© DTCC

Global Trade RepositoriesIndustry

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

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© DTCC

Global Legislation – at a glanceODRF – 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

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Product Credit Rates Equities Commodities FX

Users Market through TIW

G16 dealers G15 Dealers G14 Dealers core AFME members

Live 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 un-cleared

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

Public data Yes Yes No No No

© 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

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© DTCC

Credit Public Data Net Open Notional - Weekly

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Date sourced for the last week of each month

© DTCC

Credit Public Data Activity - Weekly

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© DTCC

Credit Public Data Single Name Activity

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Reference EntityAverage Weekly

Notional (USD EQ)

Average Number of

Trades/WeekREPUBLIC OF ITALY 6,307,935,662 371FRENCH REPUBLIC 5,383,252,798 415KINGDOM OF SPAIN 3,878,507,146 316FEDERAL REPUBLIC OF GERMANY 2,980,624,379 171FEDERATIVE REPUBLIC OF BRAZIL 2,955,634,543 253

STATE OF FLORIDA 6,250,000 1HONG KONG SPECIAL 6,250,000 1THE CITY OF NEW YORK 6,226,923 1ITAU UNIBANCO S.A. 6,153,846 1DNB BANK ASA 6,142,253 1

Trades Per Day

Count of Ref Entities

0-2 460 2-4 212 4-6 147 6-8 60 8-10 38 10+ 83

Total 1,000

© DTCC

Credit Public Data Single Name: CM & Restructuring

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Average Monthly

Average DailyAverage Number

Clearing Dealers

Notional (USD EQ)

Trades/Day

ABB INTERNATIONAL FINANCE LIMITED 12.3 15,000,000 2 > 95%ABBOTT LABORATORIES 12 12,500,000 3 5-25%ABN AMRO BANK N.V. 2.3 2,500,000 0 > 95%ABU DHABI 12 15,000,000 3 > 95%ABU DHABI NATIONAL ENERGY COMPANY 6.7 5,000,000 0 > 95%ACCOR 14.7 20,000,000 4 > 95%ACE LIMITED 13.7 50,000,000 5 25-75%ACOM CO., LTD. 11.3 10,000,000 3 > 95%

Reference EntityRestructuring

%

© DTCC

Credit Public Data Single Name: Coupon & Tenor

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Reference

EntityCoupon

Average

Number

of Trades

per Day

Average Daily

Notional (USD

EQ & %)

1Y 2Y 3Y 4Y 5Y 6Y

3I GROUP PLC 0.25% < 1 < 1% 0% 0% 0% 0% 0% 0%

3I GROUP PLC 1.00% 1 90% - 99% 7% 2% 4% 7% 32% 1%

3I GROUP PLC 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%

3I GROUP PLC TOTAL 5,000,000

3M COMPANY 0.25% - - 0% 0% 0% 0% 0% 0%

3M COMPANY 1.00% 1 > 99% 0% 2% 5% 5% 25% 1%

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 7,500,000

© DTCC

Credit Public Data Indices: On-the-Run vs Off-the-Run

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Reference Entity Avg Daily NotionalAvg Daily Contracts

After 1 Roll

After 2 Rolls

After 3 Rolls

CDX.NA.IG.14 17,847,000,000 233 9% 1% 1%CDX.NA.IG.15 15,117,000,000 211 14% 3%CDX.NA.IG.16 20,306,000,000 287 15%CDX.NA.IG.17 16,819,000,000 268

ITRAXX EUROPE SERIES 13 18,936,000,000 311 8% 1% 0%ITRAXX EUROPE SERIES 14 14,298,000,000 227 10% 1%ITRAXX EUROPE SERIES 15 20,142,000,000 324 13%ITRAXX EUROPE SERIES 16 17,545,000,000 365

ITRAXX JAPAN SERIES 13 319,000,000 22 12% 2% 1%ITRAXX JAPAN SERIES 14 233,000,000 18 29% 6%ITRAXX JAPAN SERIES 15 332,000,000 23 21%ITRAXX JAPAN SERIES 16 282,000,000 20

5 Year Maturity – On-the-run Traded Notional %

© DTCC

Rates Public Data – CZK

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Product Currency Gross Notional (Native) Gross Notional (USD EQ) Trade CountFRA CZK 1,135,173,000,000 58,853,838,808 701 BasisSwap CZK 27,613,239,550 1,431,627,735 48 CapFloor CZK 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

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

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© DTCC

GTR Organic Growth

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•Functional growth of GTR as global requirements are defined for each asset class in each location.

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Global Regulatory Outlook

India

Q1 2012

US

Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 20132012 2013

DTCC response to MAS Consultation Paper submitted (26 Mar)

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)

Gre-Tai NDF, FX, Vanilla Swaps, Taiwan-Equity Compliance Reporting (01 Apr)

Gre-Tai FX Forwards, Vanilla FX Options Compliance Reporting (31 Dec TBC)

Gre-Tai All Products Compliance Reporting (30 Jun TBC)

Singapore

Japan

Hong Kong

Taiwan

ODRF Commodities Compliance (30 Mar) CFTC Credit & Rates Compliance Reporting (12 Oct)

Q3 2013 Q4 2013

CFTC Equities, FX & Commodities Compliance Reporting (10 Jan)

All data electronic – Credit & Rates

All data electronic – Equities, FX & Commodities

Non-SD/MSP Reporting All ClassesNon-SD/MSP All data electronic –All Classes

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Canada

CFTC Swap Definitions (10 Jul)

JFSA Regulatory Compliance Reporting (April 1)

HKMA HKTR-GTR Connectivity Validation TestingHKMA GTR Functional Testing

HKMA Industry UAT

HKMA Production Launch (TBC)

Russia

Australia

EU

HKMA Compliance Reporting (TBC)

Summary RAG Status

Target delivery date cannot currently be met

Significant delivery risk exists, target date still possible

On track

Complete

ESMA-MIR Compliance Reporting (Rates & Credit (1 Jul 2013 )

FFMS Reporting Compliance (Aug 2011)

TR Registration Open (18 May) Back loading of all open positions as of April 1

FFMS Reporting Anticipated Compliance (Dec 2012)

Closing Comments to Proposals (15 June)

USD/INR interbank & FCY- INR Options (31 May)

Cross Currency Interbank forwards (CLS currencies)FCY- INR Interbank forwards & FCY –FCY Options (31 Aug)

ESMA rules published (30 Sep)EC approves rules (31 Dec)

Phase III and IV compliance dates TBD by RBI

Russian Derivatives Conference in Moscow (11 Sep)

Legislation complete ( 31 Dec TBD)

Australia Compliance Reporting (Mid 2013 TBD)

DTCC response to MAS draft legislation

SEC Sequencing Statement (12 Jun)

DTCC awaits dates TBD by Canada

ESMA technical standard consult response due (5 Aug)

NSD announces TR (TBD)

JFSA TR Rules Effective (01 Nov)

Response to previous consult published (11 Jul)

Comments to Exposure Draft (20 August)

Amendments to legislation (Q4)

DTCC response to MAS Consultation Paper submitted (31 August)

CFTCSD registrations (Dec 31)

Compliance Reporting ( Mid 2013)

Appendix

Global Regulatory Outlook (continued)

Indonesia

Q1 2012

Argentina

Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 20132012 2013

China

Brazil

Chile

Mexico

Q3 2013 Q4 2013

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Korea

Outreach in progress

Awaiting publication of detailed rules and

dates

Saudi Arabia

Turkey

Switzerland

South Africa

Summary RAG Status

Target delivery date cannot currently be met

Significant delivery risk exists, target date still possible

On track

Complete

Closing Comments to Proposals (1 Jun)

DTCC visit to South Africa ( 11 Jun)

Financial Markets Bill passed (TBD)

Regulations passed (TBD)

© DTCC

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 166

© DTCC 17

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

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JapanThe 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

SingaporeThe 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

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© DTCC 18

Global Legislation – at a glance Europe

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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. 3

© DTCC

Global Legislation – at a glance Europe Cont’d

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Legislative Scope

Event scope

Who reports Data elements definition

frequency Push/ pull

EMIR All derivatives Each trade

Counterparties and CCPs (without duplication )

ESMA Level 2

T+1 Pull Mechanism (regulatory access)

MiFID+MiFIR

All instruments

Each trade

Counterparties (both)

ESMA Level 2

T+1 Push to regulators(transmit reports)

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© DTCC

EU Legislation time line

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EMIR Level 1 text released on 15 June 2012

EMIR Level 1 text released on 15 June 2012

Level 1 text to go through final phase of procedural approval by the council 20 and 21 June 2012

Level 1 text to go through final phase of procedural approval by the council 20 and 21 June 2012

EMIR draft standards (Level 2 text) to be open for consultation before week ending 25th June for 5-6 weeks consultation.

EMIR draft standards (Level 2 text) to be open for consultation before week ending 25th June for 5-6 weeks consultation.

To be finalised by end of December/early January 2012Registration of TR by January 1 2013

To be finalised by end of December/early January 2012Registration of TR by January 1 2013

Level 2 text to be presented by ESMA on September 30

Level 2 text to be presented by ESMA on September 30

To be published in EU’s official journal by end of July 2012

To be published in EU’s official journal by end of July 2012

Level 1 text to be effective mid- late August 2012

Level 1 text to be effective mid- late August 2012

Mandatory reporting Phased approach per asset class

Credit & Rates- 1, July 2013Other asset classes -1, Jan 2014

Mandatory reporting Phased approach per asset class

Credit & Rates- 1, July 2013Other asset classes -1, Jan 2014

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© DTCC

DTCC Global Trade Repository solutionGTR 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

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© DTCC

Global Coverage

Global Data One Record

Global Data One Record

Connected local

repository (US SDR)

Connected local

repository (US SDR)

JPN TR Local

repository

JPN TR Local

repositoryDirect

Regulatory Access.

Direct Regulatory

Access.

GTR Data

Entitlements & rules logic

GTR Data

Entitlements & rules logic

• One trade message

• One interface

• Multiple regulatory solutions

• Participant entity logic

• Reporting rules logic

• Regulator entitlement logic

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

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© DTCC

Global Trade Repository services: Connectivity

Supported Connectivity•MQ•Secure FTP•Web Service•Web Upload•SWIFT

Message Formats•CSV•FpML

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© DTCC

DTCC Global Trade Repository solutionOne Global Record

GTR ADMIN FIELDS GTR ADMIN FIELDS

GTR primary fields (common across all regulators)

GTR primary fields (common across all regulators)

ESMA Only required fieldsESMA Only required fields

JFSA Only required fieldsJFSA Only required fields

CFTC Only required fieldsCFTC Only required fields

HKMA Only required fieldsHKMA Only required fields

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• Data fields based on ESMA Final Draft technical standards for the regulation on OTC Derivatives, CCPs and Trade  Repositories, June 2012

• 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.

• 90% of ESMA fields are common to the current ODRF/DF/JFSA requirements.

© DTCC

ESMA Requirements- TR Table of fields

• 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

• 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

• 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

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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

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

© DTCC

DTCC Global Trade Repository solutionGTR Functionality and Message Interfaces

Message Type Message Summary

RT (Real-Time)

*Not needed for DCO*

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

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)

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© DTCC

Snapshot vs. Life Cycle

Day 1 Day 2 Day 3 SnapShot – full file Replace. •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

Day 1 Day 2 Partial SnapShot – Delta Reporting •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

Day 1 Day 2 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

IncreaseIncrease

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© DTCC

Counterparty A/Execution

broker

Counterparty B

Clearing Agent

Global Trade Repository

Clearing AgentCCP/

Clearinghouse

Derivatives Exchange/S

EF

β α

Operational flowReporting flow

Local FSALocal FSA

Exchange can send “primary economic terms”incl. USI to GTR near real time for α and β

Current MiFID transaction reporting

Client Reporting interface/Middleware

Exchange Traded flow chart

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© DTCC

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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© DTCC

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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© DTCC

International IdentifiersCounterparty - 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

– ISO 17442: 18 alphanumeric and 2 check digits

•Initial design focuses on information that can be publicly validated– 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

– Funds manager, branch locations, PB designations, trading strategy/desk identifiers

•Each GTR identifier will have a namespace + value– 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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© DTCC

International IdentifiersTrade - 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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© DTCC

International IdentifiersProduct – 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-and-upi/

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© DTCC

Current clearing timelines

34

2012 2013 2014

27th DecEndorsement by Commission

28th MarchAccept by CouncilAnd Parliament

29th AprilEntry intoforce

30th MayNotification for the clearingobligation

27th NovDraftRTS

28th OctoberCCP authorisationWindow opens

28th AprilNotification ofAuthorised CCPsobligation

28th JulyLatest potential date for CCP authorisation

© DTCC

• 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 obligation

© DTCC

• 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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Clearing thresholds for non-financials

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Contact Information

Europe and Middle East 

Daniel Olajide dolajide@dtcc.com + 44 207 650 1433

Hanna Svensson hsvensson@dtcc.com + 44 207 650 1546

Daniela Aulinger daulinger@dtcc.com +44 207 650 1545

 

Asia-Pacific

Katherine Delp Kdelp@dtcc.com +81 3 6721 8876

Shoko Kitamura Skitamura@dtcc.com +81 3 6721 8876

 

Canada, North, Central and South America. 

John Dimeglio jdimeglio@dtcc.com + 1 212 855 3531

John Kim jkim@dtcc.com + 1 212 855 3104

Frank Lupica flupica@dtcc.com + 1 212 855 2430                 

  

Global GTR Lead

Andrew Green agreen1@dtcc.com + 44 207 650 1410 

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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