GTR ESMA OTC Activity Report

Report
EMIR STRATEGY
OTC LITE SOLUTION
REPORT OVERVIEW
DTCC Confidential (Yellow)
© DTCC
Agenda
• Reports Overview
• OTC Lite Report Suite
• ACK/NACK
• Warning Report
• GTR ESMA OTC Position Report
• GTR ESMA OTC Activity Report
• ESMA Match Status Report
• Trade Reconciliation Status
• ESMA UTI Conflict or Pair LEI Break Report
• Collateral and Valuation Report Suite
• Appendix
• User Guide References
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Reports Overview
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Reports are located in the European Portal under the “OTC Lite Reporting” Window
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Batch Cut-off for reports is 12pm GMT
All reports bar ACK/NACK reports are generated daily and will be data from the previous days
activity/open positions ( i.e.: Report Run Date: 2014-03-14; Report Date: 2014-03-13)
Warning and ACK/NACK reports are generated out of the OTC Lite Application
GTR ESMA OTC Position Report, GTR ESMA OTC Activity Report , ESMA Match Status Report
and ESMA UTI Conflict or Pair LEI Break Report are generated out of a common data source with
the “Core” ( cross jurisdictional) applications.
All references to “Blank Reports” in the deck, refers to reports with headers and no data ( a report
with no data is an issue)
All reports must be downloaded from portal within 7 calendar days as older reports will be deleted
after this time.
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ACK/NACK
• The ACK/NACK reports are generated for each file submission soon
after the submissions are made (i.e. are not a daily report)
• The ACK/NACK report will show you your acknowledged and
rejected submissions
• The reports are labeled by the Batch ID given at upload
• When you upload, regardless of responses on your file, you will find
an ack and separate nack report. If these reports are blank, it means
that you have not generated an ack or nack.
• ACK/NACK’s are based off of your submissions to OTC Lite and
only those submissions will be included on this report
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ACK/NACK
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ACK/NACK
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ACK/NACK
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Warning Report
• The Warning Report will highlight the possible issues with a position
if it is deemed not compliant due to missing information in the
existing submissions in the GTR (submissions accepted by the
GTR)
• Any blank ESMA Annex Table fields will generate a warning*
• Warnings will be generated on the submissions you have made and
the submissions that have been made on your behalf (full
delegation)
• If a Warning Report is blank, it means that none of your positions
have generated a warning
• A warning stays active as long as that position is active and has
missing information.
• Subsequent submissions can be made to add the missing
information which should cause the position to drop from this report
*Enhancements may be made in the future for fields that do not apply to certain products.
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GTR ESMA OTC Position Report
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The Position report will reflect all open positions for the participant.
The format of the report will indicate the ESMA fields and the data reported
against each of those fields.
Provides information in field formats as reported to ESMA (may appear different
than information on submission input)
All alleges (sent in to the GTR) will be reflected on the report
The ESMA Position Report will include those trades where the report recipient is
named as a counterparty to the trade or is named as the execution agent.
To distinguish between submissions made by you or on behalf of you, please sort
by the “Data Submitter Prefix” and “Data Submitter Value” fields
On your report, 2 lines will typically appear per trade, your submission (usually
first), second line will be your counterparties. Full delegations will appear as 2
lines as well.
If your counterparty has not yet reported, or reports to another TR, this will not
appear on your report
Positions that have expired or have a 0 Notional will not be on your position report
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GTR ESMA OTC Activity Report
• The Activity report will reflect all activity since the last report for the
participant.
• The format of the report will indicate the ESMA fields and the data
reported against each of those fields.
• It is in the exact same format and field list as the ESMA Position
Report.
• All alleges will be reflected on the report (where the participant has
been named as a trade party to a UTI reported by another
counterparty).
• The fields Lifecycle Event, Lifecycle Event Effective Date, Action
type and Details of action type will be included in the activity report
but are blank in the position report.
• Multiple submissions on the same UTI during the same day will
appear multiple times on the activity report
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ESMA Match Status Report
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The new Matching Status report will provide participants with a breakdown
of category 1 and category 2* differences to facilitate them investigating and
resolving breaks. See above section on Inter-TR reconciliation for definition
of break category.
The Matching Status report will detail the list of unmatched fields but only
the field name and not the field content on either side of the position.
The report will contain the following fields:
• UTI
• Party 1 LEI
• Part 2 LEI (or other identifier)
• Trade Reconciliation Status
• Unmatched fields**
• Party 1 Transaction ID
*The list of fields can be found in the user guide under section 6.2.1
**Unmatched fields will tell you what fields are breaking but will not what your counterparty
has reported. You can reference your position report if your counterparty has reported to the
GTR, otherwise you will need to contact your counterparty
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Trade Reconciliation Status
Trade Reconciliation Status
Single-sided, unpaired, EEA
Dual-sided, unmatched
category 1
Dual-sided, unmatched
category 2
Dual-sided matched
Single-sided, paired,
unmatched category 1
Single-sided, paired,
unmatched category 2
Single-sided, paired, match
pending
Single-sided, paired,
matched
Trade Reconciliation Status description
the GTR has one side of the trade, knows that the other side is EEA based upon the value of the Contract with
non-EEA counterparty flag for Table 1 – Counterparty Data being set to ‘Y’ and does not know which TR holds
the other side of the trade is.
The GTR has both sides of the trade and category 1 fields do not match within the tolerances defined in
Appendix A. The fields which do not match will be listed on the TR reconciliation Differences Report.
The GTR has both sides of the trade and category 2 fields do not match within the tolerances defined in
Appendix A. The fields which do not match will be listed on the TR reconciliation Differences Report.
The GTR has both sides of the trade and all fields match within the tolerances defined in Appendix A.
The GTR has one side of the trade and the details of the other side of the trade have been obtained from the
TR with the other side of the trade. The reconciliation has taken place and not all fields match within the
tolerances defined in Appendix A. The fields which do not match will be listed on the TR reconciliation
Differences Report.
The GTR has one side of the trade and the details of the other side of the trade have been obtained from the
TR with the other side of the trade. The reconciliation has taken place and not all fields match within the
tolerances defined in Appendix A. The fields which do not match will be listed on the TR reconciliation
Differences Report.
The GTR has one side of the trade and the details of the other side of the trade have been obtained from the
TR with the other side of the trade. Match processing has not taken place yet.
The GTR has one side of the trade and the details of the other side of the trade have been obtained from the
TR with the other side of the trade. The reconciliation has taken place and all fields match within the
tolerances defined in Appendix A.
*Single-sided, unpaired, Non-EEA has been removed from the Match Status Report as any trades or
positions with this status are exempt from reconciliation under ESMA definitions because the other side has
no reporting obligation under EMIR.
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ESMA UTI Conflict or Pair LEI Break Report
• The UTI Conflict or Pair LEI Break Report is to inform users of UTI’s
reported by other counterparties or to inform a counterparty of an
LEI mismatch.
• From the perspective of Party A running the UTI Conflict & Pair
Break LEI Report they should see four columns:
1. Column A = UTI
2. Column B = Party A LEI (as submitted by Party A)
3. Column C = Party B LEI (as submitted by Party A)
4. Column D = Error Code [“UTI reported by other parties” or
“Mismatched LEI”]
• UTI reported by other parties error will occur when:
Party A vs. Party B reports UTI 123
Party C vs. Party D reports UTI 123
• Mismatched LEI error will occur when:
Party A vs. Party B reports UTI 456
Party B vs. Party C reports UTI 456
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Collateral and Valuation Report
Suite
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Participant Reports - Valuation
• MtM Valuations
– The reports that will be updated to include valuations are:
• ESMA OTC Position Report (Includes Core and Lite)
• ESMA OTC Activity Report (Includes Core and Lite)
• Warning Report (Includes ETD, Core and Lite)
– Valuations submitted through OTC Lite will not appear on OTC core
reports, they will only appear on the consolidated ESMA OTC Position
and Activity Reports.
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Participant Reports
• Counterparty Data Masking
– When reporting an allege message on position and activity reports the
following fields will be masked:
• MTM Value Party 2
• MTM Currency Party 2
• Valuation Datetime Party 2
• Valuation Type Party 2
• Collateral portfolio code
• Collateral Portfolio Indicator
• Collateralized
• Value of the collateral
• Currency of the collateral value
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Collateral Reports Access
• To access Collateral reports you need to chose Collateral
application by using correct o-code. This o-code will start with
number 0.
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Collateral Reports Access
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Participant Reports - Collateral
• Collateral Valuations
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Collateral valuations will not be populated on the GTR position reports. This exclusion will
apply to
• Enhanced Position Reports
• ESMA OTC Position Report
• ESMA ETD Position Report
• ESMA OTC Activity Report
• ESMA ETD Activity Report
The following fields will be added to the above reports but will not be populated:
• Collateralization
• Value of the collateral
• Currency of the collateral value
The following fields will be added to the above reports and will be populated if submitted via
trade messages. They will not be populated if submitted on Collateral Link messages.
• Collateral Portfolio Indicator
• Collateral portfolio code
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Participant Reports - Collateral
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Collateral Submission Report
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This report will be visible in Collateral application under new o-code starting with number 0.
A new collateral report will be created to indicate collateral posted by the report recipient
This will provide participants with a view of the collateral that is reported as being posted by
them.
The collateral reports will be asset class and service agnostic, meaning all collateral from the
OTC Core, Lite and ETD service will appear on the same collateral report.
The report will only show data related to the trade party where that party has reported the
collateral. The report will include the following fields:
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Trade Party Prefix
Trade Party Value
Execution Agent prefix
Execution Agent Value
Data Submitter prefix
Data Submitter value
Collateral portfolio code
Value of the collateral
Currency of the collateral value
Send To
Users will only be able to access collateral reports where they are posting collateral.
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Participant Reports - Collateral
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Collateral Link Report
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This report will be visible in Collateral application under new o-code starting with number 0.
A new collateral report will be created to indicate collateral link between Position messages
and Collateral Value
For user who will be linking their collateral portfolio codes to their underlying positions
through the Collateral Link message, a report will be generated of all active links made
through the collateral link message.
The collateral reports will be asset class and service agnostic, meaning all collateral from the
OTC Core, Lite and ETD service will appear on the same collateral report.
The report will only show data related to the trade party where that party has reported the
collateral link.
Users will only be able to access collateral link reports where they are reporting collateral link
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Participant Reports - Collateral
The report will include the following fields:
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Data Submitter prefix
Data Submitter value
Trade Party Prefix
Trade Party Value
Execution Agent Party Prefix
Execution Agent Party Value
UTI Prefix
UTI Value
USI Prefix
USI Value
Trade Party Transaction Id
Collateral portfolio code
Collateralized
Action
Message Timestamp (DateTime when message is received by GTR)
Send To
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Appendix
• User Guide
– http://dtcc.com/~/media/Files/Downloads/Data-and-RepositoryServices/GTR/GTR-Europe/DTCC-GTR-OTC-Lite.ashx
• Section References
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ACK/NACK (7.2.1)
Warning Report (7.2.2)
GTR ESMA OTC Position Report (7.2.3)
GTR ESMA OTC Activity Report (7.2.4)
ESMA Match Status Report (7.2.5)
• Category 1 and Category 2 Fields (6.2.1)
• ESMA UTI Conflict or Pair LEI Break Report (7.2.6)
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Section E: Client Support
• Dedicated OTCLite webpage
(http://www.dtcc.com/en/data-and-repository-services/global-trade-repository/otc-lite.aspx)
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Includes recorded presentations, user guide, connectivity guide, up to date
template and a schedule of online demonstrations
• Dedicated UAT Support team
– Support available in multiple European languages
– Email support for testing: [email protected]
for production: [email protected]
– Hotline support:
• Europe/UK/Asia: +44 (0)207-136-6328
• North America: 1-888-382-2721
Sending Queries
Useful to always include the following information
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Your account number
Your Batch id
Your csv submission file
Your O-code
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