Large Notional Swap

A large notional swap is an off-facility swap that has a notional or principal amount at or above the appropriate minimum block size applicable to such publicly reportable swap transaction and is not a block trade as defined in Section 43.2 of the Commission’s regulations. Similar to block trade, however it is not available for trading or execution on a swap execution facility (SEF) or designated contract market (DCM). A large notional swap must be consistent with the appropriate minimum size requirements in the proposed rules. Additionally, a large notional swap must be reported in accordance with the appropriate time delay in the proposed rules.