silent on how long SDRs must maintain and 

provide the public access to swap data and does not require SDRs to provide instructions 

on how to download, save, and search the data, for baseline purposes of this cost-benefit 

consideration the Commission, as noted above in section II.C.7., understands a one-year 

time frame is current practice for at least a majority of SDRs. To the extent the baseline 
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might be less than one year by an SDR, proposed § 43.3(c)(1) would increase the 

transparency of swap data to the public. Finally, in practice, the cost of the change is 

expected to be negligible, because SDRs are already making the public reports available 

for more than one year.

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.3(c). Please provide data, statistics, or other supporting information for 

positions asserted.

v. § 43.3(d) – Data Reported to SDRs

The Commission is proposing § 43.3(d), which would require reporting 

counterparties, SEFs, and DCMs, when reporting STAPD to an SDR, to: (i) use the 

technical standards as instructed by the Commission; (ii) satisfy SDR validation 

procedures; and (iii) use the facilities, methods, or data standards provided or required by 

the SDR.

The standardization of STAPD reported to and publicly disseminated by SDRs 

has improved over recent years at each SDR. However, the Commission believes market 

participants would now benefit from having publicly disseminated STAPD standardized 

across SDRs. To do so, the Commission is proposing to further specify the STAPD 

elements to be reported to and publicly disseminated at SDRs. While SDRs are already 

accepting and publicly disseminating most of the information in appendix C, the 

Commission believes standardization could be improved by updated, more specific 

definitions.
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The Commission proposed SDR data validation requirements in the 2019 Part 49 

NPRM. Proposed § 43.3(d) would require reporting entities to satisfy the SDR data 

validation procedures. Since proposed § 43.3(d)(2) is closely related to proposed § 

43.3(f), discussed below, the Commission views its discussion of the cost and benefits of 

§ 43.3(f) equally applicable here and incorporates it by reference.

Baseline: Currently, appendix A to part 43, entitled “Data Fields for Public 

Dissemination,” describes the set of data fields that reporting counterparties are required 

to complete and provides guidance for such completion. For each data field, there is a 

corresponding description, example, and, where applicable, an enumerated list of 

allowable values. Currently, SDRs are not required to apply any data validation 

procedures on the reports sent to them. In addition, the Commission understands that at 

least some SDRs have flexible application programming interfaces (“APIs”) that allow 

reporting counterparties to report data for part 43 purposes in many ways, making 

standardization difficult, especially across SDRs.

268

Benefits: The Commission expects both reporting entities and SDRs to benefit 

from further specified data elements and technical standards in how STAPD needs to be 

reported. These standards should, over time, make reporting easier and more accurate, 

which may reduce the time between when a trade is executed and when that trade is 

publicly reported. Standards may also allow reporting entities who currently report to 

multiple SDRs (traditionally the more active participants) to use similar reporting 

 268 The Commission believes use of these flexible APIs has been encouraged by the current lack of 

specificity for reporting data elements. 
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systems for all relevant SDRs. This would likely lower reporting costs, compared to the 

current environment in which SDRs have non-standardized requirements. Requiring all 

SDRs to have the same standards would also make it less costly for all participants to 

respond to changing market conditions (which might require new specifications), since 

the same changes would apply for all interactions between reporting entities and SDRs.

Most significantly, market participants are likely to benefit from the increased 

standardization of information, because of the added assurance that information publicly 

reported by one SDR is fully consistent with swap information published by another. This

increased consistency will afford market participants a more easily-accessible, accurate 

view of activity across all Commission regulated swap markets. The Commission expects 

the general public would also benefit when the information is combined across SDRs to 

produce reports related to general swaps market activity. 

Along with the expected benefits that will arise from the standardization and 

uniformity of existing information reported in real-time, the Commission expects 

additional benefits related to the new STAPD elements proposed in appendix C. For 

example, there is a new data element allowing users to identify PPSs or if the swap 

transaction is considered a bespoke swap. This additional information will allow for 

additional options in processing and studying the market information.

Costs: The Commission expects that reporting entities and SDRs would incur

some initial costs to incorporate any new technical standards into their reporting

infrastructure (e.g., programming costs). This NPRM is proposed in parallel with the part

45 NPRM and relates to a subset of the information collected under part 45. This means
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the proposed changes to parts 43 and 45 would largely require technological changes that

could merge two different data streams into one. For example, SDRs will have to make

adjustments to their extraction, transformation, and loading (ETL) process in order to

accept feeds that comply with new technical standards and validation conditions.

Because many of the changes SDRs would make to comply with part 43 will

likely also allow it to comply with part 45, the Commission anticipates significantly

lower aggregate costs relative to the costs for parts 43 and 45 separately. For this reason,

the costs described below may most accurately represent the full technological cost of

satisfying the requirements for both proposed rules.

Based on conversations with CFTC staff experienced in designing data reporting,

ingestion, and validation systems, Commission staff estimates the cost per SDR to be in a

range of $141,000 to $500,000.269 This staff cost estimate is based on a number of

assumptions and covers the set of tasks required for the SDR to design, test, and

implement a data system based on the proposed list of swap data elements in appendix C

and the guidebook.270 These numbers assume that each SDR will spend approximately

3,000-5,000 hours to establish ETL into a relational database on such a data stream.271

 269 To generate the included estimates, a bottom-up estimation method was used based on internal CFTC 

expertise. In brief, and as seen in the estimates, the Commission anticipates that the task for the SDR’s will 

be significantly more complex than it is for reporters. On several occasions, the CFTC has developed an 

ETL data stream similar to the anticipated parts 43 and 45 data streams. These data sets consist of 100-200 

fields, similar to the number of fields in proposed appendix 1. This past Commission experience has been 

used to derive the included estimates.

270 These assumptions include: (1) at a minimum, the SDRs will be required to establish a data extraction 

transformation and loading (ETL) process. This implies that either the SDR is using a sophisticated ETL 

tool, or will be implementing a data staging process from which the transformation can be implemented. (2) 

It is assumed that the SDR would require the implementation of a new database or other data storage 

vehicle from which their business processes can be executed. (3) While the proposed record structure is 
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For reporting entities, the Commission estimates the cost per reporting entity to be 

in a range of $23,500 to $72,500.272 This cost estimate is based on a number of 

assumptions and covers a number of tasks required by the reporting entities to design, 

test, and implement an updated data system based on the proposed swap data elements, 

technical standards, and validation conditions.273 These tasks include defining 

requirements, developing an extraction query, developing of an interim extraction format 

(e.g., CSV), developing validations, developing formatting conversions, developing a 

framework to execute tasks on a repeatable basis, and finally, integration and testing. 

Staff estimates that it would take a reporting entity 200 to 325 hours to implement the 

 

straight forward, the implementation of a database representing the different asset classes may be complex. 

(4) It is assumed that the SDR would need to implement a data validation regime typical of data sets of this 

size and magnitude. (5) It is reasonable to expect that the cost to operate the stream would be lower due to 

the standardization of incoming data, and the opportunity to automatically validate the data may make it 

less labor intensive.

271 The lower estimate of $141,000 represents 3,000 working hours at the $47 rate. The higher estimate of 

$500,000 represents 5,000 working hours at the $100 rate.

272 To generate the included estimates, a bottom-up estimation method was used based on internal CFTC 

expertise. On several occasions, the CFTC has created data sets that are transmitted to outside 

organizations. These data sets consist of 100-200 fields, similar to the number of fields in the proposed 

appendix 1. This past experience has been used to derive the included estimates.

273 These assumptions include: (1) the data that will be provided to the SDRs from this group of reporters 

largely exists in their environment. The back end data is currently available; (2) the data transmission 

connection from the firms that provide the data to the SDR currently exists. The assumption for the 

purposes of this estimate is that reporting firms do not need to set up infrastructure components such as 

FTP servers, routers, switches, or other hardware; it is already in place; (3) implementing the requirement 

does not cause reporting firms to create back end systems to collect their data in preparation for 

submission. It is assumed that firms that submit this information have the data available on a query-able 

environment today, (4) reporting firms are provided with clear direction and guidance regarding form and 

manner of submission. A lack of clear guidance will significantly increase costs for each reporter; and (5) 

there is no cost to disable reporting streams that will be made for obsolete by the proposed change in part 

43.
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extraction. Including validations and formatting conversions would add another 300 to 

400 hours, resulting in an estimated total of 500 to 725 hours per reporting entity.274

The Commission is proposing § 43.3(d) to address how data is reported to SDRs. 

Notwithstanding the anticipated incremental costs, the Commission preliminarily 

believes this change is warranted in light of the anticipated benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.3(d), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(38) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(39) Are there alternatives that would generate greater benefits and/or lower costs?

vi. § 43.3(f) – Data Validation Acceptance Message

The Commission is proposing § 43.3(f) to establish requirements for SDRs to 

validate real-time public data and send SEFs, DCMs, and reporting counterparties data 

validation acceptance or rejection messages.

The proposed validation requirements are designed to ensure collected 

information is accurate. The data validation process would require close communication 

 274 The lower estimate of $23,500 represents 500 working hours at the $47 rate. The higher estimate of 

$72,500 represent 725 working hours at the $100 rate.
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between the reporting entity and the SDR and would cover data reported pursuant to both 

parts 43 and 45. To date, the Commission has not required the use of validations by the 

SDR and therefore has not provided any guidance on either the content or format of the 

messages associated with these validations. 

While this change would require SDRs and reporting entities to update their 

systems, the Commission expects that, for the majority of swaps, validations would 

greatly increase the standardization of reporting requirements, so reporting entities could 

ensure that the updated systems would consistently pass the validation tests.

Baseline: SDRs are not required to validate data sent by reporting entities, a 

condition that exposes the public data tape to distortions through the inclusion of 

inaccurate or missing data. While there are no current requirements to validate data, we 

can observe activity that is related to market participants cancelling and correcting 

publicly disseminated trade information.275 Based on observing a non-trivial share of 

records linked to this cancel and correct action, along with conversations with SDRs 

regarding their experience with reporting errors, the Commission expects this proposed 

rule change to help ensure accurate data is reported for public dissemination. 

Benefits: The Commission expects that the proposed changes to § 43.3(f) will 

result in benefits through improved quality of data sent to the SDR and disseminated to 

the public. Improved quality of real-time data helps market participants in their trading 

 275 For example, based on a three week study in January 2020, CFTC staff found 11% of IRS records linked 

to a “Cancel” action type and 8% of records linked to a “Correct” action type. For CDS, staff found 7% and 

6% of records linked to a “Cancel” and “Correct” action type, respectively. These percentages are much 

larger for commodity swaps and also appear to have a higher share related to uncleared swaps.
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decisions. It also enables better market oversight by self-regulatory organizations. 

Finally, more accurate and complete data helps researchers learn about swaps markets, 

which in turn can inform future regulatory decisions.276

Furthermore, the Commission expects benefits to result from improved 

communication between SDRs and reporting entities due to this data validation 

requirement. Finally, since the Commission is also proposing similar data validation 

requirements for part 45 swap data, along with the currently proposed changes to part 49, 

the Commission expects reporting parties will benefit from having harmonized regulatory 

requirements. 

Costs: The Commission expects that the proposed rule change would create costs 

for SEFs, DCMs, and reporting counterparties, as well as SDRs, as they would be 

required to manage validation messages related to STAPD meant to be released for 

public consumption ASATP following execution. The Commission expects these costs to 

be limited to the initial development of automated systems to deal with acceptance or 

rejection messages. 

Costs may differ between SDRs and reporting parties. With respect to SDRs, the 

Commission expects the costs of this rule change to be higher for SDRs with a larger 

 276 The Commission is aware of at least two publicly-available studies that discuss problems with the 

current part 43 data The first study found that about 10% of CDS traded in their data set had missing or 

zero prices. Y.C. Loon, and Z. (Ken) Zhong, “Does Dodd-Frank affect OTC transaction costs and liquidity? 

Evidence from real-time trade reports,” Journal of Financial Economics (2016), available at

http://dx.doi.org/10.1016/j.jfineco.2016.01.01. The second study reported a number of fields that were 

routinely null or missing, making it difficult to analyze swap market volumes. See Financial Stability 

Report, Office of Financial Research (Dec. 15, 2015) at 84-85, available at

https://financialresearch.gov/financial-stability-reports/files/OFR_2015-Financial-Stability-Report_12-15-

2015.pdf.
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share of uncleared swaps. These swaps tend to be less standardized and therefore have a 

higher degree of reporting complexity. The Commission also expects costs to increase 

with the number of distinct reporting entities as the SDR will be required to set up lines 

of communication with each entity. For SEFs, DCMs, and reporting counterparties, the 

Commission expects costs to be higher for reporting parties not able or willing to build 

automated systems, as they would need to manually determine why a rejection message 

exists and then manually resubmit the corrected information. However, the Commission 

expects that these costs, for both the SDR and reporting entities, would be mitigated by 

the introduction of technical standards, as standardized reporting by all reporting entities

should reduce the frequency of errors in reporting.

The Commission is proposing § 43.3(f) to establish requirements for SDRs to 

validate real-time public data. Notwithstanding the anticipated incremental costs, the 

Commission preliminarily believes this change is warranted in light of the anticipated 

benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.3(f), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(40) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.
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(41) Are there alternatives that would generate greater benefits and/or lower costs?

(42) What would the costs be (both initial and on-going) for establishing and maintaining 

automated validation systems? What percentage of reporting entities would establish and 

maintain automated systems to manage validations? Please provide information on the 

basis for those estimates.

b. § 43.4 – Swap Transaction and Pricing Data to be Publicly Disseminated in Real-Time

i. § 43.4(f) – Process to Determine Appropriate Rounded Notional or Principal Amounts

The Commission is proposing to revise § 43.4(f) to amend the rules for rounding 

actual notional or principal amounts of a swap before disseminating such swap data.

Amended § 43.4(f)(8) would require SDRs to round such that the revealed amount is 

more precise. For example, trades with notional principal amount less than 100 billion 

but equal to or greater than one billion, we currently require rounding to nearest billion, 

and the new requirement is for rounding to the nearest 100 million. Similarly, amended § 

43.4(f)(9) would require SDRs to round to the nearest 10 billion (the current requirement 

is to the nearest 50 billion) notional for principal amounts greater than 100 billion before 

disseminating such swap data. 

The reason the Commission requires SDRs to disseminate rounded notional or 

principal amounts of swaps is to conceal the exact notional of swap transactions to 

preserve the anonymity of specific large trades. Such concealment may be beneficial, 

since disseminating the exact notional of a swap could allow the public to discern the 

identity of the parties. For example, a very specific notional amount may be attributable 
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to a specific counterparty, as may a very large trade, given that large trades are rare for 

most instruments.

Baseline: For both changes, the baseline is the current rule regarding appropriate 

rounding (e.g., to the nearest $1 billion if the swap is between $1 billion and $100 

billion). Under this baseline, notional amounts falling between $1 billion and $100 billion 

will be transformed into 100 different notional amounts. This reflects a rather imprecise 

grid of observed trade sizes. 

Benefits: The main benefit of the rule changes is a more precise depiction of 

actual trade amounts. Precision would improve price discovery, giving market 

participants a better picture of the relationship between pricing and size for large trades 

that have occurred.

Costs: The main cost of this rule change is a reduction in the degree of anonymity 

of specific trades, which may make it more likely that the public can identify the 

counterparties to specific swaps. The proposed rounding changes may also make it more 

difficult for traders to hedge positions they acquire in large trades, because the publicly 

disseminated data would more accurately reveal trade size.

The Commission is proposing § 43.4(f) to amend the rules for rounding actual 

notional or principal amounts of a swap. Notwithstanding the anticipated incremental 

costs, the Commission preliminarily believes this change is warranted in light of the 

anticipated benefits following from increased transparency and the minimal increase in 

cost to market participant.

Request for Comment:
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The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.4(f), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(43) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(44) Are there alternatives that would generate greater benefits and/or lower costs?

(45) Would benefits be greater or costs reduced if the ranges covered by rounding and 

the round-off amounts were currency-specific (i.e., different for different currencies) 

and/or commodity-specific? If so, please explain and provide supporting data or other 

information.

(46) What are the costs and benefits to alternative mechanisms to choose the currencyspecific rounding amounts? For example, should all amounts be in USD equivalents, and 

then apply the same rounding as USD?

ii. § 43.4(g) – Process to Determine Cap Sizes

The Commission is proposing to amend § 43.4(g) to change the process for 

determining cap sizes. Proposed § 43.4(g)(2) would link the cap determination to a subset 

of newly defined swap categories in proposed § 43.6 and establish the use of the 75-

percent calculation described in proposed § 43.6(c)(2). Proposed §§ 43.4(g)(3)-(8) would 

define new cap sizes for any swap not falling into a swap category defined in proposed § 
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43.4(g)(2). Proposed §§ 43.4(g)(9)-(10) would focus on how the Commission would 

publish any cap size revision and determine when it becomes effective.

Cap sizes effectively results in a permanent truncation of notional values released 

to the public and are meant to apply to the largest trades within a defined swap category. 

This truncation necessarily results in a less transparent market, but is meant to protect 

sensitive information and mitigate the potential negative impact of real-time public 

reporting on market liquidity.277 The adjustment to how cap sizes are determined is 

paired in this rule with changes to the methodology of determining block sizes. Both

block and cap rules lead to certain information about swap activity being held back from 

public dissemination. In the case of caps, information on the actual notional size of an 

extremely large trade is permanently replaced with the cap value in the public tape. In the 

case of blocks, information on the terms of a large swap is temporarily delayed from 

dissemination.278

Due to their permanence, caps could have a more significant effect on information 

dissemination compared to blocks, which allow for only a delay in reporting. Current § 

43.4(h) defines current cap sizes by asset class and delineates them in USD notional 

amounts. For example, there currently are three fixed cap sizes for IRSs in § 43.4(h)(1)(i) 

based on tenor: caps of 250 million USD for swaps with a tenor of zero to two years; 100 

million USD for swaps with a tenor of two to ten years; and 75 million USD for swaps 

with a tenor greater than ten years. The remaining asset classes currently have a single 

 277 See Procedures to Establish Appropriate Minimum Block Sizes for Large Notional Off-Facility Swaps 

and Block Trades, 78 FR 32866, 32907.

278 Of course, in the case when a swap satisfies both the cap and the block threshold, both are true.
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fixed cap size: 100 million USD for CDSs; 250 million USD for equity swaps and 

foreign exchange; and 25 million USD for other commodity swaps.279

As discussed, the Commission is proposing new swap categories and the use of a 

higher percentage to calculate AMBSs.280 The proposed process to determine cap sizes 

would use the proposed new swap categories and a similar method as is currently used to 

define AMBSs, but with a 75-percent notional amount calculation instead of a 67-percent 

notional amount calculation. Therefore, the proposed rule change better aligns the block 

and cap determination since they would now be based on the same set of underlying 

trades. However, use of the 75-percent notional amount calculation method instead of the 

67-percent notional amount calculation method would ensure caps would always be a 

smaller subset of trades.

The Commission reviewed the current cap sizes and found significant differences 

in the percentage of trades that are eligible for cap treatment, both within and across the 

main asset classes. This reflects the fact that within asset classes, the vast majority of 

swaps have the same cap size across all trade tenor groups.

Determining the effect of the change in cap determination methodology requires 

some assumptions. For example, an assumption that the determination change does not 

affect the distribution of trade sizes is critical to quantifying that effect. Under the 

assumption that the distribution of trade sizes is invariant to defined limits, the 

 279 See §§ 43.5(h)(1)(ii)-(v). 280 See the discussion about proposed changes to § 43.6 below in section V.B.4. for a more complete 

discussion along with the cost/benefit consideration of new swap categories.
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Commission calculated some rough estimates of the effect of the limit changes, based on 

trading from late 2019.281

Overall, the Commission finds the effect to be a modest decrease in the number of 

trades eligible for cap treatment. Nearly 90% of trades were smaller than minimum cap 

size under the old methodology, and will remain so under the new methodology. 

Commission staff found approximately 2% of trades were larger than minimum cap size 

under the old methodology, and would be larger than minimum cap (and hence minimum 

block) size under the new methodology. Roughly 7% are cap eligible under the current 

methodology, but will no longer be under the new methodology. A little more than 1% of 

trades were large than minimum cap size under the old methodology, and will be larger 

than minimum block (but not cap) size under the new methodology.

The Commission expects somewhat larger effects in the index CDS class. For 

example, for CDS indices based on investment grade indexes, 22% of trades are eligible 

for cap treatment under the current methodology, while under the new cap determination 

methodology this would be reduced to 3% of trades. 

Baseline: Current practice, based on the initial cap sizes defined in § 43.4(h)(1), 

forms the baseline for this cost and benefits discussion.282 As discussed above, the 

current cap size regime is over-inclusive, diminishing market transparency.

 281 A sample of 20 weeks was selected from 8/2/2019 to 12/27/2019 for CDS and IRS markets. This is 

based on information collected to create the CFTC’s Weekly Swaps Report. While the information is based 

on part 45 data, the vast majority of the trades selected are reportable swaps under part 43. 

282 Since the Commission has not to date established post-initial cap sizes pursuant to §§ 43.4(h)(2) and 

43.6(f)(1), it is using the initial cap sizes as the baseline.
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Benefits: The Commission expects a number of benefits to arise from the 

proposed rule change given the improved alignment with the AMBS and the movement 

toward a cap size that is based on market activity. Similar to the benefits noted in the 

block level discussion below, the movement toward better defined swap categories would 

ensure cap sizes are determined from a set of similar swaps. Proposed changes to the cap 

size method would better reflect the underlying market and are expected to benefit 

market transparency, as there would exist a clear separation between the block and cap 

size. This is most apparent in the interest rate asset class. The proposed rule change 

would ensure that cap eligibility would be reserved for only the trades with the largest 

notional amounts. 

Costs: The Commission expects that the proposed rule change would impose 

costs on SDRs, as they would be required to adjust their systems to determine when 

trades within each new swap category would meet the requirements for cap treatment.

The Commission expects such costs to be minimal given the SDRs already have systems 

established to identify when swaps are eligible for block and/or cap treatment.

Both the costs and benefits of increasing or decreasing cap sizes result from the 

increased or decreased, respectively, anonymity they afford. To the extent that the revised 

cap sizes reduce anonymity for an asset class, those effects are mitigated by delays in 

reporting. Of particular relevance is that all trades with capped notional would be block 

eligible. Hence, the time delay in § 43.5 would reduce both the positive and negative 

effects of the changes in anonymity associated with changes in cap sizes.
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The Commission is proposing § 43.4(g) to change the process for determining cap 

sizes. Notwithstanding the anticipated incremental costs, the Commission preliminarily 

believes this change is warranted in light of the anticipated benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.4(g), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(47) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(48) Are there alternatives that would generate greater benefits and/or lower costs?

(49) Would benefits be greater or costs reduced if the 75-percent notional amount 

calculation method was replaced with an alternative method to identifying the cap 

threshold? Should there be a different method applied to caps and blocks since they are 

designed to accomplish different objectives? If so, please explain and provide supporting 

data or other information.

(50) For the other commodity swap category (for which swaps are often measured in 

physical units), swaps have a block size equal to zero, and there is a fixed cap size 

denominated in USD notional. For such swaps, what are the costs to SDRs to convert the 

notional amount into USD to determine whether the trade meets the cap threshold?

c. § 43.5 – Time Delays for Public Dissemination of Swap Transaction and Pricing Data
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The Commission is proposing § 43.5(c) to increase the delay for the public 

dissemination of block trades to 48 hours for all block transactions. This time delay 

would be a significant change from the current rules, which set the length of the delay 

based on transaction and counterparty characteristics.283 For example, one part of the 

current rule defines the length of delay conditional on whether the swap is executed on a 

SEF. Another conditions the length of delay on whether the swap is subject to the 

mandatory clearing requirement. Finally, the current rule allows for additional time if 

neither counterparty is a SD/MSP.

Baseline: Under the current § 43.5, multiple time delays are in effect. As

discussed in section II.E. above, these time delays range from 15 minutes for block trades 

executed on a SEF to 24 business hours for LNOFs swaps not subject to mandatory 

clearing and where both sides of the trade are not SDs/MSPs.

Benefits: The Commission anticipates the primary effect of proposed § 43.5(c) 

would be to provide additional time to intermediaries to hedge the exposure resulting 

from accommodating large trades. One benefit of the additional hedging time provided to 

intermediaries is the potential for lower price volatility than if the trade information were 

released in real time.284 The lower hedging costs may benefit end-users wishing to make 

large trades, to the extent reduced hedging costs are passed to them. To the extent that 

price volatility unrelated to the fundamental supply and demand of the instrument is 

 283 See 17 CFR 43.5. 284 There is substantial literature (see, e.g., Hendrik Bessembinder and Kumar Vankatarman (2010) “BidAsk Spread” Encyclopedia of Quantitative Finance for a discussion) on the temporary impact of large 

traders. The time delay could allow the intermediary to “spread out the trade” to avoid price volatility 

induced by such large trades.
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mitigated, price discovery might be enhanced by a delay. On the other hand, if a trade is 

fundamentally informative, a delay in publication would allow some participants to trade 

at off-market prices during the period of the delay, which is a potential cost to the change. 

Costs: Proposed § 43.5(c) would extend the delay for reporting swap transactions 

with notional amounts above the minimum block size. Therefore, the Commission 

anticipates costs associated with a reduction in the market transparency for a specific set 

of swaps. The Commission expects that these costs would be reduced by the additional 

rule changes to the swap categories and AMBSs. For example, the Commission expects 

fewer trades to get block status as a result of proposed rule changes in § 43.8, leading to 

improved transparency for trades between the old and new threshold sizes. This 

mitigation is discussed at length in the preamble.

The Commission is proposing § 43.5(c) to increase the delay for public 

dissemination of block trade information. Notwithstanding the anticipated incremental 

costs, the Commission preliminarily believes this change is warranted in light of the 

anticipated benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.5(c), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.
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(51) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(52) Are there alternatives that would generate greater benefits and/or lower costs?

(53) Should the Commission expect the distribution of costs and/or benefits to 

significantly vary across swap categories? If so, please provide specific examples and a 

discussion of the differences.

(54) What is the hedging cost savings from delaying the revelation of large trades? 

Could similar savings be realized in any swap category if the delay was less than 48 

hours?

(55) What factors make it more or less likely that intermediaries will pass hedging cost 

savings resulting from delaying the revelation of large trades to their clients?

(56) What costs (e.g., reduced liquidity, bad pricing, wide spreads) are being incurred 

under the status quo regime? Please provide detailed information regarding the basis of 

those estimates.

d. § 43.6 – Block Trades

The Commission is proposing a number of revisions to § 43.6. The most 

economically significant revisions of these relate to block trades; revising the set of swap 

categories in § 43.6(b) and amending to the process for determining the AMBS in § 

43.6(e). The remaining changes proposed in § 43.6 are not substantive and are clarifying 
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changes, so the Commission has not described the costs and benefits of such proposed 

changes.285

In general, changes in minimum block sizes, cap sizes, and reporting delays have 

broadly similar effects. Lower minimum block and cap sizes and longer reporting delays 

reduce transparency, and may increase liquidity.286 In this sense, the costs and benefits of 

the changes described below would depend on the direction of the change (e.g., a higher 

minimum block would increase transparency and may reduce liquidity).

As detailed below, the revisions would lead to changes that would result in 

assigned block sizes that better reflect trading patterns in individual swap categories. 

Specifically, the categories of swaps used in the minimum block size determination have 

been revised to better ensure that each category is more homogenous in terms of typical 

trade sizes. For example, under the current rule, rate swaps are placed into three groups 

based on currency (super-major, major, and non-major), and each group is divided into 

nine subgroups based on tenor (with the shortest tenor bucket representing swaps of less 

than 46 days and the longest tenor bucket representing swaps of greater than 30 years). 

The proposed rule, in contrast, would define 15 currency-specific groups, each 

with the same nine tenor subgroups. This more granular bucketing allows for more 

targeted block levels; for instance, this allows block levels for the most active USD IRS 

 285 For example, § 43.6(c) discusses the proposed method for determining the AMBS, but the only change 

from the current rule text is related to the new definition for a “trimmed data set.” The Commission does 

not believe that this change warrants a discussion of the costs and benefits.

286 For example, trading a block allows for a temporary suspension of information made publicly available. 

This can prevent traders from “front-running” a swap dealer attempt to hedge a large exposure it acquired 

by trading with a customer. By lowering the SD’s cost of hedging, the delay in reporting can result in 

greater SD willingness to offer liquidity to customers.
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products to differ from levels for the still active, but slightly less common JPY or GBP 

IRS products, where trade sizes are lower. All currencies not within the list of 15 would 

have a block size of zero – essentially allowing this small subset of IRS to receive full 

block treatment.287

For CDSs, the new swap categories would no longer be based on observed 

spreads with multiple tenor groups, but would be based on well-defined products (e.g., 

CDXIG, CMBX, iTraxx) for a single tenor range between four to six years (designed to 

pick up the most actively traded five year on-the-run CDS product). All other CDS 

products which do not fall into these defined product groups, or defined product tenor, 

would have a new block size of zero. 

Swap categories in the FX asset class would include a list of 22 currencies 

exchanged for USD along with the set of 180 swap categories comprised of each unique 

combination of exchanges of these 22 currencies.288 This represents a significant 

difference from the current set of 84 swap categories comprised of 22 currencies 

exchanged for one of the super-major currencies (EUR, GBP, JPY, or USD).289 Finally, 

there is a significant change to swap categories related to “Other Commodity” as the new 

proposed categories represent the underlying commodity instead of references to specific 

futures contracts and exchanges. 

 287 The background to the proposal to set the block size of certain subsets of swaps in the IRS, CDS, foreign 

exchange, and other commodity asset classes is discussed in sections II.F.1.a, b, d. and e, respectively, 

above.

288 In this last set, the AMBS is based on the AMBS of the associated currencies exchanged for the USD.

289 While there are 84 current swap categories for FX, 40 of these have a block size of zero. 
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Revised § 43.6(e) contains amendments to the process for determining the AMBS 

for each new swap category defined in § 43.6(c). For each swap category, the 67-percent 

notional amount calculation based on one year of transactions would be performed for a 

subset of swap categories. The minimum size for a subset of swaps in the FX asset class 

that have no reference to USD would be based on a method to identify the AMBS based 

on two swap categories, with each side paired with USD. Finally, a subset of swap 

categories would have a block size of zero. 

The swap category changes combined with the new 67-percent notional amount

calculation would significantly change the number of trades eligible for block status; we 

discuss the costs and benefits to these changes below. The Commission reviewed the 

current block sizes and found significant differences in the percentage of trades that are 

eligible for block treatment, both within and across the main asset classes. This reflects 

the fact that within asset classes, the vast majority of swaps have the same block size 

across all trade tenor groups.

One further implication of the proposed amendments to the process for 

determining the AMBS in § 43.6(e) relates to trading rules for made available for trading 

(“MAT”) instruments. The Commission requires that instruments that have been MAT be 

traded on SEFs or DCMs using specific trading protocols (i.e., order book or request for 

quote), unless the trade is greater than the AMBS for such instruments.290 Hence, changes 

in the AMBS impact whether individual trades must be executed on SEFs or DCMs, or 

 290 There are some exceptions to the mandatory trading on SEFs for MAT instruments, such as trades that 

involve non-U.S. persons. 
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whether they can be executed bilaterally.291 The Commission considered the costs and 

benefits of requiring mandatory DCM/SEF trading for certain instruments in the 2018 

SEF NPRM, and adopts and incorporates that previous consideration in this release by 

reference.292 Here, the Commission simply notes that changes in the AMBS may affect 

whether certain swaps have to be executed on a SEF or DCM, as noted above. 

The proposed amendments to § 43.6(e) would result in a block size of zero for 

many of the swaps not in the most liquid swap categories. This would result in 100% of 

many types of swaps (e.g., off-the-run CDSs and certain major and non-major currencies 

in the IRS and FX asset classes) being eligible for block treatment. 

Baseline: The baseline for proposed § 43.6(e) is the current text §§ 43.6(e) and (f) 

and the current process for determining if a trade is eligible for block treatment. As 

discussed in section II.F.2, the Commission has not established post-initial AMBSs. As a 

result, the baseline is the AMBSs for current swap categories calculated using the 50-

percent notional amount calculation method according to current § 43.6(e). The 

Commission believes that too many swaps are currently receiving block treatment and the 

swap categories can be improved.

Benefits: The motivation for special rules for “large” trades is that large trades 

often require intermediaries to take large positions (at least temporarily). Importantly, the 

costs to the intermediaries to subsequently hedge the trade are reduced by allowing the 

 291 The definition of “block trade” is discussed above in section II.B.2.

292 See 83 FR 61946, 62140 Swap Execution Facilities and Trade Execution Requirement. As noted there, 

the benefits of requiring SEF trading include greater transparency and enhanced oversight. The costs 

include reduced flexibility for traders.
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intermediaries some period to hedge, prior to the initial trade becoming public 

knowledge. A trade is large in this sense when it is substantial relative to typical trade 

size and daily volume in that instrument. For this reason, policy toward block size 

determination should take an instrument’s market characteristics into account. 

The Commission expects that the change in swap categories would define block 

sizes with respect to categories that are more granular than the current swap categories, 

which would then better reflect current trading patterns for each type of swap. For 

example, USD IRSs currently represent most of the actual trades in the IRS Super-Major 

category, so that the current AMBS for JPY IRS swaps (also in the Super-Major 

category) is based largely on USD trades. The new rules would allow for an AMBS that 

better reflects the size distribution of JPY rate swaps, and in this case would allow for a 

smaller block threshold for these swaps relative to the more active USD category. The 

move from spread-based to product-based swap categories for CDSs is expected to 

achieve something similar, in that the liquidity (and thus trade distribution) is often much 

more homogenous within a product group rather than within a spread category. This 

change would also provide the additional benefit of foreclosing the possibility that an 

individual product may not change block thresholds as market spreads adjust over time.

The Commission expects that the proposed 67-percent notional amount

calculations would enhance transparency in the market by decreasing the number of 

trades eligible for block treatment and therefore result in delayed reporting. The increased 

percentile (from 50 to 67) would result in a smaller set of swaps eligible for block 

treatment and therefore would increase real-time market reporting, leading to increased 
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accuracy in the real-time tape. However, because the average size of block trades would 

generally increase under the proposed rules, the Commission proposes to pair this change 

with an extension to the reporting delay (in some cases from 15 minutes to 48 hours). The 

Commission believes this longer delay is more appropriate given the larger notional size; 

because the primary reason for the delay is to ensure that the dealing counterparty is able 

to hedge out the risk taken in the trade, a larger average trade size would imply a greater 

needed time for trade hedging.

Costs: The Commission anticipates costs associated with this rule change as 

market participants respond to the new swap categories and increased percentile 

calculation. For example, focusing on USD interest rate swaps, the proposed rule change 

would, by increasing the block threshold, decrease the set of swaps eligible for block 

status. If end-users continue to trade swaps within this notional range, dealers may find it 

more difficult to hedge their exposure because ASATP reporting would be required. If 

dealers face increased difficulties to hedge client demands, then the dealers will increase 

the costs to the clients or, potentially, stop trading in this notional range which can 

contribute to a decrease in liquidity. As discussed above, this in turn may increase price 

volatility, and potentially increase the bid-ask spread facing end-users.

The Commission expects these costs to vary by asset class and the activity level 

of the reporting entity, though the more granular bucketing of block categories is aimed 

to ensure that cost variations across asset classes are mitigated. Costs may also differ by 

reporting entity depending on the type of cost. For instance, the Commission expects SDs

and end-users specializing in a single swap category to face smaller operational costs
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relative to dealers who operate across multiple swap categories, given they would only 

have to adjust their operational systems (where necessary) for specific swap categories. 

However, if transaction/hedging costs are affected by the changes in the block threshold, 

hedging may be easier (and thus costs lower) for dealers active in a number of markets, 

who therefore have a wider set of potential hedging instruments. Finally, depending on 

how trade prices are determined, the costs attributed to the dealer above may actually be 

passed on to the end-user/client in the form of increased spreads.

The Commission is proposing § 43.6(e) to adjust the process for determining the 

AMBS. Notwithstanding the anticipated incremental costs, the Commission preliminarily 

believes this change is warranted in light of the anticipated benefits.

Request for Comment:

The Commission requests comment on its consideration of the costs and benefits 

of proposed § 43.6(e), including regarding issues and questions specifically identified 

below. Please provide data, statistics, or other supporting information for positions 

asserted.

(57) Are there additional costs or benefits that the Commission should consider? If so, 

please identify and, where quantifiable, provide data or other information to assist the 

Commission in quantifying them.

(58) Are there alternatives that would generate greater benefits and/or lower costs?

(59) What is the increased cost due to earlier revelation of trades that will no longer be 

subject to block treatment?
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(60) From an economic perspective, are there additional swap categories that should be 

considered that would significantly change the cost and benefits?

(61) Would benefits increase or costs decrease if the sample used to calculate AMBS 

excluded some parts of the year that might have uncharacteristic trading patterns (e.g., if 

the sample of CDS trades excluded dates when CDS indexes roll (which happens twice a 

year for the major indexes))? Are there any similar events for other asset classes? Please 

provide detailed information regarding the estimated impact on resulting benefits and 

costs. 

(62) Would benefits increase or costs decrease if the Commission adopted a flexible 

method to evaluate AMBS and adjust accordingly to reflect changes in trading patterns?

Please provide information regarding the basis of those estimates.

3. Section 15(a) Factors

Section 15(a) of the CEA requires the Commission to consider the costs and 

benefits of the proposed amendments to part 43 with respect to the following factors: 

protection of market participants and the public; efficiency, competitiveness, and 

financial integrity of markets; price discovery; sound risk management practices; and 

other public interest considerations. 

As discussed above, the proposed amendments to part 43 include changes that 

reflect what the Commission has learned about the technical aspects of reporting, as well 

as changes that permit longer delays or more opacity in reporting under some 

circumstances. The Commission expects that this, along with the data validation 

requirements in proposed § 43.3(f), would increase the reliability of part 43 data.
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A discussion of these proposed amendments in light of section 15(a) factors 

reflecting all of the proposed changes is set out immediately below.

a. Protection of Market Participants and the Public

The Commission preliminarily believes that reporting requirements designed to 

enhance transparency empower market participants by informing them, in real-time,

about the price of a broad set of swap products. This real-time information helps protect 

these participants from transacting at prices significantly different than the prevailing 

market. In addition, the Commission preliminarily believes that enhanced transparency 

allows for better monitoring of the quantity, and size, of market transactions leading to 

improved protection of market participants and the public. As discussed above, some of 

the changes increase transparency, such as general increases in block sizes and 

improvements in reported data, while other changes reduce transparency, such as delayed

block reporting. However, the changes proposed herein which potentially reduce 

transparency may reduce hedging costs for large trades, protecting those participants who 

tend to execute uniquely large swaps.

b. Efficiency, Competitiveness, and Financial Integrity of Markets

Real-time reporting of transactions affects the efficiency of markets by quickly 

providing new information to all market participants in a standardized manner. This realtime information, which is publicly accessible, allows prices to rapidly and efficiently 

adjust to the prevailing trading conditions. To the extent that these proposed rules reduce 

the cost of information gathering and processing, market efficiency should be improved. 

Increasing the threshold size of block trades may have an ambiguous effect on market 
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efficiency. It may improve market efficiency by countering potential front-running may 

lead to larger bid/ask spreads. However, it may harm market efficiency in that market 

participants will learn about some trades later because of this proposed rule. In the 

aggregate, the Commission preliminarily believes the proposed rule will weigh in favor 

of market efficiency.

Improvements to real-time reporting may also enhance competition as parties may 

learn about the prices and venues where potential counterparties are executing their 

transactions. As such, swaps markets may become more competitive since parties will 

have access to the prices that most participants are transacting at and will be able to use 

this information during their negotiations.

The rule changes, through their effects on transparency, can affect the financial 

integrity of markets because market participants can verify that they are transacting at or 

near prevailing market prices. In addition to transparency, the proposed changes to part 

43 might affect financial integrity in other ways. In particular, the Commission 

preliminarily believes that more accurate STAPD would lead to greater understanding of 

liquidity and market depth for market participants executing swap transactions. 

Amendments that result in improved part 43 STAPD being made available to the public 

would expand the ability of market participants to monitor real-time activity by other 

participants and to respond appropriately.

c. Price Discovery

Section 2(a)(13) of the CEA requires that STAPD be made publicly available. 

The CEA and the Commission’s existing regulations in part 43 implementing CEA 
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section 2(a)(13) also require STAPD to be made available to the public in real-time. As 

with the swap data reported for use by regulators pursuant to section 4r of the CEA and 

the Commission’s part 45 regulations implementing CEA section 4r, the Commission 

believes that inaccurate and incomplete STAPD hinders the use of the STAPD, which 

harms transparency and price discovery. At least two publicly available studies discuss 

past problems with the current part 43 data. The Commission preliminarily expects that 

market participants would be better able to analyze STAPD as a result of the proposed 

amendments, because the proposed amendments would make STAPD more accurate and 

complete. The Commission expects price discovery to be improved with proposed 

changes to clearing swaps and avoiding duplicative reporting of mirror swaps.

On the other hand, some aspects of the proposed rules may dampen price 

discovery relative to the status quo baseline. Specifically, if proposed § 43.4(a)(4) 

encouraged more PPSs, then the proposal may also reduce price discovery because fewer 

trades would have prices that are known at the time of execution.293 Further, longer block 

trade real-time reporting delays pursuant to proposed § 43.5(c) could harm price 

discovery because the public would lengthen the time before which block trade prices are 

publicly available than is currently the case; this would be counter-balanced by the fact 

that longer delays could promote the execution of swaps that counterparties otherwise 

would not execute under the current shorter real-time reporting delays.

 293 On the other hand, as noted above, removing mirror swaps from the public data could remove 

redundancy thereby promoting the accuracy of the data.
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The Commission does not know exactly how market participants will adapt and 

evolve due to the proposed rule changes. However, the Commission preliminarily 

believes that the proposed rule will improve price discovery in aggregate.

d. Sound Risk Management Practices

The Commission preliminarily expects that allowing reporting parties a greater 

ability to delay reporting would, in some circumstances, enable more effective hedging. 

In particular, SDs may have greater ability to manage the risk they take on when 

accommodating customer trades. This in turn may allow such customers access to better 

terms for hedging their risk, especially if they want to hedge a large amount of risk.

e. Other Public Interest Considerations

More accurate part 43 data would be helpful to researchers who might use it to

improve the public’s understanding of how swap markets function with respect to market 

participants, other financial markets, and the overall economy. Further, better and more 

accurate data would likely improve the Commission’s regulatory oversight and 

enforcement capabilities. The Commission requests comment on all aspects of the 

analysis of these five factors. In addition, the Commission requests specific comment on 

the following:

(63) Are there other effects on these five factors that are likely to result from the 

proposed rule changes? Please provide quantification if possible, along with information 

regarding the basis of that quantification. 

D. Antitrust Considerations
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Section 15(b) of the CEA requires the Commission to take into consideration the 

public interest to be protected by the antitrust laws and endeavor to take the least 

anticompetitive means of achieving the objectives of the CEA, in issuing any order or 

adopting any Commission rule or regulation.

The Commission does not anticipate that the proposed amendments to part 43 

would result in anti-competitive behavior. However, the Commission encourages 

comments from the public on any aspect of the proposal that may have the potential to be 

inconsistent with the anti-trust laws or anti-competitive in nature.

VI. Text of Proposed Rules

List of Subjects

17 CFR Part 43

Real-time public swap reporting

For the reasons stated in the preamble, the Commodity Futures Trading

Commission proposes to amend 17 CFR part 43 as set forth below:

PART 43 – REAL-TIME PUBLIC REPORTING

Authority and Issuance

1. The authority citation for part 43 continues to read as follows:

Authority: 7 U.S.C. 2(a), 12a(5), and 24a, as amended by the Dodd-Frank Wall Street 

Reform and Consumer Protection Act, Pub. L. 111–203, 124 Stat. 1376 (Jul. 21, 2010), 

unless otherwise noted.
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2. Amend § 43.1 by removing paragraphs (b) and (d), redesignating paragraph (c) as (b),

and revising paragraph (b) to read as follows:

§ 43.1 Purpose, scope, and rules of construction.

* * * * *

(b) Rules of construction. The examples in this part are not exclusive. Compliance 

with a particular example or application of a sample clause, to the extent applicable, shall 

constitute compliance with the particular portion of the rule to which the example relates.

3. Revise § 43.2 to read as follows:

§ 43.2 Definitions.

(a) As used in this part:

Appropriate minimum block size means the minimum notional or principal 

amount for a category of swaps that qualifies a swap within such category as a block 

trade.

As soon as technologically practicable means as soon as possible, taking into 

consideration the prevalence, implementation, and use of technology by comparable 

market participants.

Asset class means a broad category of commodities including, without limitation, 

any “excluded commodity” as defined in section 1a(19) of the Act, with common 

characteristics underlying a swap. The asset classes include interest rate, foreign 

exchange, credit, equity, other commodity, and such other asset classes as may be 

determined by the Commission.
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Block trade means:

(1) With respect to an off-facility swap, a publicly reportable swap that has a 

notional or principal amount at or above the appropriate minimum block size 

applicable to such swap; and 

(2) With respect to a swap that is not an off-facility swap, a publicly reportable 

swap that:

(a) Involves a swap that is listed on a swap execution facility or 

designated contract market;

(b) Is executed on the trading system or platform, that is not an order 

book as defined in § 37.3(a)(3), of a swap execution facility or occurs 

away from a swap execution facility’s or designated contract market’s 

trading system or platform and is executed pursuant to the swap execution 

facility’s or designated contract market’s rules and procedures;

(c) Has a notional or principal amount at or above the appropriate 

minimum block size applicable to such swap; and

(d) Is reported subject to the rules and procedures of the swap execution 

facility or designated contract market and the rules described in this part, 

including the appropriate time delay requirements set forth in § 43.5.

Cap size means, for each swap category, the maximum notional or principal 

amount of a publicly reportable swap transaction that is publicly disseminated.
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Economically related means a direct or indirect reference to the same commodity 

at the same delivery location or locations, or with the same or a substantially similar cash 

market price series.

Embedded option means any right, but not an obligation, provided to one party of 

a swap by the other party to the swap that provides the party holding the option with the 

ability to change any one or more of the economic terms of the swap. 

Execution means an agreement by the parties, by any method, to the terms of a 

swap that legally binds the parties to such swap terms under applicable law.

Execution date means the date, determined by reference to eastern time, on which 

swap execution has occurred.

Mirror swap means a swap: (1) to which a prime broker is a counterparty or both 

counterparties are prime brokers; (2) that is executed contemporaneously with a 

corresponding trigger swap; (3) that has identical terms and pricing as the 

contemporaneously executed trigger swap (except that a mirror swap, but not the 

corresponding trigger swap, may include any associated prime brokerage service fees 

agreed to by the parties and except as provided in the final sentence of this “mirror swap” 

definition); (4) with respect to which the sole price forming event is the occurrence of the 

contemporaneously executed trigger swap; and (5) the execution of which is contingent 

on, or is triggered by, the execution of the contemporaneously executed trigger swap. The 

notional amount of a mirror swap may differ from the notional amount of the 

corresponding trigger swap, including, but not limited to, in the case of a mirror swap that

is part of a partial reverse give-up; provided, however, that in such cases, (i) the aggregate 
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notional amount of all such mirror swaps to which the prime broker that is a counterparty 

to the trigger swap is also a counterparty shall be equal to the notional amount of the 

corresponding trigger swap and (ii) the market risk and contractual cash flows of all such 

mirror swaps to which a prime broker that is not a counterparty to the corresponding 

trigger swap is a party will offset each other (and the aggregate notional amount of all 

such mirror swaps on one side of the market and with cash flows in one direction shall be 

equal to the aggregate notional amount of all such mirror swaps on the other side of the 

market and with cash flows in the opposite direction), resulting in such prime broker 

having a flat market risk position.

Novation means the process by which a party to a swap legally transfers all or part

of its rights, liabilities, duties, and obligations under the swap to a new legal party other

than the counterparty to the swap under applicable law.

Off-facility swap means any swap transaction that is not executed on or pursuant 

to the rules of a swap execution facility or designated contract market.

Other commodity means any commodity that is not categorized in the interest 

rate, credit, foreign exchange, equity, or other asset classes as may be determined by the 

Commission.

Physical commodity swap means a swap in the other commodity asset class that is 

based on a tangible commodity.

Post-priced swap means an off-facility swap for which the price has not been 

determined at the time of execution.
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Pricing event means the completion of the negotiation of the material economic 

terms and pricing of a trigger swap.

Prime broker means, with respect to a mirror swap and its related trigger swap, a 

swap dealer acting in the capacity of a prime broker with respect to such swaps.

Prime brokerage agency arrangement means an arrangement pursuant to which a 

prime broker authorizes one of its clients, acting as agent for such prime broker, to cause 

the execution of a trigger swap.

Prime brokerage agent means a client of a prime broker who causes the execution 

of a trigger swap acting pursuant to a prime brokerage agency arrangement.

Public dissemination and publicly disseminate means to make freely available and 

readily accessible to the public swap transaction and pricing data in a non-discriminatory 

manner, through the internet or other electronic data feed that is widely published. Such 

public dissemination shall be made in a consistent, usable, and machine-readable 

electronic format that allows the data to be downloaded, saved, and analyzed.

Publicly reportable swap transaction means:

(1) Unless otherwise provided in this part—

(i) Any executed swap that is an arm’s-length transaction between two parties that 

results in a corresponding change in the market risk position between the two parties; or

(ii) Any termination, assignment, novation, exchange, transfer, amendment, 

conveyance, or extinguishing of rights or obligations of a swap that changes the pricing 

of the swap.
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(2) Examples of executed swaps that do not fall within the definition of publicly 

reportable swap may include:

(i) Internal swaps between one-hundred percent owned subsidiaries of the same 

parent entity; and

(ii) Portfolio compression exercises.

(3) These examples represent swaps that are not at arm’s length and thus are not 

publicly reportable swap transactions, notwithstanding that they do result in a 

corresponding change in the market risk position between two parties.

Reference price means a floating price series (including derivatives contract 

prices and cash market prices or price indices) used by the parties to a swap or swaption 

to determine payments made, exchanged, or accrued under the terms of a swap contract.

Reporting counterparty means the party to a swap with the duty to report a 

publicly reportable swap transaction in accordance with this part and section 2(a)(13)(F) 

of the Act.

Swap execution facility means a trading system or platform that is a swap

execution facility as defined in CEA section 1a(50) and in § 1.3 of this chapter and that is

registered with the Commission pursuant to CEA section 5h and § 37 of this chapter.

Swap transaction and pricing data means all data elements for a swap in 

appendix C to this part required to be reported or publicly disseminated pursuant to this 

part.

Swaps with composite reference prices means swaps based on reference prices 

that are composed of more than one reference price from more than one swap category.
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Trigger swap means a swap: (1) that is executed pursuant to one or more prime 

brokerage agency arrangements; (2) to which a prime broker is a counterparty or both 

counterparties are prime brokers; (3) that serves as the contingency for, or triggers, the 

execution of one or more corresponding mirror swaps; and (4) that is a publicly 

reportable swap transaction that is required to be reported to a swap data repository

pursuant to this part and part 45 of this chapter.

Trimmed data set means a data set that has had extraordinarily large notional 

transactions removed by transforming the data into a logarithm with a base of 10, 

computing the mean, and excluding transactions that are beyond two standard deviations 

above the mean for the other commodity asset class and three standard deviations above 

the mean for all other asset classes.

(b) Other defined terms. Terms not defined in this part have the meanings 

assigned to the terms in § 1.3 of this chapter.

4. Amend § 43.3 by removing paragraph (h), redesignating paragraph (i) as paragraph 

(g), and revising paragraphs (a)-(d), (f), and (g) to read as follows:

§ 43.3 Method and timing for real-time public reporting.

(a) Responsibilities of parties to a swap to report swap transaction and pricing 

data in real-time—

(1) In general. A reporting counterparty, swap execution facility, or designated 

contract market, as determined by this section, shall report any publicly reportable swap 

transaction to a swap data repository as soon as technologically practicable after 
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execution, subject to paragraphs (a)(2)-(6) of this section. Such reporting shall be done in 

the manner set forth in paragraph (d) of this section.

(2) Swaps executed on or pursuant to the rules of a swap execution facility or 

designated contract market. For each swap executed on or pursuant to the rules of a swap 

execution facility or designated contract market, the swap execution facility or designated 

contract market shall report swap transaction and pricing data to a swap data repository as 

soon as technologically practicable after execution.

(3) Off-facility swaps. Except as otherwise provided in paragraphs (a)(4)-(6) of 

this section, a reporting counterparty shall report all publicly reportable swap transactions 

that are off-facility swaps to a swap data repository for the appropriate asset class in 

accordance with the rules set forth in this part as soon as technologically practicable after 

execution. Unless otherwise agreed to by the parties prior to execution, the following 

shall be the reporting counterparty for a publicly reportable swap transaction that is an 

off-facility swap:

(i) If only one party is a swap dealer or major swap participant, then the swap 

dealer or major swap participant shall be the reporting counterparty;

(ii) If one party is a swap dealer and the other party is a major swap participant, 

then the swap dealer shall be the reporting counterparty;

(iii) If both parties are swap dealers, then prior to execution of a publicly 

reportable swap transaction that is an off-facility swap, the swap dealers shall designate 

which party shall be the reporting counterparty;
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(iv) If both parties are major swap participants, then prior to execution of a 

publicly reportable swap transaction that is an off-facility swap, the major swap 

participants shall designate which party shall be the reporting counterparty; and

(v) If neither party is a swap dealer or a major swap participant, then prior to 

execution of a publicly reportable swap transaction that is an off-facility swap, the parties 

shall designate which party shall be the reporting counterparty.

(4) Post-priced swaps—

(i) Post-priced swaps reporting delays. The reporting counterparty may delay 

reporting a post-priced swap to a swap data repository until the earlier of (a) the price 

being determined and (b) 11:59:59 pm eastern time on the execution date. If the price of a 

publicly reportable swap transaction that is a post-priced swap is not determined by 

11:59:59 pm eastern time on the execution date, the reporting counterparty shall report to 

a swap data repository by 11:59:59 pm eastern time on the execution date all swap 

transaction and pricing data for such post-priced swap other than the price and any other 

then-undetermined swap transaction and pricing data and shall report each such item of 

previously undetermined swap transaction and pricing data as soon as technologically 

practicable after such item is determined.

(ii) Other economic terms. The post-priced swap reporting delay set forth in 

paragraph (a)(4)(i) of this section does not apply to publicly reportable swap transactions 

with respect to which the price is known at execution but one or more other economic or 

other terms are not yet known at the time of execution.
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(5) Clearing swaps. Notwithstanding the provisions of paragraphs (a)(1)-(3) of 

this section, if a clearing swap, as defined in § 45.1(a) of this chapter, is a publicly 

reportable swap transaction, the derivatives clearing organization that is a party to such 

swap shall be the reporting counterparty and shall fulfill all reporting counterparty 

obligations for such swap as soon as technologically practicable after execution.

(6) Mirror swaps. (i) A mirror swap is not a publicly reportable swap transaction. 

Execution of a trigger swap, for purposes of determining when execution occurs under 

paragraphs (a)(1)-(3) of this section, shall be deemed to occur at the time of the pricing 

event for such trigger swap.

(ii) If, with respect to a given set of swaps, it is unclear which are mirror swaps 

and which is the related trigger swap (including, but not limited to, situations where there 

is more than one prime broker counterparty within such set of swaps and situations where 

the pricing event for each set of swaps occurs between prime brokerage agents of a 

common prime broker), the prime brokers shall determine which swap is the trigger swap 

and which are mirror swaps. With respect to a trigger swap to which a prime broker is a 

party, the counterparty that falls within the highest level of the reporting counterparty 

determination hierarchy set forth in paragraph (a)(3) of this section is the reporting 

counterparty; if both counterparties fall within the same level of that hierarchy, they shall 

determine who is the reporting counterparty for such trigger swap pursuant to paragraphs

(a)(3)(iii), (iv), or (v) of this section, as applicable. Notwithstanding the foregoing, if the 

counterparty to a trigger swap that is not a prime broker is a swap dealer, then that 

counterparty shall be the reporting counterparty for the trigger swap.
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(iii) If, with respect to a given set of swaps, it is clear which are mirror swaps and 

which is the related trigger swap, the reporting counterparty for the trigger swap shall be 

determined pursuant to paragraph (a)(3) of this section.

(iv) Trigger swaps described in paragraphs (a)(6)(ii) and (iii) of this section shall 

be reported pursuant to the requirements set out in paragraphs (a)(2) or (a)(3) of this 

section, as applicable, except that the provisions of paragraph (a)(6)(ii) of this section, 

rather than the provisions of paragraph (a)(3) of this section, shall govern the 

determination of the reporting counterparty for purposes of the trigger swaps described in

paragraph (a)(6)(ii) of this section.

(7) Third-party facilitation of data reporting. Any person required by this part to 

report swap transaction and pricing data, while remaining fully responsible for reporting 

as required by this part, may contract with a third-party service provider to facilitate 

reporting.

(b) Public dissemination of swap transaction and pricing data by swap data 

repositories in real-time— (1) In general. A swap data repository shall publicly 

disseminate swap transaction and pricing data as soon as technologically practicable after 

such data is received from a swap execution facility, designated contract market, or 

reporting counterparty, unless such swap transaction and pricing data is subject to a time 

delay described in § 43.5 of this part, in which case the swap transaction and pricing data 

shall be publicly disseminated in the manner described in § 43.5.
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(2) Compliance with 17 CFR part 49. Any swap data repository that accepts and 

publicly disseminates swap transaction and pricing data in real-time shall comply with 

part 49 of this chapter.

(3) Prohibitions on disclosure of data. (i) If there is a swap data repository for an 

asset class, a swap execution facility or designated contract market shall not disclose 

swap transaction and pricing data relating to publicly reportable swap transactions in such 

asset class, prior to the public dissemination of such data by a swap data repository 

unless:

(A) Such disclosure is made no earlier than the transmittal of such data to a swap 

data repository for public dissemination;

(B) Such disclosure is only made to market participants on such swap execution 

facility or designated contract market;

(C) Market participants are provided advance notice of such disclosure; and

(D) Any such disclosure by the swap execution facility or designated contract 

market is non-discriminatory.

(ii) If there is a swap data repository for an asset class, a swap dealer or major 

swap participant shall not disclose swap transaction and pricing data relating to publicly 

reportable swap transactions in such asset class, prior to the public dissemination of such 

data by a swap data repository unless:

(A) Such disclosure is made no earlier than the transmittal of such data to a swap 

data repository for public dissemination;
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(B) Such disclosure is only made to the customer base of such swap dealer or 

major swap participant, including parties who maintain accounts with or have been swap 

counterparties with such swap dealer or major swap participant;

(C) Swap counterparties are provided advance notice of such disclosure; and

(D) Any such disclosure by the swap dealer or major swap participant is nondiscriminatory.

(4) Acceptance and public dissemination of all swaps in an asset class. Any swap 

data repository that accepts and publicly disseminates swap transaction and pricing data 

in real-time for swaps in its selected asset class shall accept and publicly disseminate 

swap transaction and pricing data in real-time for all publicly reportable swap 

transactions within such asset class, unless otherwise prescribed by the Commission.

(5) Annual independent review. Any swap data repository that accepts and 

publicly disseminates swap transaction and pricing data in real-time shall perform, on an

annual basis, an independent review in accordance with established audit procedures and 

standards of the swap data repository’s operations, security, and other system controls for 

the purpose of ensuring compliance with the requirements in this part.

(c) Availability of swap transaction and pricing data to the public. (1) Swap data 

repositories shall make swap transaction and pricing data available on their websites for a 

period of time that is at least one year after the initial public dissemination of such data 

and shall make instructions freely available on their websites on how to download, save, 

and search such data.
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(2) Swap transaction and pricing data that is publicly disseminated pursuant to 

this part shall be made available free of charge. 

(d) Data reported to swap data repositories. (1) In reporting swap transaction and 

pricing data to a swap data repository, each reporting counterparty, swap execution 

facility, or designated contract market shall report the swap transaction and pricing data 

elements in appendix C to this part in the form and manner provided in the technical 

specifications published by the Commission pursuant to § 43.7.

(2) In reporting swap transaction and pricing data to a swap data repository, each 

reporting counterparty, swap execution facility, or designated contract market making 

such report shall satisfy the data validation procedures of the swap data repository.

(3) In reporting swap transaction and pricing data to a swap data repository, each 

reporting counterparty, swap execution facility, or designated contract market shall use 

the facilities, methods, or data standards provided or required by the swap data repository 

to which the entity or reporting counterparty reports the data.

(e) * * * * *

(f) Data Validation Acceptance Message. (1) A swap data repository shall

validate each swap transaction and pricing data report submitted to the swap data 

repository and notify the reporting counterparty, swap execution facility, or designated 

contract market submitting the report whether the report satisfied the data validation 

procedures of the swap data repository as soon as technologically practicable after 

accepting the swap transaction and pricing data report. A swap data repository may 
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satisfy the requirements of this paragraph by transmitting data validation acceptance 

messages as required by § 49.10 of this chapter.

(2) If a swap transaction and pricing data report submitted to a swap data 

repository does not satisfy the data validation procedures of the swap data repository, the 

reporting counterparty, swap execution facility, or designated contract market required to 

submit the report has not satisfied its obligation to report swap transaction and pricing 

data in the manner provided by paragraph (d) of this section. The reporting counterparty, 

swap execution facility, or designated contract market has not satisfied its obligation until 

it submits the swap transaction and pricing data report in the manner provided by 

paragraph (d) of this section, which includes the requirement to satisfy the data validation 

procedures of the swap data repository.

(g) Fees. Any fee or charge assessed on a reporting counterparty, swap execution 

facility, or designated contract market by a swap data repository that accepts and publicly 

disseminates swap transaction and pricing data in real-time for the collection of such data 

shall be equitable and non-discriminatory. If such swap data repository allows a fee 

discount based on the volume of data reported to it for public dissemination, then such 

discount shall be made available to all reporting counterparties, swap execution facilities, 

and designated contract markets in an equitable and non-discriminatory manner.

5. Revise § 43.4 to read as follows:

§ 43.4 Swap transaction and pricing data to be publicly disseminated in real-time.
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(a) Public dissemination of data fields. Any swap data repository that accepts and 

publicly disseminates swap transaction and pricing data in real-time shall publicly 

disseminate the information for the swap transaction and pricing data elements in 

appendix C to this part in the form and manner provided in the technical specifications 

published by the Commission pursuant to § 43.7.

(b) Additional swap information. A swap data repository that accepts and publicly 

disseminates swap transaction and pricing data in real-time may require reporting 

counterparties, swap execution facilities, and designated contract markets to report to 

such swap data repository information necessary to compare the swap transaction and 

pricing data that was publicly disseminated in real-time to the data reported to a swap 

data repository pursuant to section 2(a)(13)(G) of the Act or to confirm that parties to a 

swap have reported in a timely manner pursuant to § 43.3. Such additional information 

shall not be publicly disseminated by the swap data repository.

(c) Anonymity of the parties to a publicly reportable swap transaction—(1) In 

general. Swap transaction and pricing data that is publicly disseminated in real-time shall 

not disclose the identities of the parties to the swap or otherwise facilitate the 

identification of a party to a swap. A swap data repository that accepts and publicly 

disseminates swap transaction and pricing data in real-time shall not publicly disseminate 

such data in a manner that discloses or otherwise facilitates the identification of a party to 

a swap.

(2) Actual product description reported to swap data repository. Reporting 

counterparties, swap execution facilities, and designated contract markets shall provide a 
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swap data repository with swap transaction and pricing data that includes an actual 

description of the underlying asset(s). This requirement is separate from the requirement 

that a reporting counterparty, swap execution facility, or designated contract market shall 

report swap data to a swap data repository pursuant to section 2(a)(13)(G) of the Act and 

the Commission’s regulations.

(3) Public dissemination of the actual description of underlying asset(s).

Notwithstanding the anonymity protection for certain swaps in the other commodity asset 

class in paragraph (c)(4) of this section, a swap data repository shall publicly disseminate 

the actual underlying asset(s) of all publicly reportable swap transactions in the interest 

rate, credit, equity, and foreign exchange asset classes.

(4) Public dissemination of the underlying asset(s) for certain swaps in the other 

commodity asset class. A swap data repository shall publicly disseminate swap 

transaction and pricing data for publicly reportable swap transactions in the other 

commodity asset class by limiting the geographic detail of the underlying asset(s). The 

identification of any specific delivery point or pricing point associated with the 

underlying asset of such other commodity swap shall be publicly disseminated pursuant 

to appendix B to this part.

(d) Reporting of notional or principal amounts to a swap data repository—(1) 

Off-facility swaps. The reporting counterparty shall report the actual notional or principal 

amount of any publicly reportable swap transaction that is an off-facility swap to a swap 

data repository that accepts and publicly disseminates such data pursuant to this part.
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(2) Swaps executed on or pursuant to the rules of a swap execution facility or 

designated contract market.

(i) A swap execution facility or designated contract market shall report the actual 

notional or principal amount for all swaps executed on or pursuant to the rules of such 

swap execution facility or designated contract market to a swap data repository that 

accepts and publicly disseminates such data pursuant to this part.

(ii) The actual notional or principal amount for any block trade executed on or 

pursuant to the rules of a designated contract market shall be reported to the designated 

contract market pursuant to the rules of the designated contract market.

(e) Public dissemination of notional or principal amounts. The notional or 

principal amount of a publicly reportable swap transaction shall be publicly disseminated 

by a swap data repository subject to rounding as set forth in paragraph (f) of this section, 

and the cap size as set forth in paragraph (g) of this section.

(f) Process to determine appropriate rounded notional or principal amounts—

(1) If the notional or principal amount is less than one thousand, round to nearest 

five, but in no case shall a publicly disseminated notional or principal amount be less than 

five;

(2) If the notional or principal amount is less than 10 thousand but equal to or 

greater than one thousand, round to nearest one hundred;

(3) If the notional or principal amount is less than 100 thousand but equal to or 

greater than 10 thousand, round to nearest one thousand;
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(4) If the notional or principal amount is less than one million but equal to or 

greater than 100 thousand, round to nearest 10 thousand;

(5) If the notional or principal amount is less than 100 million but equal to or 

greater than one million, round to the nearest one million;

(6) If the notional or principal amount is less than 500 million but equal to or 

greater than 100 million, round to the nearest 10 million;

(7) If the notional or principal amount is less than one billion but equal to or 

greater than 500 million, round to the nearest 50 million;

(8) If the notional or principal amount is less than 100 billion but equal to or 

greater than one billion, round to the nearest 100 million;

(9) If the notional or principal amount is equal to or greater than 100 billion, 

round to the nearest 10 billion.

(g) Process to determine cap sizes—

(1) The Commission shall establish, by swap categories, the cap sizes as described 

in paragraphs (g)(2)-(8) of this section. 

(2) The Commission shall determine the cap sizes for the swap categories 

described in paragraphs (b)(1)(i), (b)(2)(i)-(vii), (b)(4)(i), and (b)(5)(i) of § 43.6 by 

utilizing reliable data, as determined by the Commission, from at least a one-year 

window of swap data corresponding to each relevant swap category, and by applying the 

methodology described in § 43.6(c)(2).
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(3) The Commission shall determine the cap size for a swap category in the 

foreign exchange asset class described in § 43.6(b)(4)(ii) as the lower of the notional 

amount of either currency’s cap size for the swap category described in § 43.6(b)(4)(i). 

(4) All swaps or instruments in the swap category described in § 43.6(b)(1)(ii) 

shall have a cap size of USD 100 million.

(5) All swaps or instruments in the swap category described in § 43.6(b)(2)(viii) 

shall have a cap size of USD 400 million.

(6) All swaps or instruments in the swap category described in § 43.6(b)(3) shall 

have a cap size of USD 250 million.

(7) All swaps or instruments in the swap category described in § 43.6(b)(4)(iii) 

shall have a cap size of USD 150 million.

(8) All swaps or instruments in the swap category described in § 43.6(b)(5)(ii) 

shall have a cap size of USD 100 million.

(9) Commission publication of cap sizes. The Commission shall publish any cap 

sizes determined pursuant to paragraph (g) of this section from time to time on its website 

at www.cftc.gov.

(10) Effective date of cap sizes. Any cap sizes adopted by the Commission in a 

final rule amending this part shall be effective on the effective date of any such 

amendments to this part. Thereafter, unless otherwise indicated on the Commission’s 

website, any revised cap size published by the Commission shall be effective on the first 

day of the second month following the date of publication of the revised cap size.
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6. Amend § 43.5 by removing paragraphs (d)-(h) and revising paragraphs (a)-(c) to read 

as follows:

§ 43.5 Time delays for public dissemination of swap transaction and pricing data.

(a) In general. The time delay for the real-time public dissemination of a block 

trade begins upon execution, as defined in § 43.2(a). It is the responsibility of the swap 

data repository that accepts and publicly disseminates swap transaction and pricing data 

in real-time to ensure that the swap transaction and pricing data for block trades is 

publicly disseminated pursuant to this part upon the expiration of the appropriate time 

delay described in paragraph (c) of this section.

(b) Public dissemination of publicly reportable swap transactions subject to a 

time delay. A swap data repository shall publicly disseminate swap transaction and 

pricing data that is subject to a time delay precisely upon the expiration of the time delay 

period described in paragraph (c) of this section.

(c) Time delay. If a swap data repository receives notice of a block trade election 

under § 43.6(f)(1)(ii) or § 43.6(f)(2), the block trade that is the subject of such notice 

shall receive a time delay in the public dissemination of swap transaction and pricing data

equal to 48 hours after execution of such publicly reportable swap transaction.

7. Revise § 43.6 to read as follows:

§ 43.6 Block trades.

(a) Commission determination. The Commission shall establish the appropriate 

minimum block size for publicly reportable swap transactions based on the swap 
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categories set forth in paragraph (b) of this section in accordance with the provisions set 

forth in paragraphs (c), (d), (e), or (g) of this section, as applicable, at such times the 

Commission determines necessary.

(b) Swap categories. Swap categories shall be established for all swaps, by asset 

class, in the following manner:

(1) Interest rate asset class. Swaps in the interest rate asset class shall be grouped 

into swap categories as follows:

(i) Based on a unique combination of:

(A) a currency of one of the following countries or union:

(I) Australia, 

(II) Brazil, 

(III) Canada, 

(IV) Chile,

(V) Czech Republic,

(VI) the European Union, 

(VII) Great Britain, 

(VIII) India,

(IX) Japan, 

(X) Mexico, 

(XI) New Zealand,

(XII) South Africa,

(XIII) South Korea,
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(XIV) Sweden, or

(XV) the United States; and

(B) one of the following tenors:

(I) Zero to 46 days;

(II) Greater than 46 to 107 days;

(III) Greater than 107 to 198 days;

(IV) Greater than 198 to 381 days;

(V) Greater than 381 to 746 days;

(VI) Greater than 746 to 1,842 days;

(VII) Greater than 1,842 to 3,668 days;

(VIII) Greater than 3,668 to 10,973 days; or

(IX) Greater than 10,973 days and above.

(ii) Other interest rate swaps not covered in the paragraph (b)(1)(i) of this section.

(2) Credit asset class. Swaps in the credit asset class shall be grouped into swap 

categories as follows:

(i) Based on the CDXHY product type and a tenor greater than 1,477 days and 

less than or equal to 2,207 days;

(ii) Based on the iTraxx Europe product type and a tenor greater than 1,477 days 

and less than or equal to 2,207 days;

(iii) Based on the iTraxx Crossover product type and a tenor greater than 1,477 

days and less than or equal to 2,207 days;
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(iv) Based on the iTraxx Senior Financials product type and a tenor greater than 

1,477 days and less than or equal to 2,207 days;

(v) Based on the CDXIG product type and a tenor greater than 1,477 days and less 

than or equal to 2,207 days;

(vi) Based on the CDXEmergingMarkets product type and a tenor greater than 

1,477 days and less than or equal to 2,207 days;

(vii) Based on the CDMBX product type; and

(viii) Other credit swaps not covered in paragraphs (b)(2)(i)-(vii) of this section.

(3) Equity asset class. There shall be one swap category consisting of all swaps in 

the equity asset class.

(4) Foreign exchange asset class. Swaps in the foreign exchange asset class shall 

be grouped into swap categories as follows:

(i) By the unique currency combinations of the United States currency paired with 

a currency of one of the following countries or union: Argentina, Australia, Brazil, 

Canada, Chile, China, Colombia, the European Union, Great Britain, India, Indonesia, 

Japan, Malaysia, Mexico, New Zealand, Peru, Philippines, Russia, South Korea, or 

Taiwan.

(ii) By the unique currency pair consisting of two separate currencies from the 

following countries or union: Argentina, Australia, Brazil, Canada, Chile, China, 

Colombia, the European Union, Great Britain, India, Indonesia, Japan, Malaysia, Mexico, 

New Zealand, Peru, Philippines, Russia, South Korea, and Taiwan.
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(iii) Other swap categories in the foreign exchange asset class not covered in 

paragraphs (b)(4)(i) or (ii) of this section.

(5) Other commodity asset class. Swaps in the other commodity asset class shall 

be grouped into swap categories as follows:

(i) For swaps that have a physical commodity underlier listed in appendix A to 

this part, by the relevant physical commodity underlier; or

(ii) Other commodity swaps that are not covered in paragraph (b)(5)(i) of this 

section.

(c) Methodologies to determine appropriate minimum block sizes and cap sizes.

In determining appropriate minimum block sizes and cap sizes for publicly reportable 

swap transactions, the Commission shall utilize the following statistical calculations—

(1) 67-percent notional amount calculation. The Commission shall use the 

following procedure in determining the 67-percent notional amount calculation:

(i) For each relevant swap category, select all reliable SDR data for at least a oneyear period;

(ii) Convert the notional amount to the same currency or units and use a trimmed 

data set;

(iii) Determine the sum of the notional amounts of swaps in the trimmed data set;

(iv) Multiply the sum of the notional amount by 67 percent;

(v) Rank order the observations by notional amount from least to greatest;
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(vi) Calculate the cumulative sum of the observations until the cumulative sum is 

equal to or greater than the 67-percent notional amount calculated in paragraph (c)(1)(iv) 

of this section;

(vii) Select the notional amount associated with that observation;

(viii) Round the notional amount of that observation up to two significant digits, 

or if the notional amount associated with that observation is already significant to only 

two digits, increase that notional amount to the next highest rounding point of two 

significant digits; and

(ix) Set the appropriate minimum block size at the amount calculated in paragraph 

(c)(1)(viii) of this section.

(2) 75-percent notional amount calculation. The Commission shall use the 

procedure set out in § 43.6(c)(1) with 75-percent in place of 67-percent.

(d) No appropriate minimum block sizes for swaps in the equity asset class.

Publicly reportable swap transactions in the equity asset class shall not be treated as block 

trades.

(e) Process to determine appropriate minimum block sizes—

(1) The Commission shall establish, by swap categories, the appropriate minimum 

block sizes as described in paragraphs (e)(2)-(5) of this section. 

(2) The Commission shall determine the appropriate minimum block sizes for the 

swap categories described in paragraphs (b)(1)(i), (b)(2)(i)-(vii), (b)(4)(i), and (b)(5)(i) of 

this section by applying the methodology described in paragraph (c)(1) of this section.
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(3) The parties to a swap in the foreign exchange asset class described in 

paragraph (b)(4)(ii) of this section may elect to receive block treatment if the notional 

amount of either currency in the exchange is greater than the minimum block size for a 

swap in the foreign exchange asset class between the respective currency, in the same 

amount, and U.S. dollars described in paragraph (b)(4)(i) of this section. 

(4) All swaps or instruments in the swap category described in paragraphs 

(b)(1)(ii), (b)(2)(viii), (b)(4)(iii), and (b)(5)(ii) of this section shall have a block size of 

zero and be eligible to be treated as a block trade.

(5) Commission publication of appropriate minimum block sizes. The 

Commission shall publish the appropriate minimum block sizes determined pursuant to 

paragraph (e)(1) of this section on its website at www.cftc.gov.

(f) Required notification.

(1) Block trades on the trading system or platform, that is not an order book as 

defined in § 37.3(a)(3) of a swap execution facility, or pursuant to the rules of a swap 

execution facility or designated contract market.

(i) The parties to a publicly reportable swap transaction that is executed on the 

trading system or platform, that is not an order book as defined in § 37.3(a)(3) of a swap 

execution facility, or pursuant to the rules of a swap execution facility or designated 

contract market and that has a notional amount at or above the appropriate minimum 

block size may elect to have the publicly reportable swap transaction treated as a block 

trade. If the parties make such an election, the reporting counterparty shall notify the 
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swap execution facility or designated contract market, as applicable, of the parties’ 

election.

(ii) The swap execution facility or designated contract market, as applicable, shall 

notify the swap data repository of such a block trade election when reporting the swap 

transaction and pricing data to such swap data repository in accordance with this part.

(iii) The swap execution facility or designated contract market, as applicable, 

shall not disclose swap transaction and pricing data relating to a block trade subject to the 

block trade election prior to the expiration of the applicable delay set forth in § 43.5(c).

(2) Block trade off-facility swap election. The parties to a publicly reportable 

swap transaction that is an off-facility swap and that has a notional amount at or above 

the appropriate minimum block size may elect to have the publicly reportable swap 

transaction treated as a block trade. If the parties make such an election, the reporting 

counterparty for such publicly reportable swap transaction shall notify the applicable 

swap data repository of the reporting counterparty’s election when reporting the swap 

transaction and pricing data in accordance with this part.

(g) Special provisions relating to appropriate minimum block sizes and cap sizes.

The following special rules shall apply to the determination of appropriate minimum 

block sizes and cap sizes—

(1) Swaps with optionality. The notional amount of a swap with optionality shall 

equal the notional amount of the component of the swap that does not include the option 

component.
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(2) Swaps with composite reference prices. The parties to a swap transaction with 

composite reference prices may elect to apply the lowest appropriate minimum block size 

or cap size applicable to one component reference price’s swap category of such publicly 

reportable swap transaction.

(3) Notional amounts for physical commodity swaps. Unless otherwise specified 

in this part, the notional amount for a physical commodity swap shall be based on the 

notional unit measure utilized in the related futures contract or the predominant notional 

unit measure used to determine notional quantities in the cash market for the relevant, 

underlying physical commodity.

(4) Currency conversion. Unless otherwise specified in this part, when the 

appropriate minimum block size or cap size for a publicly reportable swap transaction is 

denominated in a currency other than U.S. dollars, parties to a swap and registered 

entities may use a currency exchange rate that is widely published within the preceding 

two business days from the date of execution of the swap transaction in order to 

determine such qualification.

(5) Aggregation. The aggregation of orders for different accounts in order to 

satisfy the minimum block trade size or the cap size requirement is permitted for publicly 

reportable swap transactions only if each of the following conditions is satisfied:

(i) The aggregation of orders is done by a person who:

(A) Is a commodity trading advisor registered pursuant to section 4n of the Act, or 

exempt from such registration under the Act, or a principal thereof, and who has 

discretionary trading authority or directs client accounts;
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(B) Is an investment adviser who has discretionary trading authority or directs 

client accounts and satisfies the criteria of § 4.7(a)(2)(v) of this chapter; or

(C) Is a foreign person who performs a similar role or function as the persons 

described in paragraphs (g)(5)(i)(A) or (B) of this section and is subject as such to foreign 

regulation;

(ii) The aggregated transaction is reported pursuant to this part and part 45 of this 

chapter as a block trade, subject to the cap size thresholds; and

(iii) The aggregated orders are executed as one swap transaction.

(h) Eligible block trade parties.

(1) Parties to a block trade shall be “eligible contract participants,” as defined in 

section 1a(18) of the Act and the Commission’s regulations. However, a designated 

contract market may allow:

(i) A commodity trading advisor registered pursuant to section 4n of the Act, or 

exempt from registration under the Act, or a principal thereof, and who has discretionary 

trading authority or directs client accounts,

(ii) An investment adviser who has discretionary trading authority or directs client 

accounts and satisfies the criteria of § 4.7(a)(2)(v) of this chapter, or

(iii) A foreign person who performs a similar role or function as the persons 

described in paragraphs (h)(1)(i) or (ii) of this section and is subject as such to foreign 

regulation, to transact block trades for customers who are not eligible contract 

participants.
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(2) A person transacting a block trade on behalf of a customer shall receive prior 

written instruction or consent from the customer to do so. Such instruction or consent 

may be provided in the power of attorney or similar document by which the customer 

provides the person with discretionary trading authority or the authority to direct the

trading in its account.

8. Amend § 43.7 by revising paragraphs (a)(1)-(3) and adding paragraph (a)(4) to read as 

follows:

§ 43.7 Delegation of authority.

(a) * * *

(1) To publish the technical specifications providing the form and manner for 

reporting and publicly disseminating the swap transaction and pricing data elements in 

appendix C to this part as described in §§ 43.3(d)(1) and 43.4(a); 

(2) To determine cap sizes as described in § 43.4(g);

(3) To determine whether swaps fall within specific swap categories as described 

in § 43.6(b); and

(4) To determine and publish appropriate minimum block sizes as described in § 

43.6(e).

* * * * *

9. Revise appendix A to part 43.

Appendix A to Part 43 - Other Commodity Swap Categories
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Commodity: Metals

Aluminum

Copper

Gold

Lead

Nickel

Silver

Virtual

Zinc

Commodity: Energy

Electricity

Fuel Oil

Gasoline- RBOB

Heating Oil

Natural Gas

Oil

Commodity: Agricultural

Corn

Soybean

Coffee

Wheat

Cocoa
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Sugar

Cotton

Soymeal

Soybean oil

Cattle

Hogs

10. Revise appendix B to Part 43.

Appendix B to Part 43 – Other Commodity Geographic Identification for Public 

Dissemination Pursuant to § 43.4(d)(4)

Swap data repositories are required by § 43.4(d)(4) to publicly disseminate any specific 

delivery point or pricing point associated with publicly reportable swap transactions in 

the “other commodity” asset class pursuant to Tables B1 and B2 in this appendix. If the 

underlying asset of a publicly reportable swap transaction described in § 43.4(d)(4) has a 

delivery or pricing point that is located in the United States, such information shall be 

publicly disseminated pursuant to the regions described in Table B1 in this appendix. If 

the underlying asset of a publicly reportable swap transaction described in § 43.4(d)(4)

has a delivery or pricing point that is not located in the United States, such information 

shall be publicly disseminated pursuant to the countries or sub-regions, or if no country 

or sub-region, by the other commodity region, described in Table B2 in this appendix.

Table B1. U.S. Delivery or Pricing Points
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Other Commodity Group

Region

Natural Gas and Related Products

Midwest

Northeast

Gulf

Southeast

Western

Other—U.S.

Petroleum and Products

New England (PADD 1A)

Central Atlantic (PADD 1B)

Lower Atlantic (PADD 1C)

Midwest (PADD 2)

Gulf Coast (PADD 3)

Rocky Mountains (PADD 4)

West Coast (PADD 5)

Other—U.S.

Electricity and Sources

Florida Reliability Coordinating Council (FRCC)

Midwest Reliability Organization (MRO)

Northeast Power Coordinating Council (NPCC)
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Reliability First Corporation (RFC)

SERC Reliability Corporation (SERC)

Southwest Power Pool, RE (SPP)

Texas Regional Entity (TRE)

Western Electricity Coordinating Council (WECC)

Other—U.S.

All Remaining Other Commodities (Publicly disseminate the region. If pricing or 

delivery point is not region-specific, indicate “U.S.”)

Region 1—(Includes Connecticut, Maine, Massachusetts, New Hampshire, Rhode Island, 

Vermont)

Region 2—(Includes New Jersey, New York)

Region 3—(Includes Delaware, District of Columbia, Maryland, Pennsylvania, Virginia, 

West Virginia)

Region 4—(Includes Alabama, Florida, Georgia, Kentucky, Mississippi, North Carolina, 

South Carolina, Tennessee)

Region 5—(Includes Illinois, Indiana, Michigan, Minnesota, Ohio, Wisconsin)

Region 6—(Includes Arkansas, Louisiana, New Mexico, Oklahoma, Texas)

Region 7—(Includes Iowa, Kansas, Missouri, Nebraska)

Region 8—(Includes Colorado, Montana, North Dakota, South Dakota, Utah, Wyoming)

Region 9—(Includes Arizona, California, Hawaii, Nevada)

Region 10—(Includes Alaska, Idaho, Oregon, Washington)
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Table B2. Non-U.S. Delivery or Pricing Points

Other Commodity Regions

Country or Sub-Region

North America (Other than U.S.)

Canada

Mexico

Central America

South America

Brazil

Other South America

Europe

Western Europe

Northern Europe

Southern Europe

Eastern Europe (excluding Russia)

Russia

Africa

Northern Africa

Western Africa

Eastern Africa

Central Africa

Southern Africa
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Asia-Pacific

Northern Asia (excluding Russia)

Central Asia

Eastern Asia

Western Asia

Southeast Asia

Australia/New Zealand/Pacific Islands

11. Revise appendix C to part 43.

Appendix C to Part 43 – Swap Transaction and Pricing Data Elements

# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

Category: Clearing

1 Cleared Indicator of whether the transaction has been cleared, or is 

intended to be cleared, by a central counterparty. 

    

Category: Custom baskets

23 Custom basket 

indicator

Indicator that the swap is based on a custom basket.     

Category: Events

24 Action type Type of action taken on the transaction reporting or end of day 

reporting.

New: An action that reports a new swap transaction. It applies 

to the first message relating to a new USI or UTI.

Modify: An action that modifies the state of a previously 

submitted transaction (e.g., credit event) or changes a term of a 

previously submitted transaction due to a newly negotiated 

modification (amendment) or updates previously missing 

information (e.g., post price swap). It does not include 

correction of a previous transaction.

Correct: An action that corrects erroneous data of a previously 

submitted transaction.

Error: An action of cancellation of a wrongly submitted entire 

transaction in case it never came into existence or was not 

subject to part 43/part 45 reporting requirements but was 

reported erroneously.

Terminate: An action that closes an existing transaction 

because of a new event (e.g., Compression, Novation). This 

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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

does not apply to transactions that terminate at contractual 

maturity date.

Port out: An action that transfers swap transaction from one 

SDR to another SDR (change of swap data repository).

Valuation: An update to valuation data. There will be no 

corresponding Event type.

Collateral: An update to collateral margin data. There will be 

no corresponding Event type.

Refer to Appendix F of the swap data technical specification 

for event model sample scenarios.

25 Event type Explanation or reason for the action being taken on the 

transaction reporting.

Trade: A creation, modification, or termination of a 

transaction.

Novation: A novation legally moves partial or all of the 

financial risks of a swap from a transferor to a transferee and 

has the effect of terminating/modifying the original transaction 

and creating a new transaction to identify the exposure 

between the transferor/transferee and remaining party.

Compression or Risk Reduction Exercise: Compressions and 

risk reduction exercises generally have the effect of 

terminating or modifying (i.e., reducing the notional value) a 

set of existing transactions and of creating a set of new 

transaction(s). These processes result in largely the same 

exposure of market risk that existed prior to the event for the 

counterparty.

Early termination: Termination of an existing swap 

transaction prior to scheduled termination or maturity date.

Clearing: Central clearing is a process where a derivatives 

clearing organization interposes itself between counterparties 

to contracts, becoming the buyer to every seller and the seller 

to every buyer. It has the effect of terminating an existing 

transaction between the buyer and the seller and thereby 

ensuring the performance of open contracts.

Exercise: The process by which a counterparty fully or 

partially exercises their rights specified in the contract of an 

option or a swaption.

Allocation: The process by which an agent, having facilitated 

a single swap transaction on behalf of several clients, allocates 

a portion of the executed swap to the clients.

Clearing and Allocation: A simultaneous clearing and 

allocation event in a derivatives clearing organization.

CDS Credit: An event or trigger that results in the 

modification of the state of a previously submitted credit 

derivative transaction. Applies only to credit derivatives.

Porting: The process by which a swap is transferred to another 

SDR that r has the effect of the closing of the swap transaction 

at one SDR or opening of the same swap transaction using the 

same UTI/USI in a different SDR (new).

    
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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

26 Event identifier Unique identifier to link transactions resulting when Event 

type is either COMP (Compression) or CRDT (CDS Credit). 

The unique identifier may be assigned by the reporting 

counterparty or a service provider.

    

27 Event timestamp Date and time of occurrence of the event as determined by the 

reporting counterparty or a service provider.

In the case of a clearing event, date and time when the original 

swap is accepted by the derivative clearing organization 

(DCO) for clearing and recorded by the DCO’s system should 

be reported in this data element.

The time element is as specific as technologically practicable.

    

Category: Notional amounts and quantities

28 Notional amount For each leg of the transaction, where applicable:

- for OTC derivative transactions negotiated in monetary 

amounts, amount specified in the contract.

- for OTC derivative transactions negotiated in non-monetary 

amounts, refer to Appendix B to the swap data technical 

specification for converting notional amounts for nonmonetary amounts.

In addition:

• For OTC derivative transactions with a notional amount 

schedule, the initial notional amount, agreed by the 

counterparties at the inception of the transaction, is reported in 

this data element.

• For OTC foreign exchange options, in addition to this data 

element, the amounts are reported using the data elements Call 

amount and Put amount. For amendments or lifecycle events, 

the resulting outstanding notional amount is reported; (steps in 

notional amount schedules are not considered to be 

amendments or lifecycle events); 

• Where the notional amount is not known when a new 

transaction is reported, the notional amount is updated as it 

becomes available. 

    

29 Notional currency For each leg of the transaction, where applicable: currency in 

which the notional amount is denominated.

    

31 Call amount For foreign exchange options, the monetary amount that the 

option gives the right to buy.



32 Call currency For foreign exchange options, the currency in which the Call 

amount is denominated.



33 Put amount For foreign exchange options, the monetary amount that the 

option gives the right to sell.



34 Put currency For foreign exchange options, the currency in which the Put 

amount is denominated.



35 Notional quantity For each leg of the transaction, where applicable, for swap 

transactions negotiated in non-monetary amounts with fixed 

notional quantity for each schedule period (i.e., 50 barrels per 

month).

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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

The frequency is reported in Quantity frequency and the unit of 

measure is reported in Quantity unit of measure.

36 Quantity frequency The rate at which the quantity is quoted on the swap. e.g., 

hourly, daily, weekly, monthly.



37 Quantity frequency 

multiplier

The number of time units for the Quantity frequency 

38 Quantity unit of 

measure

For each leg of the transaction, where applicable: unit of 

measure in which the Total notional quantity and Notional 

quantity are expressed.

 

39 Total notional 

quantity

For each leg of the transaction, where applicable: aggregate 

Notional quantity of the underlying asset for the term of the 

transaction.

Where the Total notional quantity is not known when a new 

transaction is reported, the Total notional quantity is updated 

as it becomes available.

 

Category: Packages

40 Package identifier Identifier (determined by the reporting counterparty) in order 

to connect 

• two or more transactions that are reported separately by the 

reporting counterparty, but that are negotiated together as the 

product of a single economic agreement. 

• two or more reports pertaining to the same transaction 

whenever jurisdictional reporting requirement does not allow 

the transaction to be reported with a single report to TRs.

A package may include reportable and non-reportable 

transactions. 

This data element is not applicable

• if no package is involved, or 

• to allocations

Where the Package identifier is not known when a new 

transaction is reported, the Package identifier is updated as it 

becomes available.

    

41 Package transaction 

price

Traded price of the entire package in which the reported 

derivative transaction is a component. 

This data element is not applicable if no package is involved.

Prices and related data elements of the transactions (Price 

currency, Price notation, Price unit of measure) that represent 

individual components of the package are reported when 

available. 

The Package transaction price may not be known when a new 

transaction is reported but may be updated later. 

    

42 Package transaction 

price currency

Currency in which the Package transaction price is 

denominated.

This data element is not applicable if: 

• no package is involved, or

• Package transaction price notation = 3

    

43 Package transaction 

price notation

Manner in which the Package transaction price is expressed. 

This data element is not applicable if no package is involved

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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

Category: Payments

44 Day count 

convention

For each leg of the transaction, where applicable: day count 

convention (often also referred to as day count fraction or day 

count basis or day count method) that determines how interest 

payments are calculated. It is used to compute the year fraction 

of the calculation period, and indicates the number of days in 

the calculation period divided by the number of days in the 

year.

    

46 Floating rate reset 

frequency period

For each floating leg of the transaction, where applicable, time 

unit associated with the frequency of resets, e.g., day, week, 

month, year or term of the stream.

    

47 Floating rate reset 

frequency period 

multiplier

For each floating leg of the transaction, where applicable, 

number of time units (as expressed by the Floating rate reset 

frequency period) that determines the frequency at which 

periodic payment dates for reset occur. For example, a 

transaction with reset payments occurring every two months is 

represented with a Floating rate reset frequency period of 

“MNTH” (monthly) and a Floating rate reset frequency period 

multiplier of 2. 

This data element is not applicable if the Floating rate reset 

frequency period is “ADHO.” If Floating rate reset frequency 

period is “TERM,” then the Floating rate reset frequency 

period multiplier is 1. If the reset frequency period is intraday, 

then the Floating rate reset frequency period is “DAIL” and the 

Floating rate reset frequency period multiplier is 0.

    

48 Other payment type Type of Other payment amount.

Option premium payment is not included as a payment type as 

premiums for option are reported using the option premium 

dedicated data element.

    

49 Other payment 

amount

Payment amounts with corresponding payment types to 

accommodate requirements of transaction descriptions from 

different asset classes.

    

50 Other payment 

currency

Currency in which Other payment amount is denominated.     

54 Payment frequency 

period

For each leg of the transaction, where applicable: time unit 

associated with the frequency of payments, e.g., day, week, 

month, year or term of the stream.

   

55 Payment frequency 

period multiplier

For each leg of the transaction, where applicable: number of 

time units (as expressed by the Payment frequency period) that 

determines the frequency at which periodic payment dates 

occur. For example, a transaction with payments occurring 

every two months is represented with a Payment frequency

period of “MNTH” (monthly) and a Payment frequency period 

multiplier of 2.

This data element is not applicable if the Payment frequency 

period is “ADHO.” If Payment frequency period is “TERM,” 

then the Payment frequency period multiplier is 1. If the 

Payment frequency is intraday, then the Payment frequency 

period is “DAIL” and the Payment frequency multiplier is 0.

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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

Category: Prices

56 Exchange rate Exchange rate between the two different currencies specified 

in the OTC derivative transaction agreed by the counterparties 

at the inception of the transaction, expressed as the rate of 

exchange from converting the unit currency into the quoted 

currency. 

In the example 0.9426 USD/EUR, USD is the unit currency 

and EUR is the quoted currency; USD 1 = EUR 0.9426.



57 Exchange rate basis Currency pair and order in which the exchange rate is 

denominated, expressed as unit currency/quoted currency. In 

the example 0.9426 USD/EUR, USD is the unit currency and 

EUR is the quoted currency, USD 1 = EUR 0.9426.



58 Fixed rate For each leg of the transaction, where applicable: for OTC 

derivative transactions with periodic payments, per annum rate 

of the fixed leg(s).

  

59 Post-priced swap 

indicator

An indication of whether a transaction satisfies the definition 

of “post-priced swap” in § 43.2(a).

    

60 Price Price specified in the OTC derivative transaction. It does not 

include fees, taxes or commissions. 

For commodity fixed/float swaps and similar products with 

periodic payments, this data element refers to the fixed price of

the fixed leg(s).

For commodity and equity forwards and similar products, this 

data element refers to the forward price of the underlying or 

reference asset.

For equity swaps, portfolios swaps, and similar products, this 

data element refers to the initial price of the underlying or 

reference asset. 

For contracts for difference and similar products, this data 

element refers to the initial price of the underlier.

This data element is not applicable to:

• Interest rate swaps and forward rate agreements, as it is 

understood that the information included in the data elements 

Fixed rate and Spread may be interpreted as the price of the 

transaction.

• Interest rate options and interest rate swaptions as it is 

understood that the information included in the data elements 

Strike price and Option premium may be interpreted as the 

price of the transaction.

• Commodity basis swaps and the floating leg of commodity 

fixed/float swaps as it is understood that the information 

included in the data element Spread may be interpreted as the 

price of the transaction.

• Foreign exchange swaps, forwards and options, as it is 

understood that the information included in the data elements 

Exchange rate, Strike price, and Option premium may be 

interpreted as the price of the transaction.

• Equity options as it is understood that the information 

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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

included in the data elements Strike price and Option premium 

may be interpreted as the price of the transaction.

• Credit default swaps and credit total return swaps, as it is 

understood that the information included in the data elements 

Fixed rate, Spread and Upfront payment (Other payment type: 

Upfront payment) may be interpreted as the price of the 

transaction.

• Commodity options, as it is understood that the information 

included in the data elements Strike price and Option premium 

may be interpreted as the price of the transaction.

Where the price is not known when a new transaction is 

reported, the price is updated as it becomes available.

For transactions that are part of a package, this data element 

contains the price of the component transaction where 

applicable. 

61 Price currency Currency in which the price is denominated.

Price currency is only applicable if Price notation = 1.

 

62 Price notation Manner in which the price is expressed.  

63 Price unit of measure Unit of measure in which the price is expressed.  

64 Spread For each leg of the transaction, where applicable: for OTC 

derivative transactions with periodic payments (e.g., interest 

rate fixed/float swaps, interest rate basis swaps, commodity 

swaps), 

• spread on the individual floating leg(s) index reference price, 

in the case where there is a spread on a floating leg(s). For 

example, USD-LIBOR-BBA plus .03 or WTI minus USD 

14.65; or

• difference between the reference prices of the two floating 

leg indexes. For example, the 9.00 USD “Spread” for a WCS 

vs. WTI basis swap where WCS is priced at 43 USD and WTI 

is priced at 52 USD.

   

65 Spread currency For each leg of the transaction, where applicable: currency in 

which the spread is denominated.

This data element is only applicable if Spread notation = 1.

   

66 Spread notation For each leg of the transaction, where applicable: manner in 

which the spread is expressed.

   

67 Strike price • For options other than FX options, swaptions and similar 

products, price at which the owner of an option can buy or sell 

the underlying asset of the option. 

• For foreign exchange options, exchange rate at which the 

option can be exercised, expressed as the rate of exchange 

from converting the unit currency into the quoted currency. In 

the example 0.9426 USD/EUR, USD is the unit currency and 

EUR is the quoted currency; USD 1 = EUR 0.9426.

Where the strike price is not known when a new transaction is 

reported, the strike price is updated as it becomes available.

• For volatility and variance swaps and similar products, the 

volatility strike price is reported in this data element.

    

68 Strike price For equity options, commodity options, and similar products,     
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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

currency/currency 

pair

currency in which the strike price is denominated.

For foreign exchange options: Currency pair and order in 

which the strike price is expressed. It is expressed as unit 

currency/quoted currency. In the example 0.9426 USD/EUR, 

USD is the unit currency and EUR is the quoted currency, 

USD 1 = EUR 0.9426

Strike price currency/currency pair is only applicable if Strike 

price notation = 1.

69 Strike price notation Manner in which the strike price is expressed.     

70 Option premium 

amount

For options and swaptions of all asset classes, monetary 

amount paid by the option buyer. 

This data element is not applicable if the instrument is not an 

option or does not embed any optionality. 

    

71 Option premium 

currency

For options and swaptions of all asset classes, currency in 

which the option premium amount is denominated. This data 

element is not applicable if the instrument is not an option or 

does not embed any optionality.

    

73 First exercise date First unadjusted date during the exercise period in which an 

option can be exercised.

For European-style options, this date is same as the Expiration 

date. For American-style options, the first possible exercise 

date is the unadjusted date included in the Execution 

timestamp. 

For knock-in options, where the first exercise date is not 

known when a new transaction is reported, the first exercise 

date is updated as it becomes available.

This data element is not applicable if the instrument is not an 

option or does not embed any optionality.

    

Category: Product

76 Index factor The index version factor or percent, expressed as a decimal 

value, that multiplied by the Notional amount yields the 

notional amount covered by the seller of protection for credit 

default swap.



77 Embedded option 

type

Type of option or optional provision embedded in a contract.     

78 Unique Product 

Identifier UPI

A unique set of characters that represents a particular OTC 

derivative.

The Commission will designate a UPI pursuant to § 45.7.

Note: A Unique Product Identifier Short Name, defined as, 

‘When the Commission designates a UPI pursuant to part 45, 

disseminate a humanly readable description made available by 

the UPI issuer corresponding to the UPI’ must be disseminated 

by the SDR.

    

Category: Settlement

80 Settlement currency Currency for the cash settlement of the transaction when 

applicable.

For multi-currency products that do not net, the settlement 

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# Data Element Name Definition for Data Element

Asset Class

CRIRFXEQCO

currency of each leg. 

This data element is not applicable for physically settled 

products (e.g., physically settled swaptions). 

Category: Transaction related

82 Non-standardized 

term indicator

Indicator of whether the swap has one or more additional 

term(s) or provision(s), other than those disseminated to the 

public pursuant to part 43, that materially affect(s) the price of 

the swap.

    

83 Block trade election 

indicator

Indicator of whether an election has been made to report the 

swap as a block swap either by the reporting counterparty or as 

calculated by the swap data repository acting as a third party 

for the reporting counterparty.

    

84 Effective date Unadjusted date at which obligations under the OTC derivative 

transaction come into effect, as included in the confirmation.

    

85 Expiration date Unadjusted date at which obligations under the swap 

transaction stop being effective, as included in the 

confirmation. Early termination does not affect this data 

element. 

    

86 Execution timestamp Date and time a transaction was originally executed, resulting 

in the generation of a new UTI. This data element remains 

unchanged throughout the life of the UTI.

    

88 Platform identifier Identifier of the trading facility (e.g., exchange, multilateral 

trading facility, swap execution facility) on which the 

transaction was executed.

    

90 Prime brokerage 

transaction indicator

Indicator of whether the swap is a Prime Brokerage 

transaction.

    

12. Remove appendices D, E, and F.

Issued in Washington, DC on __, 2020, by the Commission.

Christopher J. Kirkpatrick

Secretary of the Commission