PART 43—REAL-TIME PUBLIC REPORTING Authority: 7 U.S.C. 2(a), 12a(5) and 24a, as amended by Pub. L. 111-203, 124 Stat. 1376 (2010). Source: 76 FR 1243, Jan. 9, 2012, unless otherwise noted. § 43.1 Purpose, scope, and rules of construction. (a) Purpose. (b) Rules of construction. [76 FR 1243, Jan. 9, 2012, as amended at 85 FR 75476, Nov. 25, 2020] § 43.2 Definitions. (a) Definitions. Appropriate minimum block size As soon as technologically practicable Asset class Block trade (1) Involves a swap that is listed on a swap execution facility or designated contract market; (2) Is executed on a swap execution facility's trading system or platform that is not an order book as defined in § 37.3(a)(3) of this chapter, or occurs away from the 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; (3) Has a notional or principal amount at or above the appropriate minimum block size applicable to such swap; and (4) 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. Business day Business hours Cap size Economically related Embedded option Execution Execution date Futures-related swap Large notional off-facility swap Major currencies Mirror swap (1) To which— (i) A prime broker is a counterparty; or (ii) 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: (i) That a mirror swap, but not the corresponding trigger swap, may include any associated prime brokerage service fees agreed to by the parties; and (ii) As provided in paragraph (5) 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 contractually agreed payments and delivery amounts under a mirror swap may differ from those amounts of the corresponding trigger swap if: (i) Under all such mirror swaps to which the prime broker that is a counterparty to the trigger swap is also a counterparty, the aggregate contractually agreed payments and delivery amounts shall be equal to the aggregate of the contractually agreed payments and delivery amounts under the corresponding trigger swap; and (ii) The market risk and contractually agreed payments and delivery amounts 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, resulting in such prime broker having a flat market risk position at the execution of such mirror swaps. Non-major currencies Novation Off-facility swap Other commodity Physical commodity swap Post-priced swap Pricing event Prime broker Prime broker swap Prime brokerage agency arrangement Prime brokerage agent Public dissemination and publicly disseminate Publicly reportable swap transaction (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. (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; (ii) Portfolio compression exercises; and (iii) Swaps entered into by a derivatives clearing organization as part of managing the default of a clearing member. (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 Reporting counterparty Super-major currencies Swap execution facility Swap transaction and pricing data Swaps with composite reference prices Trigger swap (1) That is executed pursuant to one or more prime brokerage agency arrangements; (2) To which one 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. A prime broker swap executed on or pursuant to the rules of a swap execution facility or designated contract market shall be treated as the trigger swap for purposes of this part. Trimmed data set (b) Other defined terms. [85 FR 75476, Nov. 25, 2020] § 43.3 Method and timing for real-time public reporting. (a) Responsibilities to report swap transaction and pricing data in real-time In general. (2) Swaps executed on or pursuant to the rules of a swap execution facility or designated contract market. (3) Off-facility swaps. (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 the swap dealers shall designate which party shall be the reporting counterparty prior to execution of such swap; (iv) If both parties are major swap participants, then the major swap participants shall designate which party shall be the reporting counterparty prior to execution of such swap; and (v) If neither party is a swap dealer or a major swap participant, then the parties shall designate which party shall be the reporting counterparty prior to execution of such swap. (4) Post-priced swaps Post-priced swaps reporting delays. (ii) Other economic terms. (5) Clearing swaps. (6) Prime broker swaps. (ii) With respect to a given set of swaps, if it is unclear which is, or are the mirror swap(s) 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), or if under the prime brokerage agency arrangement, the trigger swap would occur between two prime brokers, the prime broker(s) shall determine which of the prime broker swaps shall be treated as the trigger swap and which are mirror swaps. (iii) Trigger swaps shall be reported in accordance with the following: (A) Trigger swaps executed on or pursuant to the rules of a swap execution facility or designated contract market shall be reported pursuant to paragraph (a)(2) of this section; and (B) Off-facility trigger swaps shall be reported pursuant to paragraph (a)(3) of this section, except that if a counterparty to a trigger swap is a swap dealer that is not a prime broker with respect to that trigger swap, then that swap dealer counterparty shall be the reporting counterparty for the trigger swap. (7) Third-party facilitation of data reporting. (b) Public dissemination of swap transaction and pricing data by swap data repositories in real-time In general. (2) Compliance with 17 CFR part 49. (3) Prohibitions on disclosure of data. (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; (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 non-discriminatory. (4) Acceptance and public dissemination of all swaps in an asset class. (5) Annual independent review. (c) Availability of swap transaction and pricing data to the public. (2) Swap transaction and pricing data that is publicly disseminated pursuant to this paragraph shall be made available free of charge. (d) Data reported to swap data repositories. (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) Correction of errors Swap execution facilities, designated contract markets, and reporting counterparties. (i) Timing requirement for correcting errors. (ii) Notification of failure to timely correct. (iii) Form and manner for error correction. (2) Non-reporting counterparties. (3) Exception. (4) Error defined Errors. (A) Any of the swap transaction and pricing data for a swap reported to a swap data repository is incorrect or any of the swap transaction and pricing data that is maintained by a swap data repository differs from any of the relevant swap transaction and pricing data contained in the books and records of a party to the swap. (B) Any of the swap transaction and pricing data for a swap that is required to be reported to a swap data repository or to be maintained by a swap data repository is not reported to a swap data repository or is not maintained by the swap data repository as required by this part. (C) None of the swap transaction and pricing data for a swap that is required to be reported to a swap data repository or to be maintained by a swap data repository is reported to a swap data repository or is maintained by a swap data repository. (D) Any of the swap transaction and pricing data for a swap that is no longer an open swap is maintained by the swap data repository as if the swap is still an open swap. (ii) Presumption. (f) Data validation acceptance message. (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. [76 FR 1243, Jan. 9, 2012, as amended at 85 FR 75478, 75653, Nov. 25, 2020; 89 FR 71812, Sept. 4, 2024] § 43.4 Swap transaction and pricing data to be publicly disseminated in real-time. (a) Public dissemination of data fields. (b) Additional swap information. (c) Anonymity of the parties to a publicly reportable swap transaction In general. (2) Actual product description reported to swap data repository. (3) Public dissemination of the actual description of underlying asset(s). (4) Public dissemination of the underlying asset(s) for certain swaps in the other commodity asset class. (i) A swap data repository shall publicly disseminate swap transaction and pricing data for publicly reportable swap transactions in the other commodity asset class in the manner described in paragraphs (c)(4)(ii) and (iii) of this section. (ii) The actual underlying asset(s) shall be publicly disseminated for the following publicly reportable swap transactions in the other commodity asset class: (A) Any publicly reportable swap transaction that references one of the contracts described in appendix B to this part; (B) Any publicly reportable swap transaction that is economically related to one of the contracts described in appendix B of this part; or (C) Any publicly reportable swap transaction executed on or pursuant to the rules of a swap execution facility or designated contract market. (iii) The underlying assets of swaps in the other commodity asset class that are not described in paragraph (c)(4)(ii) of this section shall be publicly disseminated 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 E of this part. (d) Reporting of notional or principal amounts to a swap data repository Off-facility swaps. (2) Swaps executed on or pursuant to the rules of a swap execution facility or designated contract market. (ii) The actual notional or principal amount for any block trade executed on or pursuant to the rules of a swap execution facility or designated contract market shall be reported to the swap execution facility or designated contract market pursuant to the rules of the swap execution facility of designated contract market. (e) Public dissemination of notional or principal amounts. (f) Process to determine appropriate rounded notional or principal amounts. (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; (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) Initial cap sizes. (1) For swaps in the interest rate asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be: (i) USD 250 million for swaps with a tenor greater than zero up to and including two years; (ii) USD 100 million for swaps with a tenor greater than two years up to and including ten years; and (iii) USD 75 million for swaps with a tenor greater than ten years. (2) For swaps in the credit asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 100 million. (3) For swaps in the equity asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 250 million. (4) For swaps in the foreign exchange asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 250 million. (5) For swaps in the other commodity asset class, the publicly disseminated notional or principal amount for a swap subject to the rules in this part shall be USD 25 million. (h) Post-initial cap sizes. (2) The Commission shall determine post-initial cap sizes for the swap categories described in paragraphs (c)(1)(i), (c)(2)(i) through (xii), (c)(4)(i), and (c)(5)(i) of § 43.6 by utilizing reliable data collected by swap data repositories, as determined by the Commission, based on paragraphs (h)(2)(i) and (ii) of this section. If the Commission is unable to determine a cap size for any swap category described in § 43.6(c)(1)(i), the Commission shall assign a cap size of USD 100 million to such category. (i) A one-year window of swap transaction and pricing data 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(d)(2). (3) The Commission shall determine the post-initial cap size for a swap category in the foreign exchange asset class described in § 43.6(c)(4)(ii) as the lower of the notional amount of either currency's cap size for the swap category described in § 43.6(c)(4)(i). (4) All swaps or instruments in the swap category described in § 43.6(c)(1)(ii) shall have a cap size of USD 100 million. (5) All swaps or instruments in the swap category described in § 43.6(c)(2)(xiii) shall have a cap size of USD 400 million. (6) All swaps or instruments in the swap category described in § 43.6(c)(3) shall have a cap size of USD 250 million. (7) All swaps or instruments in the swap category described in § 43.6(c)(4)(iii) shall have a cap size of USD 150 million. (8) All swaps or instruments in the swap category described in § 43.6(c)(5)(ii) shall have a cap size of USD 100 million. (9) The Commission shall publish post-initial cap sizes on its website at http://www.cftc.gov. (10) Unless otherwise indicated on the Commission's website, the post-initial cap sizes shall be effective on the first day of the second month following the date of publication of the revised cap size. [85 FR 75479, Nov. 25, 2020] § 43.5 Time delays for public dissemination of swap transaction and pricing data. (a) In general. (b) Public dissemination of publicly reportable swap transactions subject to a time delay. (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. (c) [Reserved] (d) Time delay for block trades executed on or pursuant to the rules of a swap execution facility or designated contract market. (1) [Reserved] (2) The time delay for public dissemination of swap transaction and pricing data for all publicly reportable swap transactions described in this paragraph (d) shall be 15 minutes immediately after execution of such publicly reportable swap transaction. (e) Time delay for large notional off-facility swaps subject to the mandatory clearing requirement In general. (2) Swaps subject to the mandatory clearing requirement where at least one party is a swap dealer or major swap participant. (i) [Reserved] (ii) The time delay for public dissemination of swap transaction and pricing data for all swaps described in this paragraph (e)(2) shall be 15 minutes immediately after execution of such swap. (3) Swaps subject to the mandatory clearing requirement where neither party is a swap dealer or major swap participant. (i)-(ii) [Reserved] (iii) The time delay for public dissemination of swap transaction and pricing data for all swaps described in this paragraph (e)(3) shall be one hour immediately after execution of such swap. (f) Time delay for large notional off-facility swaps in the interest rate, credit, foreign exchange or equity asset classes not subject to the mandatory clearing requirement with at least one swap dealer or major swap participant counterparty. (1)-(2) [Reserved] (3) The time delay for public dissemination of swap transaction and pricing data for all swaps described in this paragraph (f) shall be 30 minutes immediately after execution of such swap. (g) Time delay for large notional off-facility swaps in the other commodity asset class not subject to the mandatory clearing requirement with at least one swap dealer or major swap participant counterparty. (1)-(2) [Reserved] (3) The time delay for public dissemination of swap transaction and pricing data for all swaps described in this paragraph (g) shall be two hours after the execution of such swap. (h) Time delay for large notional off-facility swaps in all asset classes not subject to the mandatory clearing requirement in which neither counterparty is a swap dealer or a major swap participant. (1)-(2) [Reserved] (3) The time delay for public dissemination transaction and pricing data for all swaps described in this paragraph (h) shall be 24 business hours immediately after the execution of such swap. [85 FR 75481, Nov. 25, 2020] § 43.6 Block trades and large notional off-facility swaps. (a) Commission determination. (b) Initial swap categories. (1) Interest rates asset class. (i) Currency by: (A) Super-major currency; (B) Major currency; or (C) Non-major currency; and (ii) Tenor of swap as follows: (A) Zero to 46 days; (B) Greater than 46 days to three months (47 to 107 days); (C) Greater than three months to six months (108 to 198 days); (D) Greater than six months to one year (199 to 381 days); (E) Greater than one to two years (382 to 746 days); (F) Greater than two to five years (747 to 1,842 days); (G) Greater than five to ten years (1,843 to 3,668 days); (H) Greater than ten to 30 years (3,669 to 10,973 days); or (I) Greater than 30 years (10,974 days and above). (2) Credit asset class. (i) Traded Spread rounded to the nearest basis point (0.01) as follows: (A) 0 to 175 points; (B) 176 to 350 points; or (C) 351 points and above; (ii) Tenor of swap as follows: (A) Zero to two years (0-746 days); (B) Greater than two to four years (747-1,476 days); (C) Greater than four to six years (1,477-2,207 days); (D) Greater than six to eight-and-a-half years (2,208-3,120 days); (E) Greater than eight-and-a-half to 12.5 years (3,121-4,581 days); and (F) Greater than 12.5 years (4,582 days and above). (3) Equity asset class. (4) Foreign exchange asset class. (i) By the unique currency combinations of one super-major currency paired with one of the following: (A) Another super major currency; (B) A major currency; or (C) A currency of Brazil, China, Czech Republic, Hungary, Israel, Mexico, Poland, Russia, and Turkey; or (ii) By unique currency combinations not included in paragraph (b)(4)(i) of this section. (5) Other commodity asset class. (i) For swaps that are economically related to contracts in appendix B of this part, by the relevant contract as referenced in appendix B of this part; or (ii) For swaps that are not economically related to contracts in appendix B of this part, by the following futures-related swaps: (A) CME Cheese; (B) CBOT Distillers' Dried Grain; (C) CBOT Dow Jones-UBS Commodity Index; (D) CBOT Ethanol; (E) CME Frost Index; (F) CME Goldman Sachs Commodity Index (GSCI), (GSCI Excess Return Index); (G) NYMEX Gulf Coast Sour Crude Oil; (H) CME Hurricane Index; (I) CME Rainfall Index; (J) CME Snowfall Index; (K) CME Temperature Index; (L) CME U.S. Dollar Cash Settled Crude Palm Oil; or (iii) For swaps that are not covered in paragraphs (b)(5)(i) and (b)(5)(ii) of this section, the relevant product type as referenced in appendix D of this part. (c) Post-initial swap categories. (1) Interest rate asset class. (i) Based on a unique combination of the following currencies and tenors: (A) A currency of one of the following countries or union: ( 1 ( 2 ( 3 ( 4 ( 5 ( 6 ( 7 ( 8 ( 9 ( 10 ( 11 ( 12 ( 13 ( 14 ( 15 (B) One of the following tenors: ( 1 ( 2 ( 3 ( 4 ( 5 ( 6 ( 7 ( 8 ( 9 (ii) Other interest rate swaps not covered in the paragraph (c)(1)(i) of this section. (2) Credit asset class. (i) Based on the CDXHY product type, without options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (ii) Based on the CDXHY product type, with only options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (iii) Based on the iTraxx Europe product type, without options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (iv) Based on the iTraxx Europe product type, with only options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (v) Based on the iTraxx Crossover product type, without options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (vi) Based on the iTraxx Crossover product type, with only options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (vii) Based on the iTraxx Senior Financials product type, without options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (viii) Based on the iTraxx Senior Financials product type, with only options and a tenor greater than 1,477 days and less than or equal to 2,207 days; (ix) Based on the CDXIG product type and a tenor greater, without options than 1,477 days and less than or equal to 2,207 days; (x) Based on the CDXIG product type with only options and a tenor greater, than 1,477 days and less than or equal to 2,207 days; (xi) Based on the CDXEmergingMarkets product type and a tenor greater than 1,477 days and less than or equal to 2,207 days; (xii) Based on the CMBX product type; and (xiii) Other credit swaps not covered in paragraphs (c)(2)(i)-(xii) of this section. (3) Equity asset class. (4) Foreign exchange asset class. (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. (iii) Other swap categories in the foreign exchange asset class not covered in paragraph (c)(4)(i) or (ii) of this section. (5) Other commodity asset class. (i) For swaps that have a physical commodity underlier listed in appendix D of this part, by the relevant physical commodity underlier; or (ii) Other commodity swaps that are not covered in paragraph (c)(5)(i) of this section. (d) Methodologies to determine appropriate minimum block sizes and cap sizes. (1) 67-percent notional amount calculation. (i) For each relevant swap category, select all reliable SDR data for at least a one-year 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; (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 (d)(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 (d)(1)(viii) of this section. (2) 75-percent notional amount calculation. (3) 50-percent notional amount calculation. (e) No appropriate minimum block sizes for swaps in the equity asset class. (f) Initial appropriate minimum block sizes. (1) Prescribed appropriate minimum block sizes. (2) Certain swaps in the foreign exchange and other commodity asset classes. (3) Exception. (g) Post-initial process to determine appropriate minimum block sizes Post-initial period. (2) Post-initial appropriate minimum block sizes for certain swaps. (3) Certain swaps in the foreign exchange asset class. (4) All swaps or instruments in the swap category described in paragraphs (c)(1)(ii), (c)(2)(xiii), (c)(4)(iii), and (c)(5)(ii) of this section shall have a block size of zero and be eligible to be treated as a block trade or large notional off-facility swap, as applicable. (5) Commission publication of post-initial appropriate minimum block sizes. http://www.cftc.gov. (6) Effective date of post-initial appropriate minimum block sizes. (h) Required notification Block trades entered into on a 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. (A) Is executed on the trading system or platform, that is not an order book as defined in § 37.3(a)(3) of this chapter of a swap execution facility, or pursuant to the rules of a swap execution facility or designated contract market; and (B) That has a notional amount at or above the appropriate minimum block size. (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(d). (2) Large notional off-facility swap election. (i) Special provisions relating to appropriate minimum block sizes and cap sizes. (1) Swaps with optionality. (2) Swaps with composite reference prices. (3) Notional amounts for physical commodity swaps. (4) Currency conversion. (5) Successor currencies. (i) Greater than $2 trillion, then the successor currency shall be included among the super-major currencies; (ii) Greater than $500 billion but less than $2 trillion, then the successor currency shall be included among the major currencies; or (iii) Less than $500 billion, then the successor currency shall be included among the non-major currencies. (6) Aggregation. (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; (B) Is an investment adviser who has discretionary trading authority or directs client accounts and satisfies the criteria of § 4.7(a)(6)(i)(G) of this chapter; or (C) Is a foreign person who performs a similar role or function as the persons described in paragraph (i)(6)(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 or large notional off-facility swap, as applicable, subject to the cap size thresholds; (iii) The aggregated orders are executed as one swap transaction; and (iv) Aggregation occurs on a designated contract market or swap execution facility if the swap is listed for trading by a designated contract market or swap execution facility. (j) Eligible block trade parties. (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)(6)(i)(G) of this chapter, or (iii) A foreign person who performs a similar role or function as the persons described in paragraph (j)(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. (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. [85 FR 75482, Nov. 25, 2020, as amended at 89 FR 78814, Sept. 26, 2024] § 43.7 Delegation of authority. (a) Authority. (1) To publish the technical specification providing the form and manner for reporting and publicly disseminating the swap transaction and pricing data elements in appendix A of this part as described in §§ 43.3(d)(1) and 43.4(a); (2) To determine cap sizes as described in § 43.4(g) and (h); (3) To determine whether swaps fall within specific swap categories as described in § 43.6(b) and (c); and (4) To determine and publish post-initial appropriate minimum block sizes as described in § 43.6(g). (b) Submission for Commission consideration. (c) Commission reserves authority. [78 FR 32940, May 31, 2013, as amended at 85 FR 75485, Nov. 25, 2020; 89 FR 71812, Sept. 4, 2024] Appendix A to Part 43—Swap Transaction and Pricing Data Elements [85 FR 75485, Nov. 25, 2020] Appendix B to Part 43—Enumerated Physical Commodity Contracts and Other Contracts Enumerated Physical Commodity Contracts Agriculture ICE Futures U.S. Cocoa ICE Futures U.S. Coffee C Chicago Board of Trade Corn ICE Futures U.S. Cotton No. 2 ICE Futures U.S. FCOJ-A Chicago Mercantile Exchange Live Cattle Chicago Board of Trade Oats Chicago Board of Trade Rough Rice Chicago Board of Trade Soybeans Chicago Board of Trade Soybean Meal Chicago Board of Trade Soybean Oil ICE Futures U.S. Sugar No. 11 ICE Futures U.S. Sugar No. 16 Chicago Board of Trade Wheat Minneapolis Grain Exchange Hard Red Spring Wheat Kansas City Board of Trade Hard Winter Wheat Chicago Mercantile Exchange Class III Milk Chicago Mercantile Exchange Feeder Cattle Chicago Mercantile Exchange Lean Hogs Metals Commodity Exchange, Inc. Copper New York Mercantile Exchange Palladium New York Mercantile Exchange Platinum Commodity Exchange, Inc. Gold Commodity Exchange, Inc. Silver Energy New York Mercantile Exchange Light Sweet Crude Oil New York Mercantile Exchange New York Harbor Gasoline Blendstock New York Mercantile Exchange Henry Hub Natural Gas New York Mercantile Exchange New York Harbor Heating Oil ICE Futures SP-15 Day-Ahead Peak Fixed Price ICE Futures SP-15 Day-Ahead Off-Peak Fixed Price ICE Futures PJM Western Hub Real Time Peak Fixed Price ICE Futures PJM Western Hub Real Time Off-Peak Fixed Price ICE Futures Mid-Columbia Day-Ahead Peak Fixed Price ICE Futures Mid-Columbia Day-Ahead Off-Peak Fixed Price Chicago Basis HSC Basis Socal Border Basis Waha Basis ICE Futures AB NIT Basis NWP Rockies Basis PG&E Citygate Basis Other Contracts Brent Crude Oil (ICE) [76 FR 1243, Jan. 9, 2012, as amended at 78 FR 32940, May 31, 2013] Appendix C to Part 43—Time Delays for Public Dissemination The tables below provide clarification of the time delays for public dissemination set forth in § 43.5. The first row of each table describes the asset classes to which each chart applies. The column entitled “Time Delay for Public Dissemination” indicates the precise length of time delay, starting upon execution, for the public dissemination of such swap transaction and pricing data by a swap data repository. Table C1. Block Trades Executed on or Pursuant to the Rules of a Swap Execution Facility or Designated Contract Market (Illustrating § 43.5(d)) All Asset Classes Time delay for public dissemination 15 minutes. Table C2. Large Notional Off-Facility Swaps Subject to the Mandatory Clearing Requirement With at Least One Swap Dealer or Major Swap Participant Counterparty (Illustrating § 43.5(e)(2)) Table C2 excludes off-facility swaps that are excepted from the mandatory clearing requirement pursuant to Section 2(h)(7) of the Act and Commission regulations and those off-facility swaps that are required to be cleared under Section 2(h)(2) of the Act and Commission regulations but are not cleared. All Asset Classes Time delay for public dissemination 15 minutes. Table C3. Large Notional Off-Facility Swaps Subject to the Mandatory Clearing Requirement in Which Neither Counterparty Is a Swap Dealer or Major Swap Participant (Illustrating § 43.5(e)(3)) Table C3 excludes off-facility swaps that are excepted from the mandatory clearing requirement pursuant to Section 2(h)(7) of the Act and Commission regulations and those swaps that are required to be cleared under Section 2(h)(2) of the Act and Commission regulations but are not cleared. All Asset Classes Time delay for public dissemination 1 hour. Table C4. Large Notional Off-Facility Swaps Not Subject to the Mandatory Clearing Requirement With at Least One Swap Dealer or Major Swap Participant Counterparty (Illustrating § 43.5(f)) Table C4 includes large notional off-facility swaps that are not subject to the mandatory clearing requirement or are exempt from such mandatory clearing requirement pursuant to Section 2(h)(7) of the Act and Commission regulations. Interest Rates, Credit, Foreign Exchange, Equity Asset Classes Time delay for public dissemination 30 minutes. Table C5. Large Notional Off-Facility Swaps Not Subject to the Mandatory Clearing Requirement With at Least One Swap Dealer or Major Swap Participant Counterparty (Illustrating § 43.5(g)) Table C5 includes large notional off-facility swaps that are not subject to the mandatory clearing requirement or are excepted from such mandatory clearing requirement pursuant to Section 2(h)(7) of the Act and Commission regulations. Other Commodity Asset Class Time delay for public dissemination 2 hours. Table C6. Large Notional Off-Facility Swaps Not Subject to the Mandatory Clearing Requirement in Which Neither Counterparty Is a Swap Dealer or Major Swap Participant (Illustrating § 43.5(h)) Table C6 includes large notional off-facility swaps that are not subject to the mandatory clearing requirement or are exempt from such mandatory clearing requirement pursuant to Section 2(h)(7) of the Act and Commission regulations. All Asset Classes Time delay for public dissemination 24 business hours. [85 FR 75495, Nov. 25, 2020] Appendix D to Part 43—Other Commodity Swap Categories 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 Sugar Cotton Soymeal Soybean oil Cattle Hogs [85 FR 75496, Nov. 25, 2020] Appendix E to Part 43—Other Commodity Geographic Identification for Public Dissemination Pursuant to § 43.4( c iii Swap data repositories are required by § 43.4(c)(4)(iii) 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 E1 and E2 in this appendix. If the underlying asset of a publicly reportable swap transaction described in § 43.4(c)(4)(iii) 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 E1 in this appendix. If the underlying asset of a publicly reportable swap transaction described in § 43.4(c)(4)(iii) 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 E2 in this appendix. Table E1. U.S. Delivery or Pricing Points 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) 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) Table E2. 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 Asia-Pacific Northern Asia (excluding Russia) Central Asia Eastern Asia Western Asia Southeast Asia Australia/New Zealand/Pacific Islands [85 FR 75496, Nov. 25, 2020] Appendix F to Part 43—Initial Appropriate Minimum Block Sizes by Asset Class for Block Trades and Large Notional Off-Facility Swaps Currency group Currencies Super-Major Currencies United States dollar (USD), European Union Euro Area euro (EUR), United Kingdom pound sterling (GBP), and Japan yen (JPY). Major Currencies Australia dollar (AUD), Switzerland franc (CHF), Canada dollar (CAD), Republic of South Africa rand (ZAR), Republic of Korea won (KRW), Kingdom of Sweden krona (SEK), New Zealand dollar (NZD), Kingdom of Norway krone (NOK), and Denmark krone (DKK). Non-Major Currencies All other currencies. Interest Rate Swaps Currency group Tenor greater than Tenor less than or equal to 50% Notional Super-Major 46 days 6,400 Super-Major 46 days Three months (107 days) 2,100 Super-Major Three months (107 days) Six months (198 days) 1,200 Super-Major Six months (198 days) One year (381 days) 1,100 Super-Major One year (381 days) Two years (746 days) 460 Super-Major Two years (746 days) Five years (1,842 days) 240 Super-Major Five years (1,842 days) Ten years (3,668 days) 170 Super-Major Ten years (3,668 days) 30 years (10,973 days) 120 Super-Major 30 years (10,973 days) 67 Major 46 days 2,200 Major 46 days Three months (107 days) 580 Major Three months (107 days) Six months (198 days) 440 Major Six months (198 days) One year (381 days) 220 Major One year (381 days) Two years (746 days) 130 Major Two years (746 days) Five years (1,842 days) 88 Major Five years (1,842 days) Ten years (3,668 days) 49 Major Ten years (3,668 days) 30 years (10,973 days) 37 Major 30 years (10,973 days) 15 Non-Major 46 days 230 Non-Major 46 days Three months (107 days) 230 Non-Major Three months (107 days) Six months (198 days) 150 Non-Major Six months (198 days) One year (381 days) 110 Non-Major One year (381 days) Two years (746 days) 54 Non-Major Two years (746 days) Five years (1,842 days) 27 Non-Major Five years (1,842 days) Ten years (3,668 days) 15 Non-Major Ten years (3,668 days) 30 years (10,973 days) 16 Non-Major 30 years (10,973 days) 15 Credit Swaps Spread group Traded tenor greater than Traded tenor less than or equal to 50% Notional Less than or equal to 175 Two years (746 days) 320 Less than or equal to 175 Two years (746 days) Four years (1,477 days) 200 Less than or equal to 175 Four years (1,477 days) Six years (2,207 days) 110 Less than or equal to 175 Six years (2,207 days) Eight years and six months (3,120 days) 110 Less than or equal to 175 Eight years and six months (3,120 days) Twelve years and six months (4,581 days) 130 Less than or equal to 175 Twelve years and six months (4,581 days) 46 Greater than 175 and less than or equal to 350 Two years (746 days) 140 Greater than 175 and less than or equal to 350 Two years (746 days) Four years (1,477 days) 82 Greater than 175 and less than or equal to 350 Four years (1,477 days) Six years (2,207 days) 32 Greater than 175 and less than or equal to 350 Six years (2,207 days) Eight years and six months (3,120 days) 20 Greater than 175 and less than or equal to 350 Eight years and six months (3,120 days) Twelve years and six months (4,581 days) 26 Greater than 175 and less than or equal to 350 Twelve years and six months (4,581 days) 63 Greater than 350 Two years (746 days) 66 Greater than 350 Two years (746 days) Four years (1,477 days) 41 Greater than 350 Four years (1,477 days) Six years (2,207 days) 26 Greater than 350 Six years (2,207 days) Eight years and six months (3,120 days) 13 Greater than 350 Eight years and six months (3,120 days Twelve years and six months (4,581 days) 13 Greater than 350 Twelve years and six months (4,581 days) 41 Foreign Exchange Swaps Super-major currencies EUR GBP JPY USD Super-major currencies EUR 6,250,000 6,250,000 18,750,000 GBP * 6,250,000 6,250,000 6,250,000 JPY * 6,250,000 * 6,250,000 1,875,000,000 USD * 18,750,000 * 6,250,000 * 1,875,000,000 Major currencies AUD * 6,250,000 0 10,000,000 10,000,000 CAD * 6,250,000 0 10,000,000 10,000,000 CHF * 6,250,000 * 6,250,000 12,500,000 12,500,000 DKK 0 0 0 0 KRW 0 0 0 6,250,000,000 SEK * 6,250,000 0 0 100,000,000 NOK * 6,250,000 0 0 100,000,000 NZD 0 0 0 5,000,000 ZAR 0 0 0 25,000,000 Non-major currencies BRL 0 0 0 5,000,000 CZK 200,000,000 0 0 200,000,000 HUF 1,500,000,000 0 0 1,500,000,000 ILS 0 0 0 50,000,000 MXN 0 0 0 50,000,000 PLN 25,000,000 0 0 25,000,000 RMB 50,000,000 0 50,000,000 50,000,000 RUB 0 0 0 125,000,000 TRY * 6,250,000 0 0 * 10,000,000 All values that do not have an asterisk are denominated in the currency of the left hand side. All values that have an asterisk (*) are denominated in the currency indicated on the top of the table. Other Commodity Swaps Related futures contract Initial appropriate minimum block size Units AB NIT Basis (ICE) 62,500 MMBtu. Brent Crude (ICE and NYMEX) 25,000 bbl. Cheese (CME) 400,000 lbs. Class III Milk (CME) NO BLOCKS. Cocoa (ICE and NYSE LIFFE and NYMEX) 1,000 metric tons. Coffee (ICE and NYMEX) 3,750,000 lbs. Copper (COMEX) 625,000 lbs. Corn (CBOT) NO BLOCKS. bushels. Cotton No. 2 (ICE and NYMEX) 5,000,000 lbs. Distillers' Dried Grain (CBOT) 1,000 short tons. Dow Jones-UBS Commodity Index (CBOT) 30,000 times index dollars. Ethanol (CBOT) 290,000 gallons. Feeder Cattle (CME) NO BLOCKS. Frost Index (CME) 200,000 times index euros. Frozen Concentrated Orange Juice (ICE) NO BLOCKS. Gold (COMEX and NYSE Liffe) 2,500 troy oz. Goldman Sachs Commodity Index (GSCI), GSCI Excess Return Index (CME) 5,000 times index dollars. Gulf Coast Sour Crude Oil (NYMEX) 5,000 bbl. Hard Red Spring Wheat (MGEX) NO BLOCKS. Hard Winter Wheat (KCBT) NO BLOCKS. Henry Hub Natural Gas (NYMEX) 500,000 MMBtu. HSC Basis (ICE and NYMEX) 62,500 MMBtu. Hurricane Index (CME) 20,000 times index dollars. Chicago Basis (ICE and NYMEX) 62,500 MMBtu. Lean Hogs (CME) NO BLOCKS. Light Sweet Crude Oil (NYMEX) 50,000 bbl. Live Cattle (CME) NO BLOCKS. Mid-Columbia Day-Ahead Off-Peak Fixed Price (ICE) 625 Mwh. Mid-Columbia Day-Ahead Peak Fixed Price (ICE) 4,000 Mwh. New York Harbor RBOB (Blendstock) Gasoline (NYMEX) 1,050,000 gallons. New York Harbor No. 2 Heating Oil (NYMEX) 1,050,000 gallons. NWP Rockies Basis (ICE and NYMEX) 62,500 MMBtu. Oats (CBOT) NO BLOCKS. Palladium (NYMEX) 1,000 troy oz. PG&E Citygate Basis (ICE and NYMEX) 62,500 MMBtu. PJM Western Hub Real Time Off-Peak Fixed Price (ICE) 3,900 Mwh. PJM Western Hub Real Time Peak Fixed Price (ICE) 8,000 Mwh. Platinum (NYMEX) 500 troy oz. Rainfall Index (CME) 10,000 times index dollars. Rough Rice (CBOT) NO BLOCKS. Silver (COMEX and NYSE Liffe) 125,000 troy oz. Snowfall Index (CME) 10,000 times index dollars. Socal Border Basis (ICE and NYMEX) 62,500 MMBtu. Soybean (CBOT) NO BLOCKS. Soybean Meal (CBOT) NO BLOCKS. Soybean Oil (CBOT) NO BLOCKS. SP-15 Day-Ahead Peak Fixed Price (ICE) 4,000 Mwh. SP-15 Day-Ahead Off-Peak Fixed Price (ICE) 625 Mwh. Sugar #11 (ICE and NYMEX) 5,000 metric tons. Sugar #16 (ICE) NO BLOCKS. Temperature Index (CME) 400 times index currency units. U.S. Dollar Cash Settled Crude Palm Oil (CME) 250 metric tons. Waha Basis (ICE and NYMEX) 62,500 MMBtu. Wheat (CBOT) NO BLOCKS. [78 FR 32942, May 31, 2013; 78 FR 42436, July 16, 2013]