Global Trade Repositories
Industry
DTCC Deriv/SERV
November 2012
© DTCC
DTCC Deriv/SERV: A short history
•
2003: DTCC establishes Deriv/SERV subsidiary providing confirmation matching for OTC credit derivatives (CDS)
market
•
2006: Users request confirmation service expanded to “warehouse” confirmed CDS trades - Trade Information
Warehouse (TIW) is ‘born’
•
September 2008: Lehman Bros default – the Trade Repository is ‘born’:
–
TIW becomes source of CDS data for marketplace, regulators/supervisors and the public
–
DTCC works with OTC Derivatives Regulators Forum (ODRF) to develop & implement regulatory and public
reporting
•
Weekly summary market data is posted on www.dtcc.com.
•
DTCC Regulator portal established in January 2010 – over 40 regulators world-wide currently subscribed and receiving
transaction data and aggregate exposure reporting
•
Summer 2009 : G20 Summit in Pittsburg.
•
July 2010: DTCC establishes London-based subsidiary DTCC Derivatives Repository Ltd. DDRL) to house the
global equity derivatives repository and maintain global CDS data identical to US database
•
2010/2011: Through industry selection process (via ISDA and AFME) from potential service providers , DTCC
identified to provide Trade Repository services for all 5 asset classes (CDS and Equities already with DTCC)
•
2012: Global trade repository service operationally live for Interest Rates and Commodities reporting under
voluntary reporting regime to primary regulators
© DTCC
2
Global Legislation – at a glance
ODRF – OTC Derivative Regulator Forum
•
G15 made commitments to the ODSG (OTC Derivative Supervisor Group) to increase
transparency of OTC Derivative transactions
•
These commitments included amongst others to provide the ODSG and ODRF regulator
groups with better data through reporting
–
–
–
Entity position level data provided to the appropriate firms prudential supervisor/s
Aggregated industry data provided to the broader ODRF
Market specific data provided to market regulators of certain jurisdictions
Product
Credit
Rates
Equities
Commodities FX
Market through
TIW
G16 dealers
G15 Dealers
G14 Dealers
core AFME
members
Sept 2008
Dec 2011
July 2010
March 2012
January 2013
Products
All – cleared and
un-cleared
All – cleared and
un-cleared
All – cleared and
un-cleared
Financial oil uncleared
All – cleared and
un-cleared.
Excludes spot.
Notional
Coverage
99%
2,500,000 Rec’s
70% (est)
4,000,000 Rec’s
60% (est)
600,000 rec’s
Limited
Not known
Yes
Yes
No
No
No
Users
Live
Public data
3
© DTCC
Key Principals: Public Reporting
• Public Report provide:
– Aggregated and anonymous industry level information
– Updated on a weekly basis
– Includes week on week changes
• Multiple reports available (trade volumes and notionals):
– By product type and customer type
– By currency denomination
– By reference entity or index names/versions
© DTCC
4
6-Oct-12
6-Sep-12
6-Aug-12
6-Jul-12
6-Jun-12
6-May-12
6-Apr-12
6-Mar-12
6-Feb-12
6-Jan-12
6-Dec-11
6-Nov-11
6-Oct-11
6-Sep-11
6-Aug-11
6-Jul-11
6-Jun-11
6-May-11
6-Apr-11
6-Mar-11
6-Feb-11
6-Jan-11
6-Dec-10
6-Nov-10
6-Oct-10
6-Sep-10
6-Aug-10
Credit Public Data Net Open Notional Weekly
CZECH REPUBLIC
1,200,000,000
1,000,000,000
800,000,000
600,000,000
CZECH REPUBLIC
400,000,000
200,000,000
-
Date sourced for the last week of each month
© DTCC
5
16-Oct-12
16-Sep-12
16-Aug-12
16-Jul-12
16-Jun-12
16-May-12
16-Apr-12
16-Mar-12
16-Feb-12
16-Jan-12
16-Dec-11
16-Nov-11
16-Oct-11
16-Sep-11
16-Aug-11
16-Jul-11
16-Jun-11
16-May-11
16-Apr-11
16-Mar-11
16-Feb-11
16-Jan-11
16-Dec-10
16-Nov-10
16-Oct-10
16-Sep-10
16-Aug-10
16-Jul-10
Credit Public Data Activity - Weekly
CZECH REPUBLIC
1,400,000,000
1,200,000,000
1,000,000,000
800,000,000
600,000,000
CZECH REPUBLIC
400,000,000
200,000,000
-
© DTCC
6
Credit Public Data Single Name Activity
Average Weekly
Average
Reference Entity
Notional (USD
Number of
EQ)
Trades/Week
REPUBLIC OF ITALY
6,307,935,662
371
FRENCH REPUBLIC
5,383,252,798
415
KINGDOM OF SPAIN
3,878,507,146
316
FEDERAL REPUBLIC OF GERMANY
2,980,624,379
171
FEDERATIVE REPUBLIC OF BRAZIL
2,955,634,543
253
STATE OF FLORIDA
HONG KONG SPECIAL
THE CITY OF NEW YORK
ITAU UNIBANCO S.A.
DNB BANK ASA
6,250,000
6,250,000
6,226,923
6,153,846
6,142,253
1
1
1
1
1
Trades Per Count of
Day
Ref Entities
0-2
460
2-4
212
4-6
147
6-8
60
8-10
38
10+
83
Total
1,000
© DTCC
7
Credit Public Data Single Name: CM &
Restructuring
Reference Entity
ABB INTERNATIONAL FINANCE LIMITED
ABBOTT LABORATORIES
ABN AMRO BANK N.V.
ABU DHABI
ABU DHABI NATIONAL ENERGY COMPANY
ACCOR
ACE LIMITED
ACOM CO., LTD.
Average
Average
Average Daily
Monthly
Number Restructuring
%
Clearing
Notional
Trades/Day
Dealers
(USD EQ)
12.3
15,000,000
2
> 95%
12
12,500,000
3
5-25%
2.3
2,500,000
0
> 95%
12
15,000,000
3
> 95%
6.7
5,000,000
0
> 95%
14.7
20,000,000
4
> 95%
13.7
50,000,000
5
25-75%
11.3
10,000,000
3
> 95%
© DTCC
8
Credit Public Data Single Name: Coupon &
Tenor
Average
Reference
Entity
Coupon
Number
of Trades
per Day
3I GROUP PLC
0.25%
<1
3I GROUP PLC
1.00%
3I GROUP PLC
Average Daily
Notional (USD
1Y
2Y
3Y
4Y
5Y
6Y
EQ & %)
< 1%
0%
0%
0%
0%
0%
0%
1
90% - 99%
7%
2%
4%
7%
32%
1%
3.00%
<1
1% - 10%
0%
0%
0%
0%
69%
0%
3I GROUP PLC
5.00%
<1
< 1%
0%
0%
0%
0%
0%
0%
3I GROUP PLC
7.50%
<1
< 1%
0%
0%
0%
0%
100%
0%
3I GROUP PLC
10.00%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
0%
2%
5%
5%
25%
1%
-
-
3I GROUP PLC TOTAL
5,000,000
3M COMPANY
0.25%
3M COMPANY
1.00%
3M COMPANY
3.00%
-
-
0%
0%
0%
0%
0%
0%
3M COMPANY
5.00%
-
-
0%
0%
0%
0%
0%
0%
3M COMPANY
7.50%
-
-
0%
0%
0%
0%
0%
0%
3M COMPANY
10.00%
-
-
0%
0%
0%
0%
0%
0%
3M COMPANY TOTAL
-
1
> 99%
7,500,000
© DTCC
9
Credit Public Data Indices: On-the-Run vs
Off-the-Run
Reference Entity
5 Year Maturity – On-the-run
Avg Daily
Avg Daily Notional
Contracts
Traded Notional %
After 1 After 2 After 3
Roll
Rolls
Rolls
CDX.NA.IG.14
CDX.NA.IG.15
CDX.NA.IG.16
CDX.NA.IG.17
17,847,000,000
15,117,000,000
20,306,000,000
16,819,000,000
233
211
287
268
9%
14%
15%
1%
3%
1%
ITRAXX EUROPE SERIES 13
ITRAXX EUROPE SERIES 14
ITRAXX EUROPE SERIES 15
ITRAXX EUROPE SERIES 16
18,936,000,000
14,298,000,000
20,142,000,000
17,545,000,000
311
227
324
365
8%
10%
13%
1%
1%
0%
319,000,000
233,000,000
332,000,000
282,000,000
22
18
23
20
12%
29%
21%
2%
6%
1%
ITRAXX JAPAN SERIES 13
ITRAXX JAPAN SERIES 14
ITRAXX JAPAN SERIES 15
ITRAXX JAPAN SERIES 16
© DTCC
10
Rates Public Data – CZK
Product
FRA
BasisSwap
CapFloor
Currency
CZK
CZK
CZK
Gross Notional (Native) Gross Notional (USD EQ) Trade Count
1,135,173,000,000
58,853,838,808
701
27,613,239,550
1,431,627,735
48
185,610,762,937
9,623,119,939
83
1,348,397,002,487
69,908,586,482
832
Average
$42,012,371.68
© DTCC
11
Key Principals: Regulatory Reporting
• Regulatory access dependent upon setup
• Access controls and permissions depending on jurisdictional
coverage
– Access levels differ for prudential regulators, market regulators or
central banks
– Access to public reports, standardised reports and to ad-hoc report
output (55 so far in 2012)
• Transaction level data for certain regulators where access approved
• Examples of standardised reports can include:
– Exposure by reference entity
– Counterparty exposure
© DTCC
12
GTR Organic Growth
Europe
EMIR/ESMA
•Functional growth of GTR as
global requirements are defined for
each asset class in each location.
Japan - JFSA
US - Dodd Frank
ODRF
Electronic
Snapshot
Platform
© DTCC
913
Global Regulatory Outlook
2012
Q1 2012
Jan
US
Feb
Q2 2012
Mar
Apr May
2013
Q3 2012
Jun
Jul
Aug
Q4 2012
Sep
Oct
Nov
Q1 2013
Dec
Feb
Mar
Apr May
CFTC Credit & Rates Compliance
Reporting (12 Oct)
ODRF Commodities Compliance (30 Mar)
SEC Sequencing
Statement (12 Jun)
Q3 2013
Jun
Jul
Aug
Q4 2013
Sep
Oct
Nov
Dec
All data electronic – Credit & Rates
CFTCSD registrations (Dec 31)
All data electronic – Equities, FX &
CFTC Equities, FX & Commodities
Commodities
Compliance Reporting (10 Jan)
Non-SD/MSP All data
Non-SD/MSP Reporting All Classes
electronic –All Classes
CFTC Swap Definitions (10 Jul)
Japan
Jan
Q2 2013
DTCC draft TR Architecture proposal for JFSA and BOJ complete
JFSA reporting requirements proposal published to DTCC and industry (24 Mar)
DTCC rule proposal for JFSA complete (late April)
JFSA TR Rules Effective (01 Nov)
Hong Kong
JFSA Regulatory Compliance Reporting (April 1)
Back loading of all open positions as of April 1
TR Registration Open (18 May)
HKMA HKTR-GTR Connectivity Validation Testing
HKMA GTR Functional Testing
Amendments to legislation (Q4)
HKMA Industry UAT
Response to previous consult published (11 Jul)
HKMA Production Launch (TBC)
HKMA Compliance Reporting (TBC)
Taiwan
Gre-Tai NDF, FX, Vanilla Swaps, Taiwan-Equity
Compliance Reporting (01 Apr)
Singapore
DTCC response to MAS Consultation
Paper submitted (26 Mar)
Gre-Tai FX Forwards, Vanilla FX Options
Compliance Reporting (31 Dec TBC)
DTCC response to MAS Consultation
Paper submitted (31 August)
Gre-Tai All Products Compliance Reporting
(30 Jun TBC)
Compliance Reporting ( Mid 2013)
DTCC response to MAS draft legislation
India
USD/INR interbank & FCY- INR Options (31 May)
Phase III and IV compliance dates TBD by RBI
Cross Currency Interbank forwards (CLS currencies)
FCY- INR Interbank forwards & FCY –FCY Options (31 Aug)
Canada
DTCC awaits dates TBD by Canada
EU
ESMA technical standard consult response due (5 Aug)
ESMA rules published (30 Sep)
EC approves rules (31 Dec)
ESMA-MIR Compliance Reporting (
Rates & Credit (1 Jul 2013 )
Summary RAG Status
Australia
Legislation complete
( 31 Dec TBD)
Closing Comments to Proposals (15 June)
Comments to Exposure Draft (20 August)
Russia
NSD announces TR (TBD)
FFMS Reporting Compliance (Aug 2011)
Russian Derivatives Conference in Moscow (11 Sep)
Australia Compliance
Reporting (Mid 2013 TBD)
Target delivery
date cannot
currently be met
Significant delivery
risk exists, target
date still possible
On track
Complete
FFMS Reporting Anticipated Compliance (Dec 2012)
Appendix
Global Regulatory Outlook (continued)
2012
Q1 2012
Jan
Feb
Q2 2012
Mar
Apr May
2013
Q3 2012
Jun
Jul
Aug
Q4 2012
Sep
Oct
Nov
Q1 2013
Dec
Jan
Feb
Q2 2013
Mar
Apr May
Q3 2013
Jun
Jul
Aug
Q4 2013
Sep
Oct
Nov
Dec
Argentina
Brazil
Chile
Mexico
China
Outreach in progress
Indonesia
Awaiting publication of
detailed rules and
dates
Korea
Saudi Arabia
South Africa
Closing Comments to Proposals (1 Jun)
Financial Markets Bill passed (TBD)
Regulations passed (TBD)
DTCC visit to South Africa ( 11 Jun)
Switzerland
Summary RAG Status
Target delivery
date cannot
currently be met
Turkey
Significant delivery
risk exists, target
date still possible
On track
Complete
Global Legislation – at a glance US
US – Trade Repository rules under Dodd-Frank (CFTC rules):
•
December 20th, the CFTC approved rules for real-time reporting (Part 43) & swap data recordkeeping and reporting requirement (Part
45)
Key reporting dates:`
•
CFTC has defined compliance dates that apply to both real-time public dissemination and regulator data (PET/confirmation). Initial
compliance are below but these are still to be finalized:
•
Credit and Interest Rates (SD/MSP’s) – Oct 12th, 2012
•
FX, Equities and Commodities (SD/MSP’s) – Jan 10th, 2013
•
All asset classes – non-SD/MSP reporting begins April 10th, 2013
Reporting obligations
•
•
DFA – one sided dealer reports all.
SEF-DCO – are obligated.
Reporting Requirements





Real time – 30 minutes after execution – block - public disseminated
PET – e.g. non cleared 1 hour after execution
Confirmation – e.g. non cleared from confirm execution. 30mins for electronic, 24 hours for paper.
Valuations – Daily reported T+1
Back loading.
Final rules still pending (relating to reporting):
•
•
SEC final reporting rules
Extra-territoriality
© DTCC
616
Global Legislation – at a glance Asia
Hong Kong, Japan and Singapore
moving ahead.
•
Growing support across the region for a global data
set to ensure transparency of OTC derivatives
markets
Hong Kong
•
•
•
•
Hong Kong has functionally completed its new
financial regulations and has begun to build a
repository for local trades.
Regulators and market participants have expressed
interest in establishing a system for trades to be
reported through DTCC, serving as an industry
“agent” to the Hong Kong repository.
Phased reporting compliance by May 2013
Product coverage – initially Rates Swaps in HKD
and NDF’s
Japan
The legal framework for trade reporting established.
Under the law, Japan FSA can collect trade data or
delegate that authority to an off-shore entity,
Officials indicate they prefer to use established repository
providers
TR rules effective November 2012
Reporting compliance start 1st April 2013
Product coverage – Rates, Credit, Equities, FX
Singapore
The Monetary Authority of Singapore (MAS) has
indicated that its regulatory regime will be consistent with
the structure outlined by the (ODRF).
Consultation paper published January 2012
DTCC have worked with MAS to set-up a Data Center in
Singapore to support APAC region
© DTCC
717
Global Legislation – at a glance Europe

European Market Infrastructure Regulation (EMIR): Goal is to increase transparency to allow
identification of systemic risk issues by regulators

Establishes reporting obligation

Outlines business/operational requirements for Trade Repositories

Estimated go live 6 month window from compliance date of the 1st Jan 2013

Markets in Financial Instruments Directive & Regulation (MiFID & MiFIR): Goal is to
introduce more completeness of post-trade transaction reporting than exists today

Trade Repositories register as Approved Reporting Mechanisms (ARMs) to help identify market abuse (MAD/MAR)

Estimate compliance for end 2014/beginning 2015
Reporting obligations
•
•
•
•
both sides report without duplication
recognition of non dealer limitations
Reporting party has the choice of reporting route.
Listed products. The Futures and Options Association (FOA) which is the listed market equivalent of ISDA are engaging with
certain Euro regulators to highlight the amount of reporting that already exists for listed products and try to persuade ESMA that
there is duplication here.
Reporting Requirements
 ESMA Final draft of Technical Standards to be approved by 31st December 2012.
 All Derivatives, not just OTC.
 End of Day, key economic fields (PET)
 Valuations/Collateral.
Participants have 90 days to report derivative contracts that are outstanding on 16 August 2012, and are still outstanding on the reporting
start date of respective asset classes.
Participants have 3 years to report derivative contracts entered into before, on or after 16 August 2012, that are not outstanding on or after
reporting start date of respective asset classes.
© DTCC
18
3
Global Legislation – at a glance Europe
Cont’d
Legislative
Scope
Event
scope
Who reports
Data
elements
definition
frequency
Push/ pull
EMIR
All derivatives Each
trade
Counterparties
and CCPs
(without
duplication )
ESMA Level T+1
2
Pull
Mechanism
(regulatory
access)
MiFID
+
MiFIR
All
instruments
Counterparties
(both)
ESMA Level T+1
2
Push to
regulators
(transmit
reports)
Each
trade
© DTCC
419
EU Legislation time line
EMIR Level 1 text
released on 15 June
2012
EMIR draft standards
(Level 2 text) to be
open for consultation
before week ending
25th June for 5-6
weeks consultation.
Level 1 text to go
through final phase
of procedural
approval by the
council 20 and 21
June 2012
To be published in
EU’s official journal
by end of July 2012
Level 2 text to be
presented by ESMA
on September 30
To be finalised by
end of
December/early
January 2012
Registration of TR
by January 1 2013
Level 1 text to be
effective mid- late
August 2012
Mandatory reporting
Phased approach per
asset class
Credit & Rates- 1, July
2013
Other asset classes 1, Jan 2014
20
© DTCC
5
DTCC Global Trade Repository solution
GTR Services & Operating Model - Core solution
Core solution:
•
Single interface for global regulatory reporting
•
Rules based regulator access to positions
•
Participants reporting to enable regulatory position management
•
Replication to local regulators where required
•
Public price dissemination where required
•
Cross-asset including 5 main OTC asset classes
© DTCC
10
Global Coverage
DTCC Global Trade Repository
•
•
•
•
•
•
Offices in NY, London and Brussels
Offices in Tokyo and Singapore soon
Rules based regulator access to
positions
Participants reporting to enable
regulatory position management
Replication to local regulators where
required
Public price dissemination where
required
Connected
local
repository
(US SDR)
• One trade message
Global Data
One Record
• One interface
• Multiple regulatory solutions
• Participant entity logic
• Reporting rules logic
GTR
• Regulator entitlement logic
Data
Entitlements
& rules logic
JPN TR
Local
repository
Direct
Regulatory
Access.
© DTCC
11
Global Trade Repository services:
Connectivity
Supported Connectivity
•
•
•
•
•
MQ
Secure FTP
Web Service
Web Upload
SWIFT
Message Formats
•
•
CSV
FpML
© DTCC
12
DTCC Global Trade Repository solution
One Global Record
GTR ADMIN FIELDS
•
Data fields based on ESMA Final Draft technical
standards for the regulation on OTC Derivatives,
CCPs and Trade Repositories, June 2012
GTR primary fields
(common across all regulators)
•
59 data fields is a subset of the core 125 PET
fields that has already being built in the GTR
solution to support Dodd Frank requirement.
JFSA Only required fields
•
90% of ESMA fields are common to the current
ODRF/DF/JFSA requirements.
ESMA Only required fields
CFTC Only required fields
HKMA Only required fields
© DTCC
13
ESMA Requirements- TR Table of fields
Table 1 PARTIES TO THE CONTRACT
• Reporting timestamp
• Counterparty ID
• ID of the other counterparty
• Name of the counterparty
• Domicile of the counterparty
• Corporate sector of the counterparty
• Financial or non-financial nature of
the counterparty
• Broker ID
• Reporting entity ID
• Clearing member ID
• Beneficiary ID
• Trading capacity
• Counterparty side
• Contract with non-EEA counterparty
• Directly linked to commercial activity
or treasury financing
• Clearing threshold
• Mark to market value of contract
• Currency of mark to market value of
the contract
• Valuation date
• Valuation time
• Valuation type
• Collateralisation
• Collateral portfolio
• Collateral portfolio code
• Value of the collateral
• Currency of the collateral value
•
•
•
•
•
Table 2 - Common Data
FIELD
Section 2a - Contract type
Taxonomy used
Product ID 1
•
•
•
•
•
Product ID 2
Underlying
Notional currency 1
Notional currency 2
Deliverable currency
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
Section 2b - Details on the transaction
Trade ID
Transaction reference number
Venue of execution
Compression
Price / rate
Price notation
Notional amount
Price multiplier
Quantity
Up-front payment
Delivery type
Execution timestamp
Effective date
Maturity date
Termination date
Date of Settlement
Master Agreement type
Master Agreement version
Section 2c - Risk mitigation /Reporting
Confirmation timestamp
Confirmation means
Section 2d – Clearing
Clearing obligation
Cleared
Clearing timestamp
CCP
Intragroup
Section 2e Interest Rates
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
•
Fixed rate of leg 1
Fixed rate of leg 2
Fixed rate day count
Fixed leg payment frequency
Floating rate payment frequency
Floating rate reset frequency
Floating rate of leg 1
Floating rate of leg 2
Section 2f – Foreign Exchange
Currency 2
Exchange rate 1
Forward exchange rate
Exchange rate basis
Section 2g - Commodities
General
Commodity base
Commodity details
Energy
Delivery point or zone
Interconnection Point
Load type
Delivery start date and time
Delivery end date and time
Contract capacity
Quantity Unit
Price/time interval quantities
•
•
•
•
•
•
•
Section 2h - Options
Option type
Option style (exercise)
Strike price (cap/floor rate)
Section 2i - Modifications to the report
Action type
Details of action type
© DTCC
14
DTCC Global Trade Repository solution
GTR Functionality and Message Interfaces
Message Type
Message Summary
RT (Real-Time)
Provide real-time price information for public dissemination
•
RT messages are not included in Regulatory position reports.
•
GTR Rules determine whether or not to disseminate the price
*Not needed for DCO*
PET (Primary Economic
Terms)
Transaction level trade message.
•
Trades reported via PET are included in Regulatory position reports.
•
Transaction Types supported include Trade, Novation, Termination, Amendment, etc
•
GTR reported position will take into account all reported transactions for a USI
Confirm
Confirmed details of trade
•
Trades reported via Confirm are included in Regulatory position reports.
•
Transaction Types supported include Trade, Novation, Termination, Amendment, etc
•
GTR reported position will take into account all reported transactions for a USI
Snapshot
Full and Partial Portfolio position report.
•
Positions reported via Snapshot are included in Regulatory position reports.
•
May be combined with transaction messages to report position.
Valuation
Report valuation of a position to the GTR
•
Valuation provided per USI
Event Processing
Provide Data related to events which result in trade modification to large numbers of trades across
counterparties (compression, credit events, etc)
•
Provided by event processors / vendors (e.g. TriOptima, TIW)
© DTCC
15
Snapshot vs. Life Cycle
Day 1
Day 2
Day 3
SnapShot – full file Replace.
•
•
•
•
•
Day 1
Day 2
Partial SnapShot – Delta Reporting
•
•
•
•
•
Day 1
Day 2
Increase
The is a method of uploading your full portfolio.
Each file overwrites all of the previous records.
can be done at a frequency of the users choice.
The GTR provides a variance report.
The GTR stores the historical records
The is a method of uploading only what has change in your
portfolio.
Either a full record or an economic within a full record which
replaces the previous record.
can be done at the frequency of the users choice.
The GTR provides a variance report.
The GTR stores the historical records
Life Cycle – Transaction based.
•
•
•
•
•
This is a method of sending in just specific transaction data.
There are various transaction types such as increase,
termination, novation etc.
The GTR takes the previous days record then adds the
transaction to create a new transaction
can be done at the frequency of the users choice.
The GTR stores the historical records
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Exchange Traded flow chart
Counterparty
B
Clearing
Agent
β
Derivatives
Exchange/S
EF
α
CCP/Clearing
house
Exchange can send “primary economic
terms”
incl. USI to GTR near real time for α and β
Global Trade Repository
Counterparty
A/Execution
broker
Clearing
Agent
Local FSA
Current MiFID transaction reporting
Client
Client Reporting
interface/Middleware
Operational flow
Reporting flow
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Global Trade Repository services:
Participant Reporting
• Participants see:
– Trades submitted by the participant
– Trades submitted by other parties where the participant is named as the
counterparty
– Trades submitted by or against other legal entities that the participant is
permissioned (explicit permission granted) to see
• Certain trade attributes will be masked from counterparties (internal
trade ref, trade valuation, trader id)
• Reporting suite will include:
– Submission reports
– Position reports
– Reconciliation/break reports
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International Identifiers
3 main identifiers which have growing international support:
•
Counterparty - Legal entity identifier (LEI)
•
Trade – Unique trade identifier (UTI) / Unique swap identifier (USI)
•
Product – Taxonomy / Unique product identifier (UPI)
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International Identifiers
Counterparty - Legal Entity Identifier (LEI)
Overview:
•
•
•
•
Common schema to identify market participants and some related data
LEI is backed by global political and regulatory community and you can register a CICI (CFTC Interim
Compliant Identifier) via https://www.ciciutility.org/. Contact the helpdesk by email LEITestFile@dtcc.com
CFTC finalized rules requiring firms to register for an LEI within 90 days of reporting (interim LEI is known
as the CICI)
Industry (group of trade associations) has recommended principles and a proposed solution to the
regulatory community
–
•
Initial design focuses on information that can be publicly validated
–
•
ISO 17442: 18 alphanumeric and 2 check digits
Address, jurisdiction, limited hierarchy
SIFMA official document on LEI
(http://www.sifma.org/uploadedfiles/issues/technology_and_operations/legal_entity_identifier/lei-preliminary-scope-plan.pdf)
Trade Repository implications:
•
Only one LEI per legal entity conflicts with the way firms use their account structure today
–
•
Each GTR identifier will have a namespace + value
–
–
•
Funds manager, branch locations, PB designations, trading strategy/desk identifiers
Mapping table managed by repository
Multiple alternate ID’s can be set-up by each participant in the GTR (LEI, CICI, BIC, AVID)
Other considerations include data privacy issues, LEI for individuals, and impact of non-participating
jurisdictions
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International Identifiers
Trade - Unique Trade Identifier (UTI) / Unique Swap Identifier
(USI)
•
A Unique Swap Identifier (UTI) must be assigned to every new transaction
•
Unique global trade IDs are required in order to ensure accurate identification of reported trades.
This will improve the ability to reconcile trades both with and between counterparties, CCPs and
TRs, and reduce the likelihood of duplicate reporting.
•
ESMA has placed the responsibility of creating UTIs on the counterparties to the contract.
•
The UTI should remain constant despite any changes reporting parties might make to their own
internal trade references
•
USI/UTI gaining global recognition
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International Identifiers
Product – Taxonomy / Unique Product Identifiers (UPI)
•
This is the identifier that is to be used to describe the underlying product
•
Today each firm creates it’s own set of product identifiers which drive risk
aggregation, system defaults, and various workflows within the organization
•
No clear direction on timing of a UPI
•
Eventually UPI may be used to default field values within the trade
•
ISDA worked with the industry to develop a high-level matrix of taxonomy values
–
–
•
The GTR will leverage these taxonomy values as identifiers of products reported by
participants
Each asset-class has a unique taxonomy but a common structure
Link to ISDA OTC Taxonomies and UPI - http://www2.isda.org/otc-taxonomies-andupi/
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Current clearing timelines
2012
2013
27th
Nov
Draft
RTS
29th April
Entry into
force
27th Dec
Endorsement
by Commission
28th March
Accept by Council
And Parliament
2014
28th July
Latest potential
date for CCP
authorisation
28th October
CCP authorisation
Window opens
30th May
Notification for
the clearing
obligation
28th April
Notification of
Authorised CCPs
obligation
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Clearing obligation
• All OTC derivative contracts must be cleared if:
– The contract has been determined to be clearable and is notified in ESMA’s
public register – top down and bottom up process
• ESMA to decide within 6 months of notification date
– There is a CCP authorised to clear that class of contracts
• Not likely before April 2014:
– For a non-financial, the contract value exceeds the clearing threshold
• If one asset class goes over the threshold, all need to be reported
• Exemptions: intragroup transactions
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Clearing thresholds for non-financials
• For a non financial, below these thresholds, clearing obligation does not
apply:
(a) EUR 1 billion in gross notional value for OTC credit or equity derivative
contracts;
(b) EUR 3 billion in gross notional value for OTC interest rate, FX and
commodity derivative contracts;
(c) EUR 3 billion in gross notional value for OTC foreign exchange derivative
contracts;
(d) EUR 3 billion in gross notional value for ‘other’ OTC derivative contracts
•Definition of non-financial counterparty –EMIR Article 2, page 58
– Offset by hedging transactions which are not included in the gross notional
value
•Definition of hedging – ESMA RTS Article III.V, para 58-72
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Contact Information
Europe and Middle East
Daniel Olajide
dolajide@dtcc.com
Hanna Svensson
hsvensson@dtcc.com
Daniela Aulinger
daulinger@dtcc.com
+ 44 207 650 1433
+ 44 207 650 1546
+44 207 650 1545
Asia-Pacific
Katherine Delp
Shoko Kitamura
+81 3 6721 8876
+81 3 6721 8876
Kdelp@dtcc.com
Skitamura@dtcc.com
Canada, North, Central and South America.
John Dimeglio
jdimeglio@dtcc.com
John Kim
jkim@dtcc.com
Frank Lupica
flupica@dtcc.com
+ 1 212 855 3531
+ 1 212 855 3104
+ 1 212 855 2430
Global GTR Lead
Andrew Green
+ 44 207 650 1410
agreen1@dtcc.com
Onboarding
Hotlines:
North America 1-888-382-2721 (Option 3, 2, and 1)
Europe and Asia +44 (0)20-7136-6328 (Option 2 and 2)
GTR_onboarding@dtcc.com
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