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© DTCC EMIR STRATEGY OTC LITE SOLUTION REPORT OVERVIEW DTCC Confidential (Yellow)
© DTCC 2 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
© DTCC Reports Overview Reports are located in the European Portal under the “OTC Lite Reporting” Window 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: ; Report Date: ) 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. 3
© DTCC 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 4
© DTCC ACK/NACK 5
© DTCC ACK/NACK 6
© DTCC ACK/NACK 7
© DTCC 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. 8
© DTCC GTR ESMA OTC Position Report 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 9
© DTCC 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 10
© DTCC ESMA Match Status Report 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 **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 11
© DTCC Trade Reconciliation Status Trade Reconciliation Status description Single-sided, unpaired, EEA 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. Dual-sided, unmatched category 1 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. Dual-sided, unmatched category 2 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. Dual-sided matched The GTR has both sides of the trade and all fields match within the tolerances defined in Appendix A. Single-sided, paired, unmatched category 1 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. Single-sided, paired, unmatched category 2 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. Single-sided, paired, match pending 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. Single-sided, paired, matched 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. 12 *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.
© DTCC 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
© DTCC Collateral and Valuation Report Suite 14
© DTCC 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.
© DTCC 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
© DTCC 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. 17
© DTCC Collateral Reports Access 18
© DTCC Participant Reports - Collateral Collateral Valuations –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
© DTCC Participant Reports - Collateral Collateral Submission Report –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: 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.
© DTCC Participant Reports - Collateral Collateral Link Report –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 21
© DTCC Participant Reports - Collateral The report will include the following fields: 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 22
© DTCC Appendix User Guide –http://dtcc.com/~/media/Files/Downloads/Data-and-Repository- Services/GTR/GTR-Europe/DTCC-GTR-OTC-Lite.ashxhttp://dtcc.com/~/media/Files/Downloads/Data-and-Repository- Services/GTR/GTR-Europe/DTCC-GTR-OTC-Lite.ashx Section References 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) 23
© DTCC 24 DTCC Confidential (Yellow) Dedicated OTCLite webpage (http://www.dtcc.com/en/data-and-repository-services/global-trade-repository/otc-lite.aspx)http://www.dtcc.com/en/data-and-repository-services/global-trade-repository/otc-lite.aspx 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 – support for testing: for production: –Hotline support: Europe/UK/Asia: +44 (0) North America: Sending Queries Useful to always include the following information Your account number Your Batch id Your csv submission file Your O-code Section E: Client Support
© DTCC Disclaimer The content, information and any materials (“data”) provided by DTCC Deriv/SERV LLC (Deriv/SERV) and/or its affiliated companies or subsidiaries in this presentation is on an “as is” basis. Deriv/SERV expressly disclaims all warranties, expressed or implied, as to the accuracy of any data provided, including, without limitation, liability for quality, performance and fitness for a particular purpose arising out of the use of the data. Deriv/SERV shall not have any liability, duty or obligation for or relating to the data contained herein, any errors, inaccuracies, omissions or delays in the data, or for any actions taken in reliance thereon. In no event shall Deriv/SERV be liable for damages, including, without limitation, damages resulting from lost data or information or lost profits or revenue, the costs of recovering such data, the costs of substitute data, claims by third parties of for other similar costs, or any special, incidental, or consequential damages, arising out of the use of the data. Any unauthorized use, including but not limited to copying, distributing, transmitting or otherwise of any data appearing herein may violate the intellectual property rights of Deriv/SERV under any intellectual property laws such as copyright laws, trademark laws and communications, regulations and statutes. [DTCC Confidential (Yellow)
© DTCC EMIR STRATEGY OTC LITE SOLUTION REPORT OVERVIEW.
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