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Summary of some CFTC Rules

Para 43 rules

Reporting and public disemination of certain swap transactions to enhance transparecy and price discovery

Scope of these rules:

1. Swaps subject to mandatory clearing requirement
2. Swaps that are not subjected to mandatory clearing requirement but are cleared at a registered derivatives clearing organisation
3. Swaps that are not cleared at a registered derivatives clearing organisation but are reported to a swap data depository
4. Swaps that are required to be cleared but are not cleared

Some acronyms used in the document

1. "SD" stands for Swap Dealers
2. "MSP" stands for Major Swap Participants
3. "ECP" stands for Eligible Contract Participants
4. "SDR" stands for Swap Data Depository
5. "SEF" stands for Swap Execution Facility
6. "DCA" stands for Designated Contract Markets
7. "UPI" stands for Unique Product Identifier

Some definitions under these rules

Parties to a swap

1. Swap Dealers
2. Major Swap Participants
3. Eligible Contract Participants

Major currencies and cross currencies as per the rules

1. Australian Dollar
2. Canadian Dollar
3. Danish Krone
4. New Zealand Dollar
5. Norwegian Krone
6. South African Rand
7. South Korean Won
8. Swedish Kroner
9. Swiss Franc

Publicly reportable swap transactions
Any executed swap that is an arm's length transaction between two parties that results in a corresponding change in the market position between the two parties, or any of the following:

• Termination
• Assignment
• Novation
• Exchange transfer
• Amendment
• Conveyance
• Extinguishing of rights and obligations of a swap that changes the pricing of the swap.

Non-publicly reportable swap transaction

1. Internal swap between 100% owned subsidiaries of the same parent entity; and
2. Portfolio compression exercices

Real-time public reporting
It means the reporting of data related to a swap transaction, including price and volume, as soon as technologically practicable after the time at which the swap transaction has been executed.


Super Major Currencies

1. Euro
2. Great Britain Pound
3. Japanese Yen
4. United States Dollar

Trimmed Data Set
It means a data set that has had extraordinary large notional transactions removed by transforming the data into logarithm with a base of 10, computing the mean, and excluding transactions beyond four standard deviations above the mean.



Real Time Public Reporting

In general:
A reporting party shall report any publicly reportable swap transaction to a registered swap data repository as soon as technically possible/practicable. This is irrespective of whether the swap is executed bilaterally or on a swap execution platform.

For swaps not executed on SEF:
All off-facility swaps shall be reported by the reporting party as soon as technologically practicable following execution as per the below rules.

Type	Who should report
If only one party is a SD or MSD while the counterparty is a ECP	SD or MSP should report
If one party is a SD and the counterparty is a MSP	SD should report
If both parties are SD	SDs should designate which party shall be the reporting party
If both parties are MSP	MSPs shall designate which party shall be the reporting party
If neither party is a SD or MSP	The parties (ECPs) shall designate which party (or its agent) shall be the reporting party.

For swaps executed on SEF:
The SEF or DCA should report to the registered Swap Data Repository as soon as technologically possible.


Prohibition on disclosure of data
Registered swap execution facilities, designated contract markets, swap dealers and major swap participants shall not disclose swap transaction and pricing data related to publicly reportable swap transactions prior to the public dissemination of such data by a registered swap data repository unless:

1. Such disclosure is made no earlier than the transmittal of data to a registered swap market data repository.
2. Such disclosure is only made to market participants on such registered swap execution facility or designated contract markets.
3. Market participants are provided advance notice of such disclosure; and
4. Any such disclosure by the registered swap execution facility or designated contract market is non-discriminatory

Availability of swap transactions and pricing data to the public

• Registered swap data depositories shall publicly disseminate swap transactions and pricing data in a consistent, usable and machine-readable electronic format that allows the data to be downloaded, saved and analyzed.
• Data that is publicly disseminated shall be available from an Internet Website in a format that is freely available and readily accessible to the public
• Registered swap data repositories shall provide to the commission a hyperlink to the Internet Website where publicly disseminated swap transactions and pricing data can be accessed by the public.
• In general, any errors or ommissions in swap transactions and pricing data shall be corrected or cancelled as soon as possible.

Timestamp Requirements

If the swap is executed on a SEF/DCA:
The SEF or DCA shall timestamp swap transactions and pricing data with the date and time to the nearest second as soon as:

• It receives the data from the swap counterparties
• Transmits such data to a registered swap data repository

If the swap is executed bilaterally (off-facility swap) and reported to a SDR
The SD or MSP shall timestamp swap transaction and pricing data to the nearest second at the time of transmitting such data to the SDR.

When the data is received by SDR
The SDR shall timestamp when:

• It receives data from a SEF, DCA or reporting party; and
• Publicly disseminates such data

Rules on what needs to be disclosed and not disclosed

1. In general, only swap transactions and pricing information shall be reported to a SDR.
2. The data shall not disclose the identities of the parties to the swap or otherwise facilitate the identification of parties to a swap
3. The data should include the actual description of the underlying assets.
4. The data should contain UPI.
5. The notional and principal amounts should be rounded as follows:
1. If it is less than 1,000, it should be rounded to nearest five;
2. If it is more than 1,000 but less than 10,000, it should be rounded to nearest 100
3. If it is more than 10,000 but less than 100,000, it should be rounded to the nearest 1,000
4. If it is more than 100,000 but less than 1 million, it should be rounded to nearest 10,000
5. If it is more than 1 million but less than 100 million, it should be rounded to the nearest 1 million.
6. If it is more than 100 million but less than 500 million, it should be rounded to the nearest 10 million
7. If it is more than 500 million but less than 1 billion, it should be rounded to the nearest 50 million
8. If it is more than 1 billion but less than 100 billion, it should be rounded to the nearest 1 billion
9. If it is more than 100 billion, it should be rounded to the nearest 50 billion


6. There are rules on disclosure requirements based on the size of the notional or principal amounts of swaps. In essence, not all swap data need to be publicly disclosed by the SDR. Only some swaps whose notional or principal amounts vis-a-vis their tenor are within a certain range are required to be publicly disclosed. These rules are called as "Cap Size" rules. There are "Initial Cap Size" rules and "Post-Initial Cap Size" rules. The following are the swaps the information on which needs to be publicly disseminated as per the "Initial Cap Size" rules.
   
   For Interest Rate Swaps
   
   1. For USD 250 million and above with a tenor greater than 0 and up to and including 2 years.
   2. From USD 100 million and up to USD 250 million with a tenor greater than 2 years and up to and including 10 years; and
   3. From USD 75 million and up to 100 million with a tenor greater than 10 years
   
   For Credit Asset class swaps
   
   1. USD 100 million and above
   
   For Equity asset class swaps
   
   1. USD 250 million and above
   
   For Foreign Exchange asset class
   
   1. USD 250 million an dbaove
   
   For swaps in other commodities asset classes
   1. USD 250 million and above


7. CFTC shall establish post-initial cap size rules, from time to time, using reliable data collected by SDR, based on the following:
1. A one year window of swap transactions and pricing data corresponding to each relevant swap category recalculated no less than one each calendar year; and
2. The 75% notional amount calculation applied on Initial Cap Size rules, mentioned above


8. Public dissemination of publicly reportable swap transactions may be subject to a time delay as per the following rules.
1. Reporting should be no later than the prescribed time delay
2. Reporting should be no sooner than the prescribed time delay
3. Reporting should be precisely upon the expiration of the time delay period
4. For swaps executed on registered SEF/DCA, time delay as per rules set in 43.5(d)
• During year 1, 30 minutes from execution time
• After year 1, 15 minutes from execution time


5. For off-facility swaps subject to mandatory clearing requirement, time delay as per rules set in 43.5(e)

If at least one party is a SD or MSP

• During year 1, 30 minutes from execution
• After year 1, 15 minutes from execution

If neither party is a SD or MSP

• During year 1, 4 hours from execution
• During year 1, 2 hours from execution
• After year 3, 1 hour from execution


6. For off-facility swaps in interest rate, credit, foreign exchange and equity asset classes not subject to the clearing requirement with at least one SD or MSP, time delay as per rules set in 43.5(f)
• During year 1, 1 hour from execution
• During year 2, 30 minutes from execution
• After year 2, 30 minutes from execution


7. For off-facility swaps in other commodity asset class not subject to the mandatory clearing requirement, time delay as per rules set in 43.5(g)
• During year 1, 4 hours from execution
• During year 2, 2 hours from execution
• After year 2, 2 hours from execution


8. For off-facility swaps in all asset classes subject to the mandatory clearing requirement in which neither party is a SD or MSP, time delay as per rules set in 43.5(h)
• During year 1, 48 business hours after execution
• During year 2, 36 business hours after execution
• During year 3, 24 hours after execution


9. For block trades executed on SEF/DCA, the following is the time delay.
• During year 1, 30 minutes from execution time
• After year 1, 15 minutes from execution time

Data Fields for Public Dissemination

Sl No	Field	Description	Example	Data Application
1	Cancellation	An indication that a publicly reportable swap transaction has been incorrectly or errorneously publicly disseminated and is cancelled. There shall be a clear indication to the public that the publicly reportable swap transaction is being cancelled (e.g. CANCEL) followed by the swap transaction pricing data that is being cancelled in the same form and manner that it was errorneously reported. Any cancellation should be made in accordance with 43.3(e). If a publicly reportable swap transaction is cancelled, it may be corrected by reporting the "Correction" data field and the correct information.	CANCEL............ (e.g. the information is being cancelled in accordance with 43.3(c)	Information is needed to inform market participants and the public that swap transactions and pricing data was errorneously disseminated to the public.
2	Correction	An indication that the swap transaction and pricing data that is being publicly disseminated is a correction to previsouly publicly disseminated swap data that contained an error or omission. In order for a correction to occur, the registered swap data repository that accepts and publicly disseminates swap transactions and pricing data shall first cancel the incorrectly reported swap transaction and pricing data and the follow such cancellation with the correction. There shall be a clear indication to the public that the swap transaction and pricing data that is being reported is correction (e.g. "CORRECT"). Any corrections should be made in accordance with 43.3(e)	CORRECT............... (e.g. the information is a correction to a previously reported swap).	Information needed to inform market participants and the public that a particular publicly reportable swap transactions that is being reported is a correction to swap transaction and pricing data that has previously been publicly disseminated by a registered swap data repository.
3	Execution timestamp	The time and data of execution of the publicly reportable swap transaction is Coordinated Universal Time (UTC). The timestamp shall be displayed with two digits for each of the hour, minute and second, or in such other manner that clearly publicly disseminates the information.	13-10-2007; 15:25:47 (e.g. the date October 13, 2007) and time is UTC (15:25:47)	Information needed to indicate the time and date of execution of the publicly reportable swap transaction
4	Cleared or Uncleared	An indication of whether or not a publicly reportable swap transaction is going to be cleared by a derivatives clearing organisation. If the publicly reportable swap transaction is cleared by a derivatives clearing organisation, a "C" may be used and if un-cleared a "U" may be used.	C.............. (e.g. cleared)	Information needed to indicate whether or not a publicly reportable swap transaction is cleared through a derivatives clearing organisation.
5	Indication of collateralization	If a swap is not cleared, an indication of whether a swap is (A) Uncollateralized - there is no credit arrangement between the parties or the agreement between the parties of an un-cleared swap states that no collateral (neither initial margin or variation margin) has to be psted at any time; (B) Partially Collateralized - the agreement between the parties states that both parties will regularly post variation margin; (C) One Way Collateralized - the agreement between the parties of an un-cleared swap states that only one party to such swap agrees to post initial margin, regularly post variation margin or both; or (D) Fully Collateralized - the agreement between the parties of an un-cleared swap states that initial margin must be posted and variation margin must be regularly posted by both parties.	PC.............. (e.g. partially collateralized)	Information needed to provide information regarding differences in prices in un-cleared swaps.
6	Indication of end-user exception	An indication of whether a party to a swap is using end-user exception pursuant to CEA Section 2(h)(7) and Commission regulations.	EU................. (e.g. swap is not required to be cleared under CEA Section 2(h)(7) and Commission reglations).	Information needed to indicate the reasons why a swap that would otherwise be subject to mandatory clearing is not being cleared and to help market participants and the public evaluate the price of the publicly reportable swap transactions.
7	Indication of other price affecting term (indication for non-standardized (bespoke) swaps.	An indication that the publicly reportable swap transaction has one or more additional term(s) or provision(s), or other than those listed in the required real-time data fields that materially affect(s) the price of the publicly reprotable swap transaction. Publicly reportable swap transactions are reportable with this designation would be non-standardized (bespoke) swaps.	B*................. (e.g. bespoke swap that has a material price affecting term that is not otherwise publicly disseminated)	Information needed to indicate whether a publicly reportable swap transaction is non-standardized (bespoke) and to inform the public that there are one or more additional term(s) or provision(s) that materially affect the price of the publicly reportable swap transaction.
8	Block trades and large notional off-facility swaps	An indication of whether a publicly reportable swap transaction is a block trade or large notional off-facility swap. If a publicly reportable swap transaction is a block trade or a large notional off-facility swap and subject to a time delay in real time public reporting pursuant to Sec 43.5, such block trades or large notional off-facility swap may be indicated as follows: Block trade or large notional off-facility swap ("BLK"). If a trade is not a block trade or large notional off-facility swap, then no indication would be publicly disseminated.	BLK................ (e.g. swap is block trade or large notional off-facility swap)	Information needed to indicate whether a pulicly reportable swap transaction is a block trade or a large notional off-facility swap. This information is important since it will alert market participants and the public to the differences in notional or principal amount and the time delay in the public dissemination of the swap transaction and pricing data.
9	Execution venue	An indication of the venue of execution of a publicly reportable swap transaction. The specific name of a registered swap execution facility or designated contract market need not be reported; however, an indication of whether the publicly reportable swap transactions is executed on or pursuant to the rules of a registered swap execution facility or designated contract market or is executed as an off-facility swap.	OFF................. (e.g. off-facility swap)	Information needed to indicate whether a publicly reportable swap transaction is executed or an off-facility swap or as a blcok trade or large notional off-facility swap.
10	Effective or Start date	The date that the pubicly reportable swap transaction becomes effective or starts	20-02-2009........... e.g. February 20, 2009)	Information needed to indicate when the terms of the publicly reportable swap transaction become effective or start.
11	End Date	The maturity, termination or end date of the publicly reportable swap transaction. The time between the Effective or Start Date and End Date field will indicate the tenor of the swap.	04-02-2014.............. (e.g. February 4, 2014)	Information needed to determine the end month and year of the publicly reportable swap transaction and to help market participants and the public evaluate the price of the reportable swap transaction.
12	Day count convention	The determination of how interest accrues over time for the swap	Actual/360............. (e.g. day count convention uses Actual/360 day count fraction).	Information needed to better inform market participants and the public about the price of the swap
13	Settlement currency (i.e. value date)	The settlement currency type for publicly reportable swap transactions is the foreign exchagne asset class.	Settle JPY.............. (e.g. the foreign exchange swap is settled in Japanese Yen)	Information needed to inform market participants and the public about how to price the publicly reportable swap transactions
14	Asset class	An indication of one of the broad categories as described in 43.2	IR............... (e.g. Interest Rate asset class)	Information needed to broadly describe the underlying asset to facilitate comparision with other similar publicly reportable swap transactions.
15	Sub-asset class for other commodity	An indication of a more specific description of the asset class for other commodities. Such sub-asset classes for other commodity publicly reportable swap transactions may include, but are not limited to energy, precious metals, metals-others, agriculture, weather, emissions and volatility	AG................ (e.g. Agriculture)	Information needed to define with greater specificity, the type of other commodity that is being publicly disseminated and to faciliate comparison with other similar publicly reportable swap transactions.
16	Contract type	An indication of one of four specific contract types of publicly reportable swap transactions. Such contract types may include but are not limited to: Swap, Swaptions and stand-alone options.	S............. (e.g. Swap)	Information needed to describe the publicly reportable swap transaction and to be able to compare such publicly reportable swap transaction to other similar publicly reportable swap transactions.
17	Contract sub-type	An indication of more specifically into the type of contract described in the contract type field. Such contract types may include, but are not limited to, basis swaps, index swaps, broad-based security swaps and basket swaps.	SS................ (e.g. basis swap)	Information needed to define with greater specificity, the type of contract that is being publicly disseminated and to facilitate comparision with other similar publicly reportable swap transactions.
18	Price-forming continuation data	An indication of whether such publicly reportable swap transactions is a post-execution event that effects the price of the publicly reportable swap transaction. Such price forming continuation data may include: Terminations, assignments, novations, exchanges, transfers, amendments, conveyances or extinguishing of rights that change the price of the swap.	NOV.............. (e.g. novation)	Information needed to describe whether the reportable swap transaction is a post-execution event for a pre-existing swap (i.e. not a newly executed swap) that materially affects the price of the publicly reportable swap transaction.
19	Underlying asset 1	The asset, reference asset or reference obligation for payments of a party's obligations under the publicly reportable swap transaction reference. The underlying asset may be a reference price, index, obligation, physical commodity with delivery point, futures contract or any other rate or instrument agreed to by the parties to a publicly reportable swap transaction. If there are more than two underlying assets, such underlying assets shall be reported to in the same manner as above.	TX............... (e.g. TX may represent "Treasury 10 year")	Information needed to describe the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
20	Underlying asset 2	The asset, reference asset or reference obligation for payments of a party's obligations under the publicly reportable swap transaction reference. The underlying asset may be a reference price, index, obligation, physical commodity with delivery point, futures contract or any other rate or instrument agreed to by the parties to a publicly reportable swap transaction. If there are more than two underlying assets, such underlying assets shall be reported to in the same manner as above.	IIIL............... (e.g. IIIL may represent 3-month LIBOR	Information needed to describe the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
21	Price notation	The price, yield, spread, coupon, etc., depending on the type of swap, which is calculated at affirmation. The pricing characteristics shall not include any premiums associated with margins, collateral, independent amounts, reconcilable post-execution events, options on a swap, or other non-economic charateristics. The format in which the pricing characteristics is real-time reported to the public shall be the format commonly sought by market participants for each particular market or contract.	162................ (e.g. 162 may indicate the spread for a credit default swap index)	Information needed to describe the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
22	Additional price	The additional price notation shall include any premiums associated with reconcilable post execution events, the presence of collateral, front-end payments, back-end payments, or other non-economic characteristics (e.g. counterparty credit risk) not illustrated in the reporting field for pricing characteristics. The additional price notation shall not include options as they are reported elsewhere. The additional price notation shall be publicly disseminated as an addition or substraction of the pricing characteristics and in a way commonly sought by market participants for each particular market or contract.	+0.25.................... (e.g. +0.25 would indicate the net present value of the premiums separated from the price notataion)	Additional information needed to describe the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
23	Unique product identifier	Certain fields may be replaced with a unique product identifier, if such unique identifer exists, to the extent that such unique product identifier adequately describes such fields.	12345..................... (e.g. 12345 may represent a 10 year interest rate swap based on 3 month LIBOR)	Information needed to describe the publicly reportable swap transaction and enable market participants and the public to compare such publicly reportable swap transactions to other similar publicly reportable swap transactions. such information would substitute the information described in one or more reportable fields in accordance with § 43.4(e).
24	Notional currency 1 (i.e. base currency)	An indication of the type of currency of the notional or principal amount. The notional currency may be reported in a commonly accepted code (e.g. the three character alphabetic ISO 4217 currency code).	EUR....................... (e.g. Euro)	Information needed to describe the type of currency of the notional or principal amount.
25	Rounded notional or principal amount 1	The total rounded currency amount or quantity of units of the underlying asset. The notional or principal amounts for publicly reportable swap transactions, including block trades and large notional off-facility swaps, shall be reported and rounded amounts shall be publicly disseminated pursuant § 43.4	200......................... (e.g. 200 may represent 200 million of the notional currency 1)	Information needed to identify the size of the publicly reportable swap transactions and to help evaluate the price of the publicly reportable swap transaction.
26	Notional currency 2 (i.e. counter currency)	An indication of the type of currency of the notional or principal amount. The notional currency may be reported in a commonly accepted code (e.g. the three character alphabetic ISO 4217 currency code)	USD.................... (e.g. U.S. Dollar)	Information needed to describe the type of currency of the notional or principal amount
27	Rounded notional or principal amount 2	The total rounded currency amount or quantity of units of the underlying asset. The notional or principal amounts for the publicly reportable swap transactions, including block trades and large notional off-facility swaps, shall be reported and rounded amounts shall be publicly disseminated purusant to § 43.4 Each notional or principal amount (if there is more than one) should be labeled (e.g. 1,2,3, etc) such that the number corresponds to the underlying asset for which the notional or principal amount is applicable. If there are more than two notional or principal amounts, then each additional notional or principal shall be reported in the same manner.	45.................... (e.g. 45 may represent 45 million of the notional currency 2)	Information needed to identify the size of the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
28	Payment frequency 1	An integer multiplier of a time period describing how often the parties to the publicly reportable swap transaction exchange payments associated with each party's obligation under the publicly reportable swap transaction. Such payment frequency may be described as one letter preceded by an integer.	2M...................... (e.g. payment would occur every two months)	Information needed to identify the pricing characteristics of the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
29	Payment frequency 2	An integer multiplier of a time period describing how often the parties to the publicly reportable swap transactions exchange payments associated with each party's obligation under the publicly reportable swap transaction. Such payment frequency may be described as one letter preceeded by an integer. Each payment frequency (if there is more than one) should be labeled (e.g. 1,2,3, etc.) such that the number corresponds to the underlying asset for which the payment frequency is applicable. If there are more than two payment frequencies, then each additional payment frequency shall be reported in the same manner.	6W..................... (e.g. payment would occur every six weeks)	Information needed to identify the pricing characteristics of the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.
30	Reset frequence	An integer multiplier of a period describing how often the parties to the publicly reportable swap transaction shall evaluate and, when applicable, change the price used for the underlying assets of the publicly reportable swap transactions. Such reset frequency may be described as one letter preceeded by an integer.	1 Y...................... (e.g. reset occurs every year)	Information needed to identify the pricing characteristic of the publicly reportable swap transaction and to help market participants and the public evaluate the price of the publicly reportable swap transaction.

END OF MY NOTES