Federal Register: Real-Time Public Reporting of Swap Transaction Data

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Gavel.png FINAL RULE: This page refers to the proposed rulemaking on Real-Time Public Reporting of Swap Transaction Data. For a summary of the final rule, click here.
Dodd-Frank Timeline, Real Time Public Reporting of Swap Transaction and Pricing Data
Final Rule Issue Effective Date Compliance Date
December 20, 2011 March 9, 2012 December 31, 2012

On November 19, 2010, the Commodity Futures Trading Commission (CFTC) held its fifth in the series of open meetings to consider the issuance of proposed rulemakings under the Dodd-Frank Act. One of the agenda items was a proposed rule on real-time reporting of swap transaction and price data.[1]

The final rule, which became effective on March 9, 2012, contained a sentence in a footnote that created an inconsistency as to the type of swap transactions that may be considered ‘‘publicly reportable swap transactions’’ under the Final Rule. The changes to the sentence were made effective as of August 13, 2012. The sentence was corrected to eliminate the inconsistent language in the footnote.

The Proposal

The proposed rule would require the parties to a swap report the data to a "real-time disseminator" such as a swap data repository, or to a third party such as a designated contract market (DCM) or swap execution facility (SEF). The data shall be made public "as soon as technologically practicable." Block trades and "large notional swaps" transactions are allowed a time delay of up to 15 additional minutes before dissemination by the third party disseminator.

Finally, the proposal specifies two tests to be conducted to determine the appropriate minimum block size for block trades and large notional transactions:

  • Distribution Test: The size threshold that is larger than 95% of a category's transactions over the last calendar year;
  • Social Size Test: The size threshold that is five times (5X) largest of "the mean, median, and mode of transaction sizes for that category swap instrument over the past calendar year."
  • The minimum threshold for block transactions would be the larger of the two.

The entire proposal, as it appeared in the Federal Register on December 7, 2010, can be found below. A minor correction appeared in the Federal Register on December 10, 2010 regarding a table heading in Appendix A. On page 76181, Table A2 should read, Additional Real-Time Public Reporting Data Fields for Options, Swaptions and Swaps with Embedded Options.’’ Otherwise, the file embedded below is correct.

Related Documents: Fact Sheet, Q&A, and Rule Proposal as it Appeared in the Federal Register

References

  1. Open Meeting on Fifth Series of Proposed Rules under the Dodd-Frank Act. CFTC. Retrieved on March 10, 2011.

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