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OTC Derivative Trade Reporting – What do I have to report?

Posted on September 23rd, 2015 by Sophie Gerber in OTC Trade Reporting

road-sign-63983_1280With the deadline for Phase 3B entities fast approaching (12 October 2015), it is time for reporting entities to consider their obligations and commence putting procedures in place which promote compliance with the ASIC Derivative Transaction Rules (Reporting) 2013 (the Rules).

In addition to the Rules, ASIC has released Regulatory Guide 251 which provides reporting entities with additional guidance in relation to trade reporting. Key for most reporting entities will be determining the data that is required to be reported and developing IT systems which collect this data and put it in a form acceptable to their trade repository.

The information required to be reported is divided into two categories:

  • derivative transaction information – this is information about an entity’s reportable transactions; and
  • derivative position information – this is information about an entity’s reportable positions.

Reporting entities will also need to report any changes to this information which has previously provided to the trade repository.

Derivative transaction information

The requirements for this information are contained in Part S2.1 of Schedule 2 of the Rules and are divided into two categories: common data and data specific to each asset class. Reporting entities are required to report on the following specific asset classes:

  • credit derivatives;
  • commodity derivatives (other than electricity derivatives);
  • interest rate derivatives;
  • foreign exchange derivatives; and
  • equity derivatives.

The lists contained in Schedule 2 of the Rules are exhaustive and broadly require the following information to be reported for all derivative transactions:

  • the economic terms of the transaction;
  • the product, transaction and entity identifiers – this includes any non-reporting counterparty identifiers;
  • information on whether the transaction is centrally cleared; and
  • valuation (mark-to-market, mark-to-model or other valuation) and collateral information.

Derivative position information

Part S2.2 of the Rules outlines a common set of data fields and specific fields relating to each asset class. The information to be reported broadly covers:

  • the economic terms of the position;
  • the product and entity identifiers;
  • information on whether the position is centrally cleared; and
  • valuation (mark-to-market, mark-to-model or other valuation) and collateral information.

What is an identifier?

There are a range of identifiers which are required to be reported as part of the common data for transaction and position information. Identifiers are a 20 character code that uniquely identifies entities who participate on the financial markets. Identifiers are applied to:

  • counterparties;
  • beneficiaries (if different to the counterparty);
  • the person making the report (if not the reporting counterparty);
  • the broker that executed the transaction – if any;
  • the clearing member that cleared the transaction – if any.

Reporting entities should review their obligations and their IT capabilities to ensure that all required data is able to be collated and reported by 12 October 2015.  Compliance with the Rules will rely on systematic collation of information and to ensure timely and accurate reporting.  Many firms have engaged an OTC derivatives trade reporting service to assist them to meet these requirements.

Do not hesitate to contact us if you would like to discuss the requirements and how we can assist.

Sophie Gerber

Sophie is the director of both Sophie Grace Legal Pty Ltd and Sophie Grace Pty Ltd. Sophie has worked with some of Australia’s largest financial services organisations in compliance, legal and operational roles. She has also worked with small businesses to provide tailored solutions with a strong understanding of business practicalities as well as obligations to regulators.