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DTCC Product Management GTR OTC Lite User Guide

DTCC GTR OTC Lite User Guide v0.6

Copyright © 2010-2013 by DTCC Deriv/SERV LLC of 68

DTCC GTR “OTC Lite” User Guide

April 2014

The European Securities and Markets Authority (the "ESMA") have not approved or otherwise sanctioned the information contained in this document. The EMIR business requirements detailed herein represent the DTCC GTR proposed implementation of trade reporting to enable firms to comply with EMIR. Readers should not infer approval by ESMA of the content of this document. This document should be read together with the business requirements for “OTC Lite”

https://dtcc.com/




1. Overview ............................................................................................................................................... 7

Introduction .................................................................................................................................. 7 1.1

GTR Document Portal ................................................................................................................... 7 1.2

Global Processing Overview ........................................................................................................ 10 1.3

File Input ............................................................................................................................. 10 1.3.1

GTR Connectivity ......................................................................................................................... 10 1.4

Data Center Access and Security......................................................................................... 11 1.4.1

GTR Entitlements ........................................................................................................................ 11 1.5

Web GUI Entitlement .......................................................................................................... 11 1.5.1

Secure FTP Entitlement ....................................................................................................... 12 1.5.2

GTR Sign on Process .................................................................................................................... 13 1.6

2. Trade submission ................................................................................................................................ 14

GTR Upload Process .................................................................................................................... 14 2.1

“OTC Lite” Cross Asset Messaging .............................................................................................. 16 2.2

“OTC Lite” Message Template ............................................................................................ 16 2.2.1

Valuation and Collateral Reporting ..................................................................................... 16 2.2.2

GTR CSV File Footer Message ............................................................................................. 16 2.2.3

GTR Batch Cut-off Requirements ................................................................................................ 18 2.3

Message Usage ........................................................................................................................... 18 2.4

Reporting a New Trade ....................................................................................................... 18 2.4.1

Reporting a Post Trade Event.............................................................................................. 19 2.4.2

Reporting a Trade Exit ......................................................................................................... 19 2.4.3

Lifecycle Event Reporting ............................................................................................................ 20 2.5

Correcting Life Cycle Events ................................................................................................ 20 2.5.1

The following table summarizes the events supported by the GTR. .................................................. 22

Message Workflows .................................................................................................................... 23 2.6

DIAGRAM 1 ......................................................................................................................... 24 2.6.1

DIAGRAM 2 ......................................................................................................................... 25 2.6.2

DIAGRAM 3 ......................................................................................................................... 26 2.6.3




DIAGRAM 4 ......................................................................................................................... 27 2.6.4

DIAGRAM 5 ......................................................................................................................... 28 2.6.5

DIAGRAM 6 ......................................................................................................................... 29 2.6.6

3. Message Validation ............................................................................................................................. 30

Validation Stages ......................................................................................................................... 30 3.1

Business validation ...................................................................................................................... 30 3.2

ESMA Regulatory validation ........................................................................................................ 30 3.3

Response Messages .................................................................................................................... 31 3.4

CSV-Batch Download Report (Spreadsheet Download Report) .......................................... 31 3.4.1

End-of-Day Warning Report ........................................................................................................ 31 3.5

Generation Rules ................................................................................................................. 32 3.5.1

4. Dual-sided reporting ........................................................................................................................... 33

Introduction ................................................................................................................................ 33 4.1

Identifying reporting model ........................................................................................................ 34 4.2

Independent reporting rules ............................................................................................... 34 4.2.1

Full Delegation reporting rules ........................................................................................... 34 4.2.2

Delegated Reporting Functionality Matrix .......................................................................... 36 4.2.3

5. Trade Identification ............................................................................................................................. 37

Introduction of UTI & Principles applied by the GTR for “OTC Lite” ........................................... 37 5.1

Upstream workflow .................................................................................................................... 38 5.2

UTI Lock ....................................................................................................................................... 38 5.3

UTI Lock Exceptions: ........................................................................................................... 39 5.3.1

6. Inter-TR Reconciliation ........................................................................................................................ 40

Trade Pairing ............................................................................................................................... 40 6.1

Trade Matching ........................................................................................................................... 41 6.2

Fields and Rules ................................................................................................................... 41 6.2.1

7. Participant Reporting .......................................................................................................................... 46

Downloading Reports off the Portal ........................................................................................... 46 7.1

Reports available for all Asset Classes ........................................................................................ 47 7.2

ACK/NACK ........................................................................................................................... 48 7.2.1




Warning Report ................................................................................................................... 49 7.2.2

GTR ESMA OTC Position Report .......................................................................................... 51 7.2.3

GTR ESMA OTC Activity Report ........................................................................................... 55 7.2.4

ESMA Match Status Report ................................................................................................. 56 7.2.5

ESMA UTI Conflict or Pair LEI Break Report ........................................................................ 58 7.2.6

8. Appendix A – Useful Links ................................................................................................................... 59

Regulatory Background ............................................................................................................... 59 8.1

ESMA Final Draft Technical Standards ................................................................................ 59 8.1.1

Summary of the ESMA Technical Standards ....................................................................... 59 8.1.2

EMIR vs. DFA Comparison ................................................................................................... 59 8.1.3

ESMA Questions and Answers ............................................................................................ 59 8.1.4

ISDA’s Guidance on Price Notation ..................................................................................... 59 8.1.5

Business Requirements Document ............................................................................................. 59 8.2

CSV Upload Template ................................................................................................................. 59 8.3

OTC Lite Presentations and Videos ............................................................................................. 60 8.4

ISDA Taxonomy ........................................................................................................................... 60 8.5

International sFTP Transmission Guide v1.0 ............................................................................... 60 8.6

Contact List for OTC Lite ............................................................................................................. 60 8.7

9. Appendix B – Frequently Asked Questions (FAQs) ............................................................................. 61

What is the geographic and jurisdictional scope of OTC Lite?.................................................... 61 9.1

Who is able to use the OTC Lite service? .................................................................................... 61 9.2

Is it possible to send multiple files in one day as in one file per trade? ..................................... 62 9.3

Which ‘Optional’ fields need to be filled out? ............................................................................ 62 9.4

Does the field ‘Trade Party 2’ need to be filled out when a party is submitting under 9.5

independent delegation? ........................................................................................................................ 63

How can I submit structured or exotic products? ...................................................................... 63 9.6

What is DTCC’s system operating schedule? .............................................................................. 63 9.7

10. Appendix C – DTCC Best Practice for Uploading ............................................................................. 64

Cross Asset Guidance .................................................................................................................. 64 10.1

Technical Guidance ..................................................................................................................... 65 10.2




Valid Values ................................................................................................................................. 65 10.3

Interest Rates .............................................................................................................................. 66 10.4

Commodities ............................................................................................................................... 66 10.5

Foreign Exchange ........................................................................................................................ 67 10.6

Revision History

Version Date Revision V0.1 October 30, 2013 Initial Draft

V0.2 November 30, 2013

Revisions New Screenshots

V0.3 December 11, 2013 Revised Position Report Table

V0.4 December 12, 2013 Revised Q and A section

V0.5 January 14, 2014 Updated 2.1 GTR Upload Process with new screen shots Added 2.2.1 GTR CSV File Footer Message Added 2.5.1 Correcting Life Cycle Events Updated 3.5 EOD Warning Report Added 6 Inter-TR Reconciliation (Includes Trade Pairing and Trade Matching) Updated 7.2.2 with Warning Error Codes Added 7.2.5 ESMA Match Status Report Added 7.2.6 ESMA UTI Conflict or Pair LEI Break Report Added 8.1.4 ESMA Q&A Link Added 8.1.5 ISDA Guidance on Price Notation Added 8.6 International sFTP Transmission Guide v1.0 Added additional Q&As in Section 8 Added 10 DTCC Best Practice for Uploading

V0.6 March 17, 2014 Updated 1.5.1 Web GUI Entitlement Updated 2.4 Message Usage Updated 3.3 ESMA Regulatory Validation Updated 4.2.3 Delegated Reporting Functionality Matrix Updated 5 Trade Identification Updated 5.2 Upstream Workflow Updated 7.2.2 Warning Report Updated 7.2.3 GTR ESMA OTC Position Report Updated 7.2.5 ESMA Match Status Report Updated 7.2.6 ESMA UTI Conflict or Pair Break Report Updated 8.7 Contact List for OTC Lite




1. Overview

Introduction 1.1

DTCC's cross-asset Global Trade Repository (GTR) provides the industry with a central point of

communication and storage for OTC derivatives in the Credit, Equities, Rates, Commodities and FX asset

classes and EMIR reportable exchange traded derivatives (ETD). GTR accepts all trades from any trading

entity worldwide (or its agents) for all global transactions that are reportable to regulators.

To supplement the GTR offering the “OTC Lite” service will be an additional reporting service allowing

firms to report their OTC derivatives transactions that are reportable under European Market

Infrastructure Regulation (“EMIR”) to the GTR. The solution allows for reporting of positions, trade

events and valuation data on each position and collateral valuation data. The service is single jurisdiction

and is therefore only appropriate to report trades to ESMA. All OTC derivative transactions for all asset

classes can be reported using the single message template.

Under EMIR each counterparty of the transaction is required to report the trade or one party may

delegate the reporting responsibility to the other trade counterparty or a third party. The “OTC Lite”

service offers independent submissions (report for only one trade counterparty) or full delegation

(report for both trade counterparties). This will be explained further in this user guide.

GTR Document Portal 1.2

Additional useful information can be found on the GTR document portal and may be referred to in this user guide. The GTR document portal houses the latest business and technical documents that are designed to help users understand the requirements of the system. The document portal is divided into seven sections which are described below.

http://dtcc.com/data-and-repository-services/global-trade-repository/gtr-europe/client-center.aspx

Please reach out to your relationship manager to retrieve login information.

http://dtcc.com/data-and-repository-services/global-trade-repository/gtr-europe/client-center.aspx




The GTR Release Notes dropdown contains weekly release notes detailing the code changes that have been made and will be made in the UAT and Production environments. Additionally, a section called Release Notes provides information relating to GTR scheduled down times.

The Product Training and Support dropdown contains functional description documents, business FAQs

and best practices for using the GTR. This section is subdivided into asset classes and each document is

categorized according to its asset class relevance.

The Business Requirement Documentation dropdown contains documents that describe the requirements met by the GTR.

The UAT Documentation dropdown contains documents that pertain to the current UATs in flight.

The Supported - Spreadsheet and Messaging Specs dropdown contains the message templates and

other technical documents describing the GTR functionality currently supported in the UAT and

Production environments.

The Future - Spreadsheet and Messaging Specs dropdown contains the message templates and other

technical documents describing functionality that is under development and is not yet in the UAT or

Production environments. Documents in this section are either under discussion in the DTCC working

groups or are planned for migration into the UAT or Production environment.

The Global Repository On-Boarding section contains GTR onboarding documentation.

The Connectivity section contains guides describing the methods available for connecting to GTR.




Global Processing Overview 1.3

The “OTC Lite” service will only be accommodated in the EU datacenter (“EUDC”). This means that sFTP

and web-upload will need to be directed to the EUDC for processing. Firms can either connect directly to

the EUDC or use their existing connectivity to the USDC but with the exception that any files sent via

sFTP will be routed to the EUDC based on the GTR Product ID assigned.

The diagrams below indicate the connectivity options for the full GTR. Please note that the CSV files

received via sFTP for “OTC Lite” will follow the dedicated EU connectivity only.

File Input 1.3.1

Submissions of CSV files via FTP or Web Upload will be to the GTR Product ID for file submissions. CDTS

will retrieve the file from the file system and based on the GTR Product ID will send the file to the EUDC

for processing.

GTR Connectivity 1.4

Participants subscribing to the “OTC Lite” service can submit OTC trade information via the following

channels:

Web GUI, using CSV (comma separated values) file upload

SFTP, using CSV files




Data Center Access and Security 1.4.1

Access to the EUDC is separate and distinct from the others and will be provided by a new URL. For users

to access the EUDC URL, they will need a new Global Login ID which is a separate and distinct log in ID

from the existing Web ID. All existing users, who wish to gain access to Global URLs, will require a

second Global Login ID in addition to their current Web ID. Existing Web IDs will not be able to access

the Global URLs, likewise the Global Login IDs will not be able to log into the US URL. These existing

users will need to request access to a new Global Login ID from their Super Access Coordinator (SAC).

The SAC will be able to provide new Global Login IDs to their users. Global IDs will follow the current

Web ID format.

1.4.1.1 Restrictions

SAC – CRS can only be accessed through the US URL. Existing and New SAC functionality will continue to be supported from the US URL.

Global Login ID – Cannot be permissioned as a SAC or AC as both functions are only accessible through the US URL.

UAT –Existing and New users will have to log into the EU URL to access UAT.

GTR Entitlements 1.5

Web GUI Entitlement 1.5.1

The GTR web system is accessed via links to the common DTCC Customer Portal. All new users are issued

with login IDs and passwords in order to log-in to the Global Trade Repository system. Separate regional

portals are available via each data center to access the GTR web system. Separate sign-on and

passwords are required for accessing each portal.

Each user login ID is associated with a GTR Entity/Participant Grouping code (O-Code), a four character

code used to identify the organization of the user. A participant will receive separate O-Codes for

different services provided. In addition, position reports are created at the O-Code level; therefore all

entities grouped under the same set of O-Codes will show up on the same position report.

Existing DTCC participants are able to utilize their existing login IDs and passwords to access the GTR

Submission and Reporting system; however each participant should have one of the above roles defined

for their existing login IDs, along with the mapping for their new Entity/Participant Grouping Code (O-

Code).

Currently Firms that are setup in DTCC have two or more ‘access coordinators’ who can setup users for

DTCC web products within their firm. The GTR system is configured to allow each firm’s access

coordinator to assign access rights for the web GUI to users within their firm.

Participant and regulator roles are defined in the GTR.




1.5.1.1 Participant

Participants are able to submit data to GTR by uploading CSV files for their authorized Entity through the submission portlet. The portlet is available on the GTR Dashboard.

Participants can view the status of their uploaded batches through reports that can be downloaded as spreadsheets. This applies to CSV submissions uploaded via Web GUI or Secure FTP. Only “OTC Lite” submissions will be indicated on these batch reports (also known as the ACK or NACK batch output report)

Participants are able to view reports applicable to the entities for which they have been authorized.

All trades submitted in the “OTC Lite” service in the EUDC will be included on the participant reports generated at that data center.

1.5.1.2 Regulator

Regulators are able to view reports in the GTR reporting portlet. Reports are available per asset class on the GTR Dashboard.

Regulators are able to view reports based on the authorized Entity, the Regulator Type and Regulator Mapping setup in SDO.

Only those trades marked as having reporting obligations will be included on the appropriate regulator reports. For example, all open trades in the EUDC will be included in the participant reports generated in EUDC but only those trades with a reporting obligation of ESMA will be included in the regulator reports generated in the EUDC.

Secure FTP Entitlement 1.5.2

The participants who submit trade information into GTR will be given Secure FTP entitlement for the CSV

submission.

The way to submit through Secure FTP is through DATATRAK and AutoRoute which are DTCC’s

proprietary file input and output management subsystems. They enable DTCC and its participants to

securely and reliably automate the exchange of files over a network link. DTCC supports these services

over their proprietary SMART network, as well as the SWIFT and BT Radianz networks.

For more information on DATATRAK and AutoRoute go to the GTR Clients’ Center (outline in section 1.2)

and select “Connectivity” in the dropdown to retrieve the documentation.




GTR Sign on Process 1.6

The below screenshots depict how to login to OTC Lite.

1. Go to https://gtr.eu.dtcc.com 2. Here you are prompted for your user ID and password. Type your user ID and password and click

Login

3. Select OTC Lite from the DTCC Portal Menu. It will look similar to the below link for the Global Trade Repository.

https://gtr.eu.dtcc.com/




2. Trade submission

GTR Upload Process 2.1

The below screenshots depict how to manually upload CSV files into the system.

1. Go to: http://dtcc.com/data-and-repository-services/global-trade-repository/gtr-europe/client-center/client-center.aspx?gated=customers Contact [email protected] for login details.

2. Once you are logged in, select Supported - Spreadsheets and Messaging Specs.

All message templates in Production are available under Supported - Spreadsheets and Messaging

Specs. All message templates that are in UAT are available in Future - Spreadsheets and Messaging

Specs.

http://dtcc.com/data-and-repository-services/global-trade-repository/gtr-europe/client-center/client-center.aspx?gated=customers

http://dtcc.com/data-and-repository-services/global-trade-repository/gtr-europe/client-center/client-center.aspx?gated=customers

mailto:[email protected]




3. Click the spreadsheet that you want to download (e.g. OTC Lite Upload Spreadsheet).

4. Log on to the portal to access OTC Lite. Select Participant in the dropdown. Enter your Participant Code and then select your O-Code in the dropdown.

5. The dashboard shows your firm’s latest list of batch submissions to the GTR. Click Upload. The Upload page appears.

6. Click Upload and then use the navigation tools provided to locate and select the spreadsheet file that you want to upload.

7. Click Upload




“OTC Lite” Cross Asset Messaging 2.2

The following message types are supported by the “OTC Lite” service for all asset classes.

Message Type Description

Position Used either to report the “point-in-time” view of the trade state or to report the trade opening. The

“point-in-time” view of the trade state may include any trade detail changes or updates to the

trade. (This message type is similar to the main GTR service which supports a “Snapshot”)

Valuation* Used to report the current valuation (market value) of the trade. The valuation is submitted on a

daily basis for the reportable trades.

Collateral Valuation*

Used to report portfolios of collateral that can be linked to individual transactions.

*Have a compliance date of August 11th 2014

“OTC Lite” Message Template 2.2.1

The message template is designed to enable full compliance with the EMIR requirements and as such contains fields that are specified in the EMIR RTS. In addition to these fields there are a set of control fields that are applicable for all message submission to the GTR in order for the GTR to process the messages correctly. The template is a simple CSV format and contains 28 control fields (most of these are required on each message) and 128 EMIR specific fields (including fields related to trade party 2 to enable delegated reporting). Each message type supported can be submitted on the same template and where the field is N/A or Optional it can be left blank (comma-separated) and the GTR will accept the message. Important to note: It is the reporting parties’ responsibility to ensure that all EMIR specific Required fields have been populated accurately and completely. The GTR mandates many of the fields as required but there are a number of common data fields (mostly trade economic fields) that are Optional on the message template. The reporting party has until end of T+1 UTC to report the trade to a registered trade repository (TR) under the EMIR rules. However, here may be certain scenario’s that some of the data is not available. As soon as the data is available the reporting party must update their trade record in the GTR. Each EMIR field has been indicated in the message template and should be populated if available/applicable

Valuation and Collateral Reporting 2.2.2

Compliance for the valuation and collateral reporting will be 180 days post reporting start date. The

description and details for valuation and collateral reports will be included at a later stage.

GTR CSV File Footer Message 2.2.3

Each CSV file must contain a footer message. The file footer (trailer) contains information needed by

GTR to process the CSV file correctly. The below footer message must be included in all csv submission




to the GTR whether web upload or sFTP. There are additional headers and trailers required in your sFTP

submissions but this footer is also required.

The format of the message is as follows:

*OCOD-ENDnnnnnnnn

Example: *DTC0-END00054321

GTR Footer (Trailer) Field

GTR Value Length

Constant1 * (This is constant) 1

Originator This is the 4 character ORIGINATOR ID that is assigned to your account as part of the GTR on-boarding process. DTC0 is used in our example above

4

Constant2 -END (This is constant) 4

Record Count This is the count of records in the file excluding comment lines. This must be left padded with zeroes. 00054321 are used in our example above.

8

Sample File (example for information purposes only)

The below example includes a file consisting of 4 lines with data. The comment line and file footer are

not included in record count. Please also note the file footer is one value.

*Comment Line ,Data,Data,Data,Data

,Data,Data,Data,Data



*DTC0-END00000004

By way of example, when preparing your sFTP file the following format should be followed:

DataTrak Header

Application Header

*Comment Line





*DTC0-END00000004

DataTrak Trailer




GTR Batch Cut-off Requirements 2.3

Transactions reported under EMIR must be reported to a trade repository no later than T+1 following

the conclusion, modification or termination of the trade. Across all asset classes, the cut-off for batch

reporting in the EUDC is 23:45 Coordinated Universal Time (UTC). Five batch reporting cycles run each

week and will be scheduled at the following times.

Business Day EUDC Submission Cut-off EUDC Batch Run

Monday 23:45 UTC Monday 00:00 UTC Tuesday

Tuesday 23:45 UTC Tuesday 00:00 UTC Wednesday

Wednesday 23:45 UTC Wednesday 00:00 UTC Thursday

Thursday 23:45 UTC Thursday 00:00 UTC Friday

Friday 23:45 UTC Friday 00:00 UTC Saturday

Message Usage 2.4

The following section details how to report a new trade, report a post trade event and report a trade

exit. The “Trade Event” column defines the business event that has occurred. The “Message Type”,

“Action”, “Transaction Type” and “Lifecycle Event” columns refer to the fields you would submit on an

inbound message. “ESMA Action” refers to how the message will be reported to ESMA.

The “OTC Lite” message template can be used to report Interest Rate, Credit, Foreign Exchange, Equities

and Commodity OTC derivative transactions. The tables below are applicable for all asset-classes unless

indicated.

Inbound Transaction type field value of “PositionCancel” will always be reported as “Error” to ESMA.

Asset Class Message Type Action Transaction Type

Lifecycle Event

ESMA Action

All Any* New PositionCancel N/A Error

*Any refers to any message type and transaction type where Cancel applies

Reporting a New Trade 2.4.1

The following message type, activity type and transaction type combinations can be used to report a

new trade.

Trade Event* Message Type

Action Transaction Type** Lifecycle Event ESMA Action

New Trade Position New Trade Trade or New New

Backload Position

New Backload or Trade N/A or Backload

New

Novation Trade (a New Trade as a result of a novation)

Position New Trade Novation-Trade

New




* Allocated, Cleared and Unallocated Block trades will be reported under New Trade

** Multiple Transaction Types are giving users the ability to decide what is best depending on their

system flow

Reporting a Post Trade Event 2.4.2

The following message type, activity type and transaction type combinations can be used to report post

trade events.

Trade Event Message Type

Action Transaction Type

Lifecycle Event ESMA Action

Amendment Position New Trade Amendment New

Modification Position New Trade Modify Modify

Increase Position New Trade Increase New

Partial Novation Position New Trade Novation Cancel

Termination Position New Trade Termination Cancel

Partial Termination (FX and Credits only)

Position New Trade PartialTermination Cancel

Fee Amendment Position New Trade Amendment New

Compression* (original trade part-terminated)

Position New Trade Compression Compression

Succession (Credit only) Position New Trade CreditEvent New

Credit Event (Credit only) Position New Trade CreditEvent New

Partial Exercise (FX only) Position New Trade PartialExercise Cancel

Exercise Position New Trade Exercise Cancel

Corporate Action Position New Trade CorporateAction New

*The new trade/s as a result of the compression event should have the field “Compression” marked as “true.”

Reporting a Trade Exit 2.4.3

The following message type, activity type and transaction type combinations can be used to remove an

existing trade.

Trade Event Message Type

Action Transaction Type

Lifecycle Event ESMA Action

Full Termination Position New Exit or Trade Termination Cancel

Full Novation Position New Exit or Trade Novation Cancel

Compression (original trade terminated)

Position New Exit Compression Compression

Exercise Position New Exit Exercise Cancel

Partial Exercise (FX Only)

Position New Exit or Trade Partial Exercise Cancel

Exit Position New Exit Exit Cancel

Position Cancel Position New PositionCancel N/A Error




Please note that a Position Cancel will remove the position as if it never existed. The UTI can be re-used

if not locked by any other submission from the other counterparty. An Exit message is when a trade is

no longer a live position (there is no need to submit an Exit when a trade matures). In addition, when a

life cycle event occurs that will lead to an Exit message, submitting only an Exit message will be

sufficient for reporting purposes.

Lifecycle Event Reporting 2.5

EMIR regulations require reporting on the individual lifecycle events that occur throughout the lifetime

of a derivative contract. Life-cycle events are changes to the originally agreed trade details which occur

during a trade’s lifetime.

For trades that fall under EMIR it is necessary to provide reporting not only for end-of-day state of

trades, but a substantiation of that end-of-day trade state in the form of an “event log” of specific

changes that have occurred since the prior end-of-day, including the reason for these changes. This can

be achieved by the reporting of a series of interim trade state position snapshots.

Correcting Life Cycle Events 2.5.1

For certain OTC products, there can be many lifecycle events. There may be a time when a party submits

a lifecycle event erroneously. There the below table was created to show how to correct a lifecycle

event that was submitted incorrectly.

First set of files sent to GTR: File No.

Event Lifecycle Event Field

Trade Amount

Notional As of Date Time Comment

1 New Purchase Trade 10M 10M 01-May-2014 T09:00 Logging in position

1 Partial Unwind Termination 2M 8M 01-May-2014 T14:00 Termination 1



Termination 1 in File 1 needs to be cancelled: File No.

Event Lifecycle Event Field

Trade Amount

Notional As of Date Time Comment

4 Error 8M 01-May-2014 T14:00 Telling DTCC the 1st partial unwind should be cancelled

5 Modify 8M 02-May-2014 T10:00 Bringing the remaining notional back to 8M as the 1st unwind is cancelled

6 Modify 6M 03-May-2014 T10:02 Bringing the remaining notional back to 6M as the 1st unwind is cancelled

7 6M Current Time To make sure the latest position is updated




The following table summarizes the events supported by the GTR.

Business Event Lifecycle Event

New Trade Trade New

Amendment Amendment

Backload Backload

Termination resulting from compression

Compression Termination (for all asset class) PartialTermination (Credit) (with compressed flag indicator true) Amendment (Rates and Commodity) (with compressed flag indicator true)

Exercise (Full)~ Exercise

Exercise (Partial) PartialExercise (FX)

Increase Increase Amendment (Rates)

Novation Full (Stepping out & remaining parties)~ Novation Termination (Rates)

Novation Partial (Stepping out & remaining parties) Novation Termination (Rates)

Novation (Stepping in & remaining parties) Novation-Trade NovationTrade

Termination Full~ PartialTermination (Credit) Termination

Termination Partial PartialTermination (Credit and FX) Termination (Rates, Equity, Commodity)

Valuation Update N/A

Global Cancel (Withdrawing the trade) Cancel Error

Exit or AutoExit Exit

Corporate Action CorporateAction (Equity)

Fee Amendment Amendment

Credit Event Termination Exit

Modify

Cancel

Error




Message Workflows 2.6

The message flows in the following section is based upon the following assumptions:

Both parties to the trade are obligated to report under EMIR. There will be variations to each workflow in the cases where one party has no reporting obligation or an obligation to another jurisdiction.

When a trade is executed on-facility, the facility will generate a UTI and advise both counterparties.

When a trade is confirmed or affirmed using a middleware platform, the middleware will generate a UTI and advise both counterparties, or will arbitrate between counterparties and ensure agreed UTI is advised.

When a trade is for clearing post bilateral execution the CCP will generate two new novated trades, report those trades under separate UTIs but link them with the original bilateral trade via the prior-UTI field.

When a trade is agreed to be cleared prior to execution, the CCP will generate and report two different UTIs

A UTI is recommended field to be populated. However, when a UTI is not provided, the “OTC Lite” service will look for these values:

o If submitted for value is 'BOTH' , Then 'Transaction Reference Number' and 'Internal Trade reference' is required

o If submitted for value is Party1, Then 'Transaction Reference Number' is required. o If submitted for value is Party2, Then 'Internal Trade reference' is required.

If the UTI needs to be amended or corrected then the existing message needs to be exited (“Exit”) and a new position message submitted (indicate in the prior UTI field the previous UTI that was exited)

Various parties (i.e. CCPs and other parties) will be able to submit on behalf of an entity but they will need to have access/permission to do so.

When only Party A and Party B are involved, the submitting party will be the only party receiving ACK messages. The submitting party will always receive the ACK regardless of what role they play in the trade.

If both CPs are participants in the GTR they will be able to retrieve their EOD reports which will indicate UTIs where they have been named as the counterparty (This is for OTC trades reported in the GTR).

Bi-lateral On-facility

Non-cleared Cleared Non-cleared Cleared

Reporting Model Paper Confirm M/ware Conf/Aff M/ware Conf/Aff

independent

1

4 6

Full Delegation 3 2

5




DIAGRAM 1 2.6.1

Bilateral execution; affirmed in middleware; not cleared; Both parties report (no delegation)

Note: The message template is a CSV only format and therefore if a middleware provider agrees to submit for one or both counterparties then

the middleware provider must also adhere to the message format and submission methods described above.

Flow Steps: 1. Party A & B bi-laterally agree trade. 2. Parties send the trade to the middleware platform. 3. The middleware generates UTI and confirms UTI with counterparties. 4. Party A submits a Position message to GTR on its own behalf. 5. Party B submits a Position message to GTR on its own behalf. 6. The GTR sends an ACK back to Party A and Party B, respectively. 7. Party A sends a Valuation message 8. GTR sends an ACK to Party A 9. Party A sends a Collateral message 10. GTR sends an ACK back to Party A 11. Party B sends a Valuation message 12. GTR sends an ACK to Party B 13. Party B sends a Collateral message 14. GTR sends an ACK back to Party B

In the above example if the middleware provider is able to submit the CSV file then the middleware provider could report the Position message for both in step 4 & 5 (and the middleware provider would receive the ACK instead of Party A and B from step 6)

1 Party A

Party B

Middleware

2,3 2,3

TR

5,11,13 4,7,9 6,8,10

6,12,14




DIAGRAM 2 2.6.2

Bilateral execution; affirmed in middleware; not cleared; Party A reports on behalf of both parties (full

delegation)

Flow Steps: 1. Party A & B bi-laterally agree trade. 2. Parties send the trade to the middleware platform. 3. The middleware generates UTI and acknowledges trade with UTI. 4. Party A submits Position message to TR on behalf of both parties 5. The GTR sends an ACK back to Party A 6. Intra-day parties agree to amend the contract 7. Parties send the amends to middleware 8. Party A submits Position message indicating Amendment to the GTR 9. GTR sends an ACK back to Party A 10. Party A sends a Valuation message 11. GTR sends an ACK to Party A 12. Party A sends a Collateral message 13. GTR sends an ACK back to Party A 14. Party B sends a Valuation message 15. GTR sends an ACK to Party B 16. Party B sends a Collateral message 17. GTR sends an ACK back to Party B

Party A

Party B

Middleware

2,3 2,3

TR

15,17

4,8,10,12 14,16

6

7 7 5,9,11,13

1




DIAGRAM 3 2.6.3

Bi-lateral execution; paper confirmation; not cleared; One party reports all data (full delegation)

Flow Steps: 1. Party A & B bi-laterally agree trade. 2. Party A sends a Position message to the GTR including common and counterparty specific data on behalf of both parties

3. The GTR sends an ACK back to Party A

4. Party A sends an EOD Position message recapping open positions including valuations

5. GTR sends an ACK back to Party A

6. Party A sends Collateral and Valuation message to GTR

7. GTR sends an ACK message back to Party A

Party A

Party B

1

TR

2, 4, 6

3, 5, 7




DIAGRAM 4 2.6.4

On-Facility execution; not cleared; Both parties report (independent)

Flow Steps:

1. Trade is booked on execution platform and is sent to Parties A & B. 2. Execution platform generates UTI and sends to Parties A & B. 3. Party A sends Position message to TR on behalf of itself. 4. GTR sends an ACK to Party A

5. Party B sends Position message to TR on behalf of itself. 6. GTR sends an ACK to Party B 7. Party A reports Valuation message and Collateral message on ongoing basis. 8. Party B reports Valuation message and Collateral message on ongoing basis.

Party A

Execution Platform

TR

Party B

1, 2 1, 2

3, 4, 7 5, 6, 8




DIAGRAM 5 2.6.5

On-Facility execution; not cleared; one party reports all data (full delegation)

Flow Steps:

1. Trade is booked on execution platform and is sent to Parties A & B. 2. Execution platform generates UTI and sends to Parties A & B. 3. Party A sends Position message to TR on behalf of both parties. 4. GTR sends an ACK to Party A

5. Party A reports Valuation message and Collateral message on ongoing basis. 6. Party B reports Valuation message and Collateral message on ongoing basis.

Party A

Execution Platform

TR

Party B

1, 2 1, 2

3, 4, 5 6




DIAGRAM 6 2.6.6

On-Facility execution; cleared; Both counterparties report (independent); CCP

reports the novated trades. Flow Steps:

1. Trade is booked on execution platform and is sent to Parties A & B with generated UTI. 2. Party A & Party B allege and affirm the trade on the middleware. 3. Middleware acknowledges trade with UTI back to Parties A & B. 4. Party A sends Position message to TR on behalf of itself. 5. Party B sends Position message to TR on behalf of itself. 6. Middleware sends trade to CCP for clearing

7. CCP novates bi-lateral trade into two trades with CCP facing each party and assigns UTI to each. 8. CCP acknowledges two new trades to middleware. 9. CCP sends Position message for two new trades to TR including reference to prior UTI (X) 10. Party A submits Position message to Exit original trade X

11. Party B submits Position message to Exit original trade X

Execution Facility

Party A Party B

Middleware

TR CCP

1 1

2, 3 2, 3

6, 85, 114, 10

9 – Trade Y

9 – Trade Z

7 – Trade Z7 – Trade Y




3. Message Validation The existing GTR Message Validation subjects each message submitted to GTR to a set of validation

steps. Failure to pass any of these checks results in a negative acknowledgment (NACK) message being

returned to the submitter. Successful completion of all of these checks results in a positive

acknowledgment (ACK) being returned to the submitter.

Validation Stages 3.1

Business validation 3.2

The scope of the Business Validation will cover

GTR Control Fields

Other Mandatory jurisdictional Fields. That is, fields that are required for regulatory jurisdiction that are not GTR Control fields.

Non-compliance with any steps will result in the rejection of the submission and the generation of a

NACK.

ESMA Regulatory validation 3.3

If a message has complied with the schema syntax validation, the GTR core validation and the business

validation it will be accepted into the GTR. The submission will then be validated for the jurisdiction

listed in Reporting Obligation Party 1 and Reporting Obligation Party 2.

Non-compliance with regulatory validation which an obligation has been specified will result in the

generation of a warning on the participant Warning Report. It should be noted that the message may be

Schema Syntax Validation

GTR Core Validation GTR Business

Validation

Is CSV valid? Are fields formatted correctly?

Permission, UTI lock, transaction & action type

consistency validation.

e.g. Does the post-trade CCY = the position CCY?




accepted into the GTR even when a particular regulatory required field is not populated. The reason for

this is that not all regulatory required fields are required for each scenario of reporting (in the case of

delegated reporting) or where certain fields do not apply to the product being reported.

Participants must review their Warning report and submit a Position message with all completed data to

ensure the message is compliant with reporting to ESMA. (The Warning Report is provided each day

with EOD reports)

Response Messages 3.4

Notification messages (ACK or NACK reports) will be generated real-time in response to CSV file

submissions.

CSV-Batch Download Report (Spreadsheet Download Report) 3.4.1

Each CSV file submission will create a ACK or a NACK Report (Spreadsheet download report) or both

(depending on the status of each message in the file) that includes all GTR submissions successfully

processed, or rejected for the CSV submissions done through Web GUI or Secure FTP. This report is

made available to the submitter automatically in the Spreadsheet Download tab on the Web GUI.

Submission Status Description

ACCEPT

This status indicates that the GTR Core validation, GTR business validations as well as all the other mandatory fields have passed, indicating that the inbound submission was validated, verified and has been accepted in the GTR system.

REJECT This status indicates that the GTR Core validation and GTR reduced business validations failed, indicating that the inbound submission was not as per the required validation and has been rejected by the GTR system.

End-of-Day Warning Report 3.5

The EOD warning report contains trade level warnings where a specific trade failed the jurisdictional

compliance requirement. The Position message regulatory field validations will be applied for validating

the trade field compliance requirement.

Warnings will be generated for all blank ESMA required fields. While the GTR might have a field as

optional the field maybe an ESMA required field. It is the party’s responsibility to ensure that they are

fully compliant for reporting to ESMA.




Generation Rules 3.5.1

Generated once a day during batch runs starting at 00:00midnight UTC in the EUDC.

Any inbound submission received after prior-day’s warning report generation will be validated

for any exceptions and reported in the subsequent day’s warning report.

The report will contain only “open” outstanding warnings for that day

It does not contain warnings on Position message that were corrected during the day.

The existing GTR reporting portal has a facility to store prior 7 days of warning reports for

reference.

For the format of the Warning report see the Participant Report section below




4. Dual-sided reporting

Introduction 4.1

IMPORTANT: IF REPORTING ON BEHALF OF BOTH OR ONE PARTY TO THE TRADE THEN ALL

SUBSEQUENT MESSAGES ON THAT UTI MUST BE MADE TO THE SAME SERVICE (“OTC Lite” or “OTC

Core”). The GTR cannot process UTI’s that are partially submitted in a service. For example, if a

Middleware uses “OTC Core” to submit on behalf of Party A and Party A is an “OTC Lite” user, the

position message will be accepted by OTC Lite but will appear as a duplicate in the reports.

The current GTR infrastructure supports the reporting of trade data by both sides to a transaction either

directly, through delegated reporting or via approved 3rd party service providers. The submissions may

be made independently by both sides to the trade, or via a central matching platform such as a

confirmation service provider (as long as it’s on a CSV file format as describe above).

Under ESMA regulations both counterparties to any eligible trade have a reporting obligation.

Furthermore the ESMA technical standards make a clear distinction between common data and

counterparty data:

Counterparty data – the details relating to the counterparties to a contract.(Annex Table 1 of the ESMA Technical Standards Document)

Common data – the details pertaining to the derivative contract concluded between the two counterparties. (Annex Table 2 of the ESMA Technical Standards Document)

This data distinction, along with the obligation for both counterparties to report a trade gives rise to the

following reporting scenarios and delegation models.

Both counterparties may independently report both common and counterparty data

One party may report both common and counterparty data for both parties (full delegated reporting model).

o Under this model it is also possible for the other counterparty to supplement their counterparty data by submitting an independent report using the Position message (please note that the full Position message is required and the latest Position message submitted takes precedence of that side of the UTI)

One or both counterparties may delegate reporting responsibility to one or more third parties

On cleared trades the counterparties may delegate reporting to the CCP

In all cases the counterparty/CCP remains responsible for ensuring that contracts are reported to the registered TR without duplication

Fields have been added to the message template to accommodate for these reporting flows.

Please note that if a counterparty (Party A) submits a message to OTC Core under the full delegated

model and the other party (Party B) submits to OTC Lite independently using the same UTI this will

create a dupe to regulators.




Identifying reporting model 4.2

The GTR Control Fields Submitted For Prefix and Submitted For Value will identify whether the

submission is on behalf of yourself, your counterparty or both parties. A field Reporting Delegation

Model has been added to identify the reporting model applicable to each submission. Although not a

required field, the Reporting Delegation Model has been included for future use. At present it does not

influence processing options as they are based upon the value provided in the Submitted For Prefix and

Submitted For Value fields.

If submitting on behalf of one party this field must contain the value “Independent”.

If submitting on behalf of both parties this field must contain the value “Full”.

In the case of delegated submissions, GTR will ensure that the submitter has permission to provide data

on behalf of the parties to the trade.

Independent reporting rules 4.2.1

If Submitted For Prefix and Submitted For Value identify the submission as being on behalf of the

submitter, i.e. Party 1 to the trade, the submission will be treated as an independent submission. In this

scenario

GTR will expect to receive counterparty data and common data submitted on behalf of only Party 1.

The field Reporting Delegation Model must contain the value Independent” or be left blank. The only Trade Party 2 data required under this report is the identification of the counterparty. All other

Party 2 data contained in the submission it will be ignored, however the Party 1 data will be processed.

Under this scenario the other party to the trade will report their data, if obligated, independently. This

submission could be to GTR or could be to another TR.

Full Delegation reporting rules 4.2.2

Party1 (or the third party to whom they have delegated reporting responsibility) submits all common

data as well as Party1 and Party2 counterparty data. Note that under the full delegation model the

reporting party can submit valuation and collateral valuation messages on behalf of either, or both,

parties. Alternatively, each party can submit their own valuation and collateral valuation messages.

If Submitted For Value identifies the submission as being on behalf of both parties then the submission is

expected to contain Party 1 counterparty data, Party 2 counterparty data and common data. Under this

scenario:

The field Reporting Delegation Model must contain the value “Full” or be left blank.

If some, or all, Party2 counterparty data attributes are NOT supplied, but the submission passes validation for acceptance into the GTR, the validations will generate a warning on the Warning




report identifying missing attributes required under EMIR. The warning report will be available to the parties to the trade, if they are on-boarded as GTR participants.

If a Party to the trade wants to update their side of the UTI (possible scenario would be to add further counterparty data) then that Party would be required to submit an Position message for itself (indicate under Submitted For Value) and comply with the validation on the Position message.

o As mentioned above please note that all the Counterparty data and Common data must be submitted for that Party so that the UTI for their side of the trade is accurately represented in the GTR. Any common data that is not provided and had previously been submitted will be blank in the GTR.

The below chart depicts the above rules:

Scenario Submitted

By Submitted

For Delegation

Model Commo

n Trade Party 1 fields

Trade Party 2 fields

Independent Reporting

Bank A Bank A Independent Y Y N


Client B Client B Independent Y Y N


Third Party Bank A Independent Y Y N


Third Party Client B Independent Y Y N

Full Delegation Bank A Both Full Y Y Y

Full Delegation Client B Both Full Y Y Y

Full Delegation Third Party Both Full Y Y Y

Only Identifier/region of CP will be processed all other information will not be processed if submitted

4.2.2.1 Reporting limitation

Submission of subsequent full position messages, either for life-cycle reporting or for end of day

reporting, under the full delegation model and on behalf of both parties will overwrite previous

submissions causing the Party2 data that was missing from the original submission to be removed. Once

again Party2’s trade would be incomplete for EMIR reporting and warning on the Warning report would

be provided.




Delegated Reporting Functionality Matrix 4.2.3

The below chart shows expected behavior and not necessarily all potential ways a message can be

reported. The matrix assumes Counterparty 2 is not permissioned to carry out delegated reporting and

can only update its own data.

OTC Lite

Scenario Resp. per

party Common CP1 CP2

1 Independent

Reporting

Counterparty 1 X

Counterparty 2 X

2 Full Delegation

Counterparty 1

Counterparty 2 X X X

X in a red box: indicates that the GTR does not permit this message submission for the scenario




5. Trade Identification The ability to identify individual trades using a Unique Trade Identifier (UTI) is a key component of EMIR.

In all cases the counterparties to a trade, including the CCP in the case of cleared trades, are responsible

for ensuring that contracts are reported to a registered trade repository without duplication. This means

that both parties, and their agents, must report each trade using a single agreed UTI.

The EMIR technical standards do not specify any rules for the generation of the UTI nor any structure,

other than that it should contain up to 52 alphanumeric digits. Due to industry demand, the OTC Lite

service accepts the following special characters `~!@#$%^&*()_-+=|\;:/. in the UTI.

Introduction of UTI & Principles applied by the GTR for “OTC Lite” 5.1

The GTR will ease the pairing of trades and positions by adopting the following approach.

1. The UTI will be universal, with no enforced structure. Its format will be limited to 52

alphanumeric characters as well as the special characters mentioned above (see message

template and although the message template supports a UTI Prefix of 40 characters and UTI

Value of 200 characters the ESMA defined format should be adhered to in order to comply with

the rules).

a. Where a UTI Prefix and UTI Value combined exceeds 52 characters a warning on the

Warning report will be indicated.

2. After a UTI is agreed, the counterparties are expected to submit the UTI to the GTR. .

3. After a UTI is assigned to a position the UTI value cannot subsequently be modified.

4. Once a UTI is assigned it should be used for any subsequent reference to the given trade.

5. If the UTI needs to be corrected or modified then the message needs to be cancelled (Exit or

PositionCancel) and resubmitted with the correct UTI (the actual UTI cannot be modified for a

previously reported position). The best practice is to “Exit” the previous submission and submit

the new UTI on a new Position message (indicating the previous UTI in the “Prior UTI Value”

field).

6. The uniqueness of a UTI will be determined based on the combined values of the UTI Prefix and

the UTI Value




Upstream workflow 5.2

This document defines the specific enhancements necessary to support compliance with EMIR

regulations under the existing GTR single submission paradigm (“submit once, report many”). The

industry best practices for UTI generation and exchange is not covered in this User Guide. While the

upstream workflow necessary to integrate and submit data to the GTR is beyond the scope of this

document the following core principles in relation to upstream UTI workflow are complementary to the

core GTR trade identifier principles above and are included here for reference:

1. Wherever possible, submitting parties will exchange an UTI upstream of GTR reporting so that when both parties to a trade submit their “side” of the trade the UTI will be common.

Depending upon the timescale for the industry to agree the upstream workflow it may be necessary to

enforce the following preliminary rules until such time as a fully flexible solution can be implemented.

1. If the UTI is known this must be submitted to GTR otherwise submit an interim UTI and follow the process on correcting this once the UTI is known.

2. If the UTI is changed subsequently then an exit and re-submit must be used to create the trade with the agreed UTI in GTR

a. When an UTI cannot be agreed prior to reporting an interim UTI can be submitted in the UTI field on the position message. When the final UTI is agreed the position would need to be exited and resubmitted with the “Prior UTI” indicating the value of the interim UTI originally submitted.

3. The UTI must be unique for the trade counterparty pair and asset-class. If the same UTI is submitted subsequently for another “Primary Asset Class” with the same trade counterparty pair it will be rejected.

UTI Lock 5.3

1. When the first ‘New’ submission is made for the UTI (‘Position’ or ‘Valuation’), the system will perform the following validations. The below are the general rules when both parties on the trade are KNOWN Participant IDs to the GTR system.

a. The system will check if the UTI submitted is unique across the “OTC Lite” service. If the UTI is NOT present in the service, the system will accept the UTI as valid. Once the UTI is accepted, the Trade Repository assigns the UTI to the Party, Counterparty, Message Type and Asset Class.

b. The subsequent submissions for the same UTI cannot modify the Party ID and the Asset Class. The system will allow the modification of the Counterparty ID until the Counterparty submission is received.

2. Once the LOCK has been applied, even if the Party/Counterparty ‘Cancel’ / ‘Exit’ the previous records for a given UTI and submit ‘New’ records for the same UTI with different Counterparty ID, the system will reject the message stating ‘Invalid Submission – UTI exists for another




Party/Counterparty’. For a given UTI, the Party-Counterparty-Asset Class LOCK will remain the same throughout the lifetime of the “OTC Lite” service.

3. The LOCK will be applied for a UTI when the Trade has dual submissions – submissions done for both the Party side and the Counterparty side. After the party and the counterparty records are received by the Trade Repository, the system will LOCK the UTI

UTI Lock Exceptions: 5.3.1

1. The Trade Repository system will LOCK the UTI for a given Party-Counterparty-Asset Class. After submissions from both parties are received by the TR and the LOCK has been applied, the system will NOT allow the User to modify the Party ID, Counterparty ID or the Asset Class. Given below are the few exceptions to the UTI LOCK rules.

a. The Trade Repository will allow the modification of Party ID and Counterparty ID if the modified Party ID/Counterparty ID belongs to the same Ultimate Parent.

i. For a LOCKED UTI, the GTR system will allow the Participants to modify the Party ID/Counterparty ID, if the modification is within the same Ultimate Parent structure.

ii. For example, if the Party ID is Bank A-NY belonging to Ultimate Parent ID Bank A. The TR will allow the Party/Counterparty to modify the Party ID to another Participant ID Bank A-Asia, belonging to the same Bank A Ultimate Parent ID.

b. The Trade Repository will allow the submission of Party ID and Counterparty ID if the Party ID/Counterparty ID originally under a different Ultimate Parent/Parent structure got changed to a different Ultimate Parent/Parent Structure. This may happen in case of Firm Reorganization.

i. For example, if the Party ID is Bank A-NY belonging to Ultimate Parent ID Bank A. The TR will allow the Party/Counterparty submission if Party ID Bank A-NY moved to another Ultimate Parent ID ‘Bank ANew’.

c. If initially submitted as an internal or unknown id, you can modify to add an LEI




6. Inter-TR Reconciliation The dual sided reporting obligation that exists under ESMA, coupled with the choice of repository

services available to market participants will result in situations where the two parties to a given trade

have selected to use different trade repositories in order to discharge their reporting obligations.

In the scenario where the GTR holds a single sided position which falls under the remit of the ESMA

regulations, ESMA imposes an obligation on the TR to reconcile data with the other repository.

An inter-TR interoperability solution has been proposed by a number of the companies, including DTCC,

who have applied to become TRs. This proposal is to be reviewed with ESMA and will be fully

documented in the Inter-TR Reconciliation and Interoperability BRD.

Trade Pairing 6.1Pairing can only take place where a UTI has been provided. If a UTI is not provided by the two

counterparties to the trade, trade sides cannot be paired.

Pairing can only take place with other TRs where both counterparties have been reported with an LEI or

pre-LEI. If the “ID of the other counterparty“ has been populated with anything other than an LEI or pre-

LEI, the report can never pair with the other counterparty’s report, because they will have used an LEI or

pre-LEI in their Counterparty ID field. If the “ID of the other counterparty” is not populated with an LEI

or pre-LEI, TRs cannot pair and compare the trade. Where both sides of a trade are reported to GTR,

pairing will be attempted using UTI, Counterparty ID and ID of the other counterparty regardless of the

type of identifier used (i.e. this is not restricted to use of LEIs).

The GTR will record the status of each position. The population of trade pairing status values is

described in the following table.

Trade Pairing Status Trade Pairing Status Description

Exempt The position will not require pairing as the Counterparty Region is non-EEA.

N/A The positions will not require pairing as the Reporting Obligation does not include ESMA.

Unpaired Pairing has either yet to be attempted or that no pair has been located thus far.

Unpairable The position does meet the ESMA reconciliation criteria but does not have mandatory fields required for the Pairing process (such as UTI and LEI’s).

Paired The Position has been successfully paired either within the GTR or with another TR.

Pairing Error When a position has had external Pairing attempted but more than one TR has responded with the same positions details.

Pair LEI Break When a position pair has been found where the UTI and one LEI match but the other LEI does not match.




Trade Matching 6.2

The GTR system receives Trade messages and maintains a Paired Status, a Paired Source and a Matched

Status for all trades with a Trade Position. Once a trade has been paired a comparison of the two sides

of the trade will take place and status of that comparison will be stored.

The possible match status of each trade is described in the following table. The fields on which the

comparison is based are listed later in this section. It should be noted that this matching process is not

relevant to, nor in any way replaces, a participant’s confirmation matching processes.

Trade Match Status Trade Match Status Description

Exempt The position will not require matching as Counterparty Region is non-EEA.

N/A The position will not require matching as Reporting Obligation does not include ESMA.

Pending The position has not been paired yet or has been paired but the matching process is yet to take place.

Cancel The position was previously eligible for matching but a cancellation or exit message has been received.

Matched The position has been reconciled and the key category 1 and category 2 fields match within the prescribed tolerance.

Unmatched1 The position has been reconciled and one or more category 1 fields do not match within the prescribed tolerance but all the category 2 fields do match within the prescribed tolerance.

Unmatched2 The position has been reconciled and one or more category 2 fields do not match within the prescribed tolerance but all the category 1 fields do match within the prescribed tolerance.

Unmatched The position has been reconciled and one or more category 1 fields do not match within the prescribed tolerance and one or more category 2 fields do not match within the prescribed tolerance.

Fields and Rules 6.2.1

The following data fields are included in trade matching

Table 1 Counterparty Data

Note that field 8 – Unique Trade Id is regarded as a common link between common data fields and

counterparty data fields.

Field number

Field Name ESMA Format Match / Tolerance Rule to other trade

2 Counterparty Id LEI Must match id of the other counterparty

3 ID of the other counterparty LEI Must match id of the counterparty

13 Counterparty side ‘B’ = buyer, or ‘S’ = seller

Must be ‘S’ if ‘B’ and ‘B’ if ‘S’




Table 2 Common Data

The fields in this table have been categorized as:

1. The field will be reconciled but if the field does not match for both trade submissions (within the specified tolerance) the trade will be excluded from the aggregated reports produced by the DTCC public reporting team

2. The field will be reconciled but even if the field does not match for both trade submissions (within the specified tolerance) the trade will still be included in the aggregated reports

3. It will not be practical to reconcile the field

N/A – The field is not applicable for reconciliation purposes

In addition, the following tolerance check types will be used in comparison of some fields:

1. Amounts on trades to be compared must be within 1 percent difference.

Compare the 1st amount and 2nd amount to be compared to establish the larger amount

Subtract smaller amount from larger amount to give amount difference

Divide amount difference by larger amount and multiply the result by 100

If the result is greater than 1, then the amounts do not match 2. Amounts on trades to be compared must match to the left of the decimal point. 3. Datetime on trades to be compared must match for the date part of the field.

No. Name ESMA Format Match/ Tolerance Rule to other trade

Category

1 Taxonomy used Identify the taxonomy used: U=Product Identifier [endorsed in Europe] I=ISIN/AII + CFI E=Interim taxonomy

Must match 1

2 Product id 1 For taxonomy = U: Product Identifier (UPI), to be defined For taxonomy = I: ISIN or AII, 12 digits alphanumerical code For taxonomy = E: Derivative class: CO=Commodity CR=Credit CU=Currency EQ=Equity IR=Interest Rate OT= Other

Must match 1

3 Product id 2 For taxonomy = U: Blank For taxonomy = I: CFI, 6 characters alphabetical code For taxonomy = E: Derivative type: CD= Contracts for difference FR= Forward rate agreements FU= Futures FW=Forwards OP=Option SW=Swap OT= Other

Must match 1

4 Underlying ISIN (12 alphanumerical digits); LEI (20 alphanumerical digits); Interim entity identifier (20 alphanumerical digits); UPI (to be defined); B= Basket; I=Index.

Must match 2

5 Notional currency 1

ISO 4217 Currency Code, 3 alphabetical digits. Must match 1

6 Notional currency 2

ISO 4217 Currency Code, 3 alphabetical digits. Must match 1

7 Deliverable ISO 4217 Currency Code, 3 alphabetical digits. May not match 3





Category

currency

8 Trade id Up to 52 alphanumerical digits. Must match 1

9 Transaction reference number

An alphanumeric field up to 40 characters Will never match 3

10 Venue of execution

ISO 10383 Market Identifier Code (MIC), 4 digits alphabetical. Where relevant, XOFF for listed derivatives that are traded off-exchange or XXXX for OTC derivatives.

Should match 2

11 Compression Y = if the contract results from compression; N= if the contract does not result from compression.

Should match 2

12 Price/rate Up to 20 numerical digits in the format xxxx,yyyyy.

Apply tolerance check 1 2

13 Price notation E.g. ISO 4217 Currency Code, 3 alphabetical digits, percentage.

Must match 2

14 Notional amount Up to 20 numerical digits in the format xxxx,yyyyy.


15 Price multiplier Up to 10 numerical digits. Must match 1

16 Quantity Up to 10 numerical digits. Must match 1

17 Up-front payment Up to 10 numerical digits in the format xxxx,yyyyy for payments made by the reporting counterparty and in the format xxxx,yyyyy for payments received by the reporting counterparty.


18 Delivery type C=Cash, P=Physical, O=Optional for counterparty.

Must match 2

19 Execution timestamp

ISO 8601 date format / UTC time format. Apply tolerance check 3 for OTC.

2

20 Effective date ISO 8601 date format. Must match 2

21 Maturity date ISO 8601 date format. Must match 1

22 Termination date ISO 8601 date format. Must match 2

23 Date of settlement

ISO 8601 date format. Cannot match 3

24 Master agreement type

Free Text, field of up to 50 characters, identifying the name of the Master Agreement used, if any.

Cannot match 3

25 Master agreement version

Year, xxxx. Cannot match 3

26 Confirmation timestamp

ISO 8601 date format, UTC time format. Apply tolerance check 3 2

27 Confirmation means

Y=Non-electronically confirmed, N=Non-confirmed, E=Electronically confirmed.

Should match 2

28 Clearing obligation

Y=Yes, N=No. Must match 2





Category

29 Cleared Y=Yes, N=No. Must match 1

30 Clearing timestamp

ISO 8601 date format, UTC time format. Apply tolerance check 3 2

31 CCP Legal Entity Identifier (LEI) (20 alphanumerical digits) or, if not available, interim entity identifier (20 alphanumerical digits) or, if not available, BIC (11 alphanumerical digits).

Must match 2

32 Intragroup Y=Yes, N=No. Should match 2

33 Fixed rate leg 1 (tolerance tba)

Numerical digits in the format xxxx,yyyyy. Apply tolerance check 1 2

34 Fixed rate leg 2 (tolerance tba)

Numerical digits in the format xxxx,yyyyy. Apply tolerance check 1 2

35 Fixed rate day count

Actual/365, 30B/360 or Other. Cannot match 3

36 Fixed leg payment frequency

An integer multiplier of a time period describing how often the counterparties exchange payments, e.g. 10D, 3M, 5Y.

Cannot match 3

37 Floating leg payment frequency


Cannot match 3

38 Floating leg reset frequency


Cannot match 3

39 Floating rate of leg 1

The name of the floating rate index, e.g. 3M Euribor.

Cannot match 3

40 Floating rate of leg 2

The name of the floating rate index, e.g. 3M Euribor.

Cannot match 3

41 Currency 2 ISO 4217 Currency Code, 3 alphabetical digits. Must match 2

42 Exchange rate 1 Up to 10 numerical digits in the format xxxx,yyyyy.

Must match Tolerance check 1 will be applied

2

43 Forward exchange rate

Up to 10 numerical digits in the format xxxx,yyyyy.

Must match Tolerance check 1 will be applied

2

44 Exchange rate basis

E.g. EUR/USD or USD/EUR. 2 X ISO 4217 Currency Code, 3 alphabetical digits separated by a slash.

Must match 2

45 Commodity Base AG=Agricultural EN=Energy FR=Freights ME=Metals IN= Index EV= Environmental EX= Exotic

Should match 2

46 Commodity AG=Agricultural Should match 2





Category

Details EN=Energy FR=Freights ME=Metals IN= Index EV= Environmental EX= Exotic

47 Delivery Point or zone (energy)

EIC code, 16 character alphanumeric code. Must match 2

48 Interconnection point (energy)

Free text, field of up to 50 characters. Cannot match 3

49 Load Type (energy)

Repeatable section of fields 50-54 to identify the product delivery profile; BL=Base Load PL=Peak Load OP=Off-Peak BH= Block Hours OT=Other

Must match 2

50 Delivery start date time (energy)

ISO 8601 date format. Must match 2

51 Delivery end date time (energy)

ISO 8601 date format. Must match 2

52 Contract Capacity (energy)

Free text, field of up to 50 characters. Cannot match 3

53 Quantity Unit (energy)

10 numerical digits in the format xxxx,yyyyy. Apply tolerance check 1 1

54 Price/time interval quantities (energy)

10 numerical digits in the format xxxx,yyyyy. Apply tolerance check 1 2

55 Option type P=Put, C=Call. Must match 2

56 Option style A=American, B=Bermudan, E=European, S=Asian.

Must match 2

57 Strike price Up to 10 Numerical digits in the format xxxx,yyyyy.


58 59

Action type and details of action type

3




7. Participant Reporting The GTR reports as detailed below provide information on the status of submitted trades and full trade

details. The “OTC Lite” service has a limited set of participant reports.

If a participant has been fully onboarded via the manual onboarding process all reports are

automatically generated and available for download via the GUI by default (If a participant has been

onboarded via the internet onboarding process then the data in the ESMA Activity and Position report

will be available via search and download only through the portal). Unless otherwise stated below, all

reports are downloadable in CSV format via the Report Download function in the GTR System or via

Secure FTP. The reports are automatically generated Monday to Friday starting midnight UTC in the

EUDC and will be available on the web GUI for 7 Calendar Days.

It should be noted that the GTR participants’ position reports reflect the current state of the trades

reported by them, on their behalf or where they are the counterparty. They do not reflect aggregated

positions across multiple trade states.

All of our standard report headers contain both the business date for which the report was generated

and also the actual date that the report ran. Having this information stated on all reporting output

provides customers the information needed to enable them to ensure that they use the latest reports

available.

Downloading Reports off the Portal 7.1The below screenshots will show how to download reports off the portal. Users will have to sign into the

portal (Section 1.6) and then upload a CSV spreadsheet (Section 2.1) to be able to download reports.

To access the ACK/NACK Reports

1. Once logged into the OTC Lite Portal, click on Download




2. Once the Download button is clicked, the screen below will open up with the latest ACK Reports

3. To retrieve the NACK Reports click on the OTC-NACK tab

4. Afterwards check off the reports to download and then hit the Download button to download a ZIP

file

Reports available for all Asset Classes 7.2The following list of reports is produced by all of the asset classes.

No. Report Report Description

1

ACK/NACK Report

/Spreadsheet Download Report

(Upload Status Report)

The ACK or NACK output report will be a real-time report

indicating status of each message submitted. ACK report will

include all accepted messages and NACK report will include all

rejected messages.

2 Warning Report

The warning report highlights warnings of issues that may

indicate the message is not compliant for regulator reporting

even if the GTR accepted the message.

3 GTR ESMA OTC Position Report

Includes the latest Position for all open UTI’s that are reported to

ESMA. The report will contain only the ESMA reportable fields

from Counterparty Data (Table 1) and Common Data (Table 2). All

alleges will be included regardless of what service the UTI was

reported through.

4 GTR ESMA OTC Activity Report

Includes all successfully processed submissions into the GTR since

the last report generation for all UTI’s that are reported to ESMA.

The report will contain only the ESMA reportable fields from

Counterparty Data (Table 1) and Common Data (Table 2). All

alleges will be included regardless of what service the UTI was

reported through.




No. Report Report Description

5 ESMA Match Status Report Reports of the pairing and match status by UTI. Any unmatched

fields are listed.

6 UTI Conflict and Pair Break LEI

Report

List of all trades where the LEI pair submitted is different for each

trade submission for the same UTI.

ACK/NACK 7.2.1

The ACK or NACK Report (Spreadsheet download report) will include all Trade Repository submissions

successfully processed, or rejected for the CSV submissions done through Web GUI or Secure FTP.

Field list for the ACK output report:

No. Field Name Sample Data Description

1 Action New Action will indicate if the incoming message is 'New', 'Modify' or 'Cancel'

2 Transaction Type Trade Transaction Type as defined in the upload template

3 Message Type Position Message Type on the submissions

4 UTI Prefix IssuerA Prefix for UTI

5 UTI Value UTI123 Unique Trade Identifier; UTI Value of the Submission

6 Asset Class Equity The Primary Asset Class

7 Product ID Prefix 1 ISDA The First Product Identifier prefix

8 Product ID Value 1 Equity:Swap:PriceReturnBasicPerformance:SingleName

The First Product Identifier value

9 Product ID Prefix 2 The Second Product Identifier prefix

10 Product ID Value 2 The Second Product Identifier value

11 Execution Timestamp 2012-02-09T15:25:00Z

The time and date of execution of the transaction in Coordinated Universal Time (UTC). (YYYY-MM-DDTHH:MM:SSZ)

12 Data Submitter Prefix LEI Submitting Party ID Prefix

13 Data Submitter Value 5678 Submitting Party ID Value

14 Trade Party 1 Prefix LEI The First Counterparty prefix

15 Trade Party 1 Value

5678 The First Counterparty Value

16 Trade Party 2 Prefix LEI The Second Counterparty prefix

17 Trade Party 2 Value

3214 The Second Counterparty Value

18 Transaction Reference Number

123456 EMIR Specific field

19 Internal Trade Reference Adft56687 Internal Trade Reference Number of either party

20 Reporting Obligation Party 1

ESMA Jurisdictions where trade is reportable





21 Reporting Obligation Party 2

ESMA Jurisdictions where trade is reportable

22 Data Submitter Message ID

CSV123 Reference provided by the submitting firm on each message within the CSV file

23 Submission Date & Time 2012-03-27T11:25:00Z

Submission Date and Time in UTC format. This is the time the submission was received by GTR. ( YYYY-MM-DDTHH:MM:SSZ )

24 Status ACCEPTED The Status of the message in GTR.

The NACK output report will include all the data fields submitted in the CSV submission file AND will add

in front of each row 3 additional fields:

Submission Date & Time Status Error Code / Reason

Warning Report 7.2.2

The objective of the report will be to highlight the possible issues with a message if it is deemed not compliant due to missing information in the existing submissions in the GTR (submissions accepted by the GTR) e.g. reported on behalf of both parties but Trade Party 2 Domicile is blank. All positions on the Warning Report will be reported to ESMA. The Warning Report will be available to the trade parties of the submission if “Submitted for Value” = “Both”. Field List: No. Field Name Sample Data Description

1 UTI Prefix XXX Identify a prefix for the UTI (placeholder)

2 UTI Value 123 UTI assigned to the submission

3 Primary Asset Class Equity Asset class for the submission

4 Product ID Prefix 1 ISDA Indicates the taxonomy of the product used (ISDA preferred)

5 Product ID Value 1 Equity:Swap:PriceReturnBasicPerformance:SingleName

Product Value as specified by ISDA taxonomy

6 Product ID Prefix 2

7 Product ID Value 2

8 Data Submitter Prefix LEI Prefix of identifier of party submitting the trade

9 Data Submitter Value 5678 Value of identifier of party submitting the trade

10 Submitted For Prefix LEI Prefix of identifier of party on behalf of which the submission is made

11 Submitted For Value 5678 Value of identifier of party on behalf of which the submission is made





12 Submission Date/Time 2012-03-26T09:10:10Z

When the submission to the GTR was processed

13 Trade Party 1 Prefix LEI Prefix of identifier for the first party named as a counterparty on the trade

14 Trade Party 1 Value 5678 Prefix of identifier for the first party named as a counterparty on the trade

15 Trade Party 1 Name Bank A Derived from Prefix/Value combination

16 Trade Party 1 Notional 100000 Notional reported by party 1

17 Trade Party 1 Notional Currency/Units

USD Currency for the notional reported by party 1

18 Trade Party 2 Prefix LEI Prefix of identifier for the second party named as a counterparty on the trade

19 Trade Party 2 Value 3214 Prefix of identifier for the second party names as a counterparty on the trade

20 Trade Party 2 Name Bank B Derived from Prefix/Value combination

21 Trade Party 2 Notional 100000 Notional reported by party 2

22 Trade Party 2 Notional Currency/Units

USD Currency for the notional reported by party 2

23 Transaction Reference Number

1323423 EMIR specific field

24 Internal Trade Reference T98765

25 Data Submitter Message ID

CSV789 Reference provided by the submitting firm on each message within the CSV file

26 Warning Reason Code 12 Reason code for the warning

27 Warning Description Unknown Counterparty

Reason description for the warning

Below is a list of the warnings and their descriptions: Error Code Error Description

OTLW1001 Reporting Obligation Party 2 is required when reporting on behalf of both counterparties

OTLW1002 Trade Party 2 Domicile is required when reporting on behalf of both counterparties

OTLW1003 Trading capacity Party 2 is required when reporting on behalf of both counterparties

OTLW1004 Buyer Value Party 2 is required when reporting on behalf of both counterparties

OTLW1005 Trade Party 2 Financial Entity Jurisdiction or Trade Party 2 Non-financial Entity Jurisdiction is required when reporting on behalf of both counterparties

OTLW1006 MTM Currency Party 2 is required when reporting on behalf of both counterparties

OTLW1007 Valuation Datetime Party 2 is required when reporting on behalf of both counterparties

OTLW1008 Valuation Type Party 2 is required when reporting on behalf of both counterparties

OTLW1009 Trade Party 2 Corporate Sector is required when Trade Party 2 Financial Entity Jurisdiction is blank and Trade Party 2 Non-financial Entity Jurisdiction is blank

OTLW1010 Trade Party 2 Corporate Sector is required when Trade Party 2 Financial Entity Jurisdiction is "ESMA"

OTLW1011 The Directly linked to commercial activity or treasury financing Party 2 is required to be populated if Party 2 is a non-financial entity

OTLW1012 Clearing Broker Party 2 Value is required when the trade is cleared

OTLW1013 Beneficiary ID Party 2 Value is required for Trade Party 2 when reporting on behalf of both counterparties and trading capacity is Agent




Error Code Error Description

OTLW1014 Clearing Threshold Party 2 is required when Trade Party 2 Non-financial Entity Jurisdiction is "ESMA"

OTLW1015 UTI is greater than 52 characters

OTLW1016 Counterparty Region is required for ESMA reporting (Trade with non-EEA counterparty)

OTLW1017 Clearing Broker Party 1 is required when the trade is cleared

OTLW1018 Settlement Currency is required for ESMA reporting

OTLW1019 Execution Venue Value is required for ESMA reporting

OTLW1020 Price Notation - Price is required for ESMA reporting

OTLW1021 Price Notation - Price Type is required for ESMA reporting

OTLW1022 Delivery type is required for ESMA reporting

OTLW1023 Execution Timestamp is required for ESMA reporting

OTLW1024 Effective Date is required field for ESMA reporting

OTLW1025 Date of Settlement is required for ESMA reporting

OTLW1026 Clearing Timestamp is required for ESMA reporting

OTLW1027 Clearing DCO Value is required for ESMA reporting

OTLW1028 Clearing Threshold Party 1 is required for ESMA reporting

OTLW1029 MTM Currency CCP is required

OTLW1030 Valuation Datetime CCP is required

OTLW1031 Valuation Type CCP is required

GTR ESMA OTC Position Report 7.2.3

The report will reflect all open positions for the participant that are open in the EU Trade Repository.

Those positions with a Reporting Obligation of ESMA are reported to ESMA. The format of the report

will indicate the ESMA fields and the data reported against each of those fields. 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). No additional information will be provided 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.

Field List:

ESMA Table #

EMIR Field ESMA Table reference GTR FIELD MAPPING

1 Reporting timestamp Table 1 - Counterparty Data Derived

Trade Party 1 Prefix GTR Control field

Trade Party 1 Value GTR Control field

2 Counterparty ID Table 1 - Counterparty Data Trade Party 1 Prefix, Trade Party 1 Value

4 Name of the counterparty Table 1 - Counterparty Data Derived or Provided - Name of Trade Party 1

Trade Party 1 Prefix GTR Control field

Trade Party 1 Value GTR Control field

3 ID of the other Counterparty Table 1 - Counterparty Data Trade Party 2 Prefix, Trade Party 2 Value

4b Name of the other counterparty Table 1 - Counterparty Data Derived or Provided - Name of Trade Party 2

Trade Party 1 Branch Location GTR Control field




ESMA Table #


Trade Party 2 Branch Location GTR Control field

5 Domicile of the counterparty Table 1 - Counterparty Data Trade Party 1 Domicile

6 Corporate sector of the counterparty Table 1 - Counterparty Data Trade Party 1 Corporate Sector

7 Financial or non-financial nature of the counterparty

Table 1 - Counterparty Data Trade Party 1 Financial Entity Jurisdiction, Trade Party 1 Non-financial Entity Jurisdiction

Broker Id Party 1 Prefix GTR Control field

Broker Id Party 2 Prefix GTR Control field

8 Broker ID Table 1 - Counterparty Data Broker Id Party 1 Prefix, Broker Id Party 1 Value

Party 1 Reporting Obligation GTR Control field

Reporting Jurisdiction GTR Control field

Data Submitter Prefix GTR Control field

Data Submitter Value GTR Control field

9 Reporting entity ID Table 1 - Counterparty Data Data Submitter Prefix, Data Submitter Value

Clearing Broker Party 1 Prefix GTR Control field

Clearing Broker Party 1 Value GTR Control field

10 Clearing member ID Table 1 - Counterparty Data Clearing Broker Party 1 Prefix, Clearing Broker Party 1 Value,

Beneficiary ID Party 1 Prefix GTR Control field

Beneficiary ID Party 1 Value GTR Control field

11 Beneficiary ID Table 1 - Counterparty Data Beneficiary ID Party 1 Prefix, Beneficiary ID Party 1 Value

Execution Agent Party 1 Prefix GTR Control field

Execution Agent Party 1 Value GTR Control field

12 Trading capacity Table 1 - Counterparty Data Trading capacity Party 1

13 Counterparty side Table 1 - Counterparty Data Buyer Prefix (Party 1), Buyer Value (Party 1)

14 Trade with non-EEA counterparty Table 1 - Counterparty Data Counterparty Region

15 Directly linked to commercial activity or treasury financing

Table 1 - Counterparty Data Directly linked to commercial activity or treasury financing Party 1

16 Clearing threshold Table 1 - Counterparty Data Clearing Threshold Party 1

17 Mark to market value of contract Table 1 - Counterparty Data MTM Value Party 1 MTM Value CCP

18 Currency of mark to market value of the contract

Table 1 - Counterparty Data MTM Currency party 1 MTM Currency CCP

19 Valuation date Table 1 - Counterparty Data Valuation Datetime Party 1 Valuation Datetime CCP

20 Valuation time Table 1 - Counterparty Data Valuation Datetime Party 1 Valuation Datetime CCP

21 Valuation type Table 1 - Counterparty Data Valuation Type Valuation Type CCP

22 Collateralisation Table 1 - Counterparty Data Collateralized Party 1

23 Collateral portfolio Table 1 - Counterparty Data Collateral portfolio code Party 1

24 Collateral portfolio code Table 1 - Counterparty Data Collateral portfolio code Party 1

25 Value of the collateral Table 1 - Counterparty Data Value of the collateral Party 1

26 Currency of the collateral value Table 1 - Counterparty Data Currency of the collateral value Party 1




ESMA Table #


Primary Asset Class GTR Control field

Secondary Asset Class GTR Control field

Product ID Prefix GTR Control field

Product ID Value GTR Control field

1 Taxonomy used Table 2 - Common Data Product ID Prefix

2 Product ID 1 Table 2 - Common Data Product ID value 1

3 Product ID 2 Table 2 - Common Data Product ID Value 2

4 Underlying leg 1 Table 2 - Common Data Underlying Asset leg 1

4a Underlying leg 2 Table 2 - Common Data Underlying Asset leg 2

5 Notional currency 1 Table 2 - Common Data Notional Currency

6 Notional currency 2 Table 2 - Common Data Notional Currency

7 Deliverable currency 1 Table 2 - Common Data Settlement Currency

7a Deliverable currency 2 Table 2 - Common Data Settlement Currency

UTI Prefix GTR Control field

UTI Value GTR Control field

USI Prefix GTR Control field

USI Value GTR Control field

Trade Party 1 Transaction Id GTR Control field

8 Trade ID Table 2 - Common Data UTI Prefix, UTI Value

Prior UTI Prefix GTR Control field

Prior UTI Value GTR Control field

Trade Link ID GTR Control field

Exchange Traded Derivative indicator

GTR Control field

Execution Venue Prefix GTR Control field

10 Venue of execution Table 2 - Common Data Execution Venue Value

11 Compression Table 2 - Common Data Compression

12 Price / rate Table 2 - Common Data Price Notation - Price

13 Price notation Table 2 - Common Data Price Notation - Price Type

14 Notional amount leg 1 Table 2 - Common Data Notional Amount

14a Notional amount leg 2 Table 2 - Common Data Notional Amount

15 Price multiplier Table 2 - Common Data Price Multiplier

16 Quantity Table 2 - Common Data Quantity

17 Up-front payment Table 2 - Common Data Upfront payment

17a Up-front currency 1 Table 2 - Common Data Upfront payment CCY

17b Up-front payment 2 Table 2 - Common Data Upfront payment

17c Up-front currency 2 Table 2 - Common Data Upfront payment CCY

17d Up-front payment 3 Table 2 - Common Data Upfront payment

17e Up-front currency 3 Table 2 - Common Data Upfront payment CCY

17f Up-front payment 4 Table 2 - Common Data Upfront payment

17g Up-front currency 4 Table 2 - Common Data Upfront payment CCY

17h Up-front payment 5 Table 2 - Common Data Upfront payment

17i Up-front currency 5 Table 2 - Common Data Upfront payment CCY

17j Up-front payment 6 Table 2 - Common Data Upfront payment

17k Up-front currency 6 Table 2 - Common Data Upfront payment CCY

18 Delivery type Table 2 - Common Data Delivery type




ESMA Table #


19 Execution timestamp Table 2 - Common Data Execution Timestamp

20 Effective date leg 1 Table 2 - Common Data Effective date

20a Effective date leg 2 Table 2 - Common Data Effective date

21 Maturity date Table 2 - Common Data Scheduled Termination Date

22 Termination date Table 2 - Common Data Termination date

23 Settlement date 1 Table 2 - Common Data Date of Settlement

24 Master Agreement type Table 2 - Common Data Master Agreement type

25 Master Agreement version Table 2 - Common Data Master Agreement version

26 Confirmation timestamp Table 2 - Common Data Confirmation Date Time

27 Confirmation means Table 2 - Common Data Confirmation Type

28 Clearing obligation Table 2 - Common Data Mandatory Clearing Indicator

29 Cleared Table 2 - Common Data Cleared

30 Clearing timestamp Table 2 - Common Data Clearing Timestamp

Clearing DCO Prefix GTR Control Field

31 CCP ID Table 2 - Common Data Clearing DCO Prefix Clearing DCO Value

32 Intragroup Table 2 - Common Data Intragroup

33 Fixed rate of leg 1 Table 2 - Common Data Fixed rate of leg 1

34 Fixed rate of leg 2 Table 2 - Common Data Fixed rate of leg 2

35 Fixed rate day count 1 Table 2 - Common Data Fixed rate day count

35b Fixed rate day count 2 Table 2 - Common Data Fixed rate day count

36 Fixed leg payment frequency 1 Table 2 - Common Data Fixed leg payment frequency

36b Fixed leg payment frequency 2 Table 2 - Common Data Fixed leg payment frequency

37 Floating rate payment frequency 1 Table 2 - Common Data Floating rate payment frequency

37b Floating rate payment frequency 2 Table 2 - Common Data Floating rate payment frequency

38 Floating rate reset frequency 1 Table 2 - Common Data Floating rate reset frequency

38b Floating rate reset frequency 2 Table 2 - Common Data Floating rate reset frequency

39 Floating rate of leg 1 Table 2 - Common Data Floating rate of leg 1

39b Floating rate spread of leg 1 Table 2 - Common Data Floating rate spread of leg 1

40 Floating rate of leg 2 Table 2 - Common Data Floating rate of leg 2

40b Floating rate spread of leg 2 Table 2 - Common Data Floating rate spread of leg 2

40c Leg 1 Payer Table 2 - Common Data Leg 1 Payer

40d Leg 2 Payer Table 2 - Common Data Leg 2 Payer

41 Currency 2 Table 2 - Common Data Currency 2

42 Exchange rate 1 Table 2 - Common Data Exchange rate 1

43 Forward exchange rate Table 2 - Common Data Forward exchange rate

44 Exchange rate basis Table 2 - Common Data Exchange rate basis

45 Commodity base Table 2 - Common Data Commodity base

46 Commodity details Table 2 - Common Data Commodity details

47 Delivery point or zone Table 2 - Common Data Delivery point or zone

48 Interconnection Point Table 2 - Common Data Interconnection Point

49 Load type Table 2 - Common Data Load type

50 Delivery start date and time Table 2 - Common Data Delivery start date and time

51 Delivery end date and time Table 2 - Common Data Delivery end date and time

52 Contract capacity Table 2 - Common Data Contract capacity

53 Quantity Unit Table 2 - Common Data Quantity Unit




ESMA Table #


54 Price/time interval quantities Table 2 - Common Data Price/time interval quantities

55 Option type Table 2 - Common Data Option Type

56 Option style (exercise) Table 2 - Common Data Option Style

57 Strike price (cap/floor rate) Table 2 - Common Data Option Strike Price Option Strike Price CCY

57b Option Strike Price Type Table 2 - Common Data Option Strike Price Type

57c Option Strike Price CCY Table 2 - Common Data Option Strike Price CCY

Lifecycle Event GTR Control Field

Lifecycle Event Effective Date GTR Control Field

58 Action type Table 2 - Common Data Lifecycle Event Action

59 Details of action type Table 2 - Common Data Lifecycle Event Action

Please note that the GTR Control Fields are used to derive the next Table 1 or Table 2 field but are not

included in regulatory reports.

GTR ESMA OTC Activity Report 7.2.4

The report will reflect all activity since the last report for the participant that has been reported to

ESMA. 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 format of and fields contained in the ESMA Activity Report is the same as those contained in the ESMA Position Report as described in the previous section. 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.




ESMA Match Status Report 7.2.5

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 unmatched field names will be displayed horizontally and semi-colon separated

UTI Party 1 LEI Party 2 LEI Trade Reconciliation Status Unmatched Fields

Party 1 Transaction ID

ABC123 SAMPLE98765LEI7ABCD SAMPLE123LEI456ABCD Single-sided, unpaired, non EEA OUR123REF

ABC124 SAMPLE98765LEI7ABCD SAMPLE123LEI456ABCD Single-sided, unpaired, EEA OUR124REF

ABC125 SAMPLE98765LEI7ABCD SAMPLE123LEI456ABCD Dual-sided, unmatched category 1

Notional Amount Leg 1 - 1; Notional Currency 1 - 1; Confirmation Timestamp - 2 OUR125REF

ABC126 SAMPLE98765LEI7ABCD SAMPLE789LEI456EFGH Dual-sided, unmatched category 2 Effective Date - 2 OUR126REF

ABC127 SAMPLE98765LEI7ABCD SAMPLE789LEI456EFGH Dual-sided matched OUR127REF

ABC128 SAMPLE98765LEI7ABCD SAMPLE789LEI456EFGH Single-sided, paired, unmatched category 1 Cleared - 1 OUR128REF

ABC129 SAMPLE98765LEI7ABCD SAMPLE123LEI456ABCD Single-sided, paired, unmatched category 2

Exchange Rate - 2; Execution Timestamp - 2 OUR129REF

ABC130 SAMPLE98765LEI7ABCD SAMPLE123LEI456ABCD Single-sided, paired, match pending OUR130REF

ABC131 SAMPLE98765LEI7ABCD SAMPLE789LEI456EFGH Single-sided, paired, matched OUR131REF




For reference, below are the Trade Reconciliation Status descriptions:

Trade Reconciliation Status Trade Reconciliation Status description

Single-sided, unpaired, non EEA The trade is ESMA reportable but the other side of the trade is not ESMA reportable and therefore there is no reconciliation requirement.

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.




ESMA UTI Conflict or Pair LEI Break Report 7.2.6

This is a new report provided to a counterparty of the Transaction based on results of the Inter-TR

reconciliation. An additional report should also contain details of any UTI Conflicts or Pair Break LEI’s

recorded to inform participants and submitters of specific problems.

So 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”, “UTI reported to GTR in error” or

“Mismatched LEI”]


1 UTI ABC123

2 Party 1 LEI SAMPLE98765LEI7ABCD

3 Party 2 LEI SAMPLE123LEI456ABCD

4 Error Code UTI reported by other parties

"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




8. Appendix A – Useful Links

Regulatory Background 8.1

ESMA Final Draft Technical Standards 8.1.1

http://www.esma.europa.eu/system/files/2012-600_0.pdf

Summary of the ESMA Technical Standards 8.1.2

http://dtcc.com/~/media/Files/Downloads/Data-and-Repository-Services/GTR/GTR-

Europe/Summary_ESMA_Technical_Standards.ashx

EMIR vs. DFA Comparison 8.1.3

http://dtcc.com/~/media/Files/Downloads/Data-and-Repository-Services/GTR/GTR-

Europe/EMIRvDFA-QandA.ashx

ESMA Questions and Answers 8.1.4

http://www.esma.europa.eu/documents/overview/10?title=&doc_reference=&section=

All&doc_type=266&x=40&y=8

Note: Please ensure you download the latest EMIR Q&A

ISDA’s Guidance on Price Notation 8.1.5

http://www2.isda.org/attachment/NTQxMA==/ISDA%20PN-

APN%20Approach%20Document%20v1.0%202013_03_15.xlsx

Business Requirements Document 8.2

Go to the Go to the GTR Clients’ Center (outline in section 1.2) and select “Business

Requirement Documentation” in the dropdown to retrieve the documentation.

CSV Upload Template 8.3

Go to the GTR Clients’ Center (outline in section 1.2) and select “Supported – Spreadsheets and

Messaging Specs” in the dropdown to retrieve the documentation. If OTC Lite has not been

released into production yet, the template will be located under “Future – Spreadsheets and

Messaging Specs” dropdown.

http://www.esma.europa.eu/system/files/2012-600_0.pdf

http://dtcc.com/~/media/Files/Downloads/Data-and-Repository-Services/GTR/GTR-Europe/Summary_ESMA_Technical_Standards.ashx

http://dtcc.com/~/media/Files/Downloads/Data-and-Repository-Services/GTR/GTR-Europe/Summary_ESMA_Technical_Standards.ashx

http://dtcc.com/~/media/Files/Downloads/Data-and-Repository-Services/GTR/GTR-Europe/EMIRvDFA-QandA.ashx

http://dtcc.com/~/media/Files/Downloads/Data-and-Repository-Services/GTR/GTR-Europe/EMIRvDFA-QandA.ashx

http://www.esma.europa.eu/documents/overview/10?title=&doc_reference=&section=All&doc_type=266&x=40&y=8

http://www.esma.europa.eu/documents/overview/10?title=&doc_reference=&section=All&doc_type=266&x=40&y=8

http://www2.isda.org/attachment/NTQxMA==/ISDA%20PN-APN%20Approach%20Document%20v1.0%202013_03_15.xlsx





OTC Lite Presentations and Videos 8.4

https://event.on24.com/eventRegistration/EventLobbyServlet?target=registration.jsp&eventid=

700397&sessionid=1&key=6397B17393EE25A7AA48715C8C732BD9&sourcepage=register

https://event.on24.com/eventRegistration/EventLobbyServlet?target=registration.jsp&eventid=

712067&sessionid=1&key=60143008A0D90C7B22FF0E0CF2BC4E2A&sourcepage=register

ISDA Taxonomy 8.5

http://www2.isda.org/identifiers-and-otc-taxonomies/

International sFTP Transmission Guide v1.0 8.6

http://www.dtcc.com/~/media/Download-

Center/GTR/Connectivity/International_sFTP_Transmission_Guide_v1_0.ashx

Contact List for OTC Lite 8.7

1. OTC Lite UAT [email protected]

2. OTC Lite Production [email protected]

3. Onboarding [email protected]

4. Counterparty Data Enrichment [email protected]

5. Connectivity Group [email protected]

6. Customer Support Center [email protected]

https://event.on24.com/eventRegistration/EventLobbyServlet?target=registration.jsp&eventid=700397&sessionid=1&key=6397B17393EE25A7AA48715C8C732BD9&sourcepage=register

https://event.on24.com/eventRegistration/EventLobbyServlet?target=registration.jsp&eventid=700397&sessionid=1&key=6397B17393EE25A7AA48715C8C732BD9&sourcepage=register

https://event.on24.com/eventRegistration/EventLobbyServlet?target=registration.jsp&eventid=712067&sessionid=1&key=60143008A0D90C7B22FF0E0CF2BC4E2A&sourcepage=register

https://event.on24.com/eventRegistration/EventLobbyServlet?target=registration.jsp&eventid=712067&sessionid=1&key=60143008A0D90C7B22FF0E0CF2BC4E2A&sourcepage=register

http://www2.isda.org/identifiers-and-otc-taxonomies/

http://www.dtcc.com/~/media/Download-Center/GTR/Connectivity/International_sFTP_Transmission_Guide_v1_0.ashx

http://www.dtcc.com/~/media/Download-Center/GTR/Connectivity/International_sFTP_Transmission_Guide_v1_0.ashx










9. Appendix B – Frequently Asked Questions (FAQs)

What is the geographic and jurisdictional scope of OTC Lite? 9.1

OTC Lite service covers OTC derivatives transactions that are reportable under European Market Infrastructure Regulation (“EMIR”) ONLY to the

GTR. Once the EC and ACER conclude with additional requirements, an update will be published to support those requirements.

Who is able to use the OTC Lite service? 9.2

The below chart provides different scenarios of users using the service.

Scenarios CFTC JFSA MAS ASIC HKMA

Reporting Obligation

: ESMA (EMIR)

Can User Onboard to OTC Lite?

Scenario 1 Onboarded for one or all of the following already (jurisdiction level)

Yes Yes Yes Yes Yes Yes Yes

Scenario 2

Onboarded for all asset-classes for each jurisdiction but want to report to ESMA on Lite template (Lite template can cater for all asset-classes)

Credit, Interest Rates,

Equity, FX, Commodit

y



y



y



y



y

Yes Yes

Scenario 3

Onboarded for combination of asset-classes for each jurisdiction but not all and want to report to ESMA on Lite template for remaining asset-class/es



y


Equity, FX



y



y

FX, Interest Rates

Yes Yes, no specific limit on reporting any other asset-class

Scenario 4 New user - European reporting obligation only No No No No No Yes Yes

Scenario 5 Existing or New user wants to use Lite template for multi-jurisdictional reporting

No No No No No Yes No




Scenario 6

Existing or New user - wants to split their reporting within an asset-class for reporting purposes (i.e. some Rates products submitted on OTC Core solution and others on OTC Lite service)

Yes No - reporting is different, submission is different

Scenario 7 Existing or New user - no European reporting obligation

No No

Scenario 8 Middle Market onboarded through internet No No No No No Yes Yes - search & download only

Scenario 9 Middleware provider reporting data

Yes Yes - but CSV upload only

Scenario 10

Larger new user or user wants to report on behalf of clients - full onboarding direct with GTR Onboarding

Yes Yes - submission & search & download available

Is it possible to send multiple files in one day as in one file per trade? 9.3

It is possible to send several files for a same day through the use of a position message which will be required to report all lifecycle events. A

lifecycle event reason is added to the Position submission and the relevant details of the event. The latest Position message received will

represent the end of day position for that day and Multiple Position messages can be submitted on any particular day and these can be ordered

with “As of Date/Time” indicated on each message.

Which ‘Optional’ fields need to be filled out? 9.4

The firms should look at the conditionality within each message type which is clearly represented as Required, Optional or Conditional.

Furthermore, they should look at the column called EMIR field (column J) to understand whether the field is an EMIR required field to ensure

they are fully compliant for reporting to ESMA.




Does the field ‘Trade Party 2’ need to be filled out when a party is 9.5

submitting under independent delegation?

The submitting party needs to submit at least the Trade Party 2 Prefix & Value (and Name of the

counterparty where SWIFTBIC, Internal or Freeformattext used as a Prefix). This is required on message

and by EMIR. The only other Party 2 field that is required by EMIR is Counterparty Region (to identify if

counterparty is an EEA or nonEEA counterparty) but the field is Optional on message but must be

provided to be fully compliant. The reason this is optional was feedback received from firms indicating

this is not always known at time of reporting. A warning on the Warning report will indicate where this

field is blank and the firm will need to submit the Position message to add the information when

available to be fully compliant.

How can I submit structured or exotic products? 9.6

The nature of structured & exotic products is that they are not standard and there may be no industry

agreed guidance on how to submit. The GTR provides the fields requested by ESMA and firms should

decide how to best populate them.

What is DTCC’s system operating schedule? 9.7

DTCC processes data for reporting every day at cut-off times specified midnight Sunday to midnight

Friday. DTCC has a weekly maintenance period starting on Saturday 10pm EST to Sunday 6am EST.

During this time DTCC will queue messages received and process these afterwards.




10. Appendix C – DTCC Best Practice for Uploading The below is DTCC’s best practice guidance for populating the upload templates. It is not intended to be

legal guidance on trade reporting. Please consult your internal legal and business teams to ensure

accurate and compliant reporting. In addition, firms should follow the OTC Lite Message Template on

acceptable field values.

Cross Asset Guidance 10.1

Participants should submit messages under the same UTI to ONLY one application (Core or OTC Lite). If

trade submissions on the same UTI is submitted to both Core and OTC Lite this can cause duplicative

reporting to the regulators.

Message Template Guidance

• Report using ISDA OTC Taxonomy

• Use ISDA’s guidance on price notation

• http://www2.isda.org/attachment/NTQxMA==/ISDA%20PN-

APN%20Approach%20Document%20v1.0%202013_03_15.xlsx

• The field ‘Underlying Asset’ does not apply to all FX and Commodity products. As well as most

Interest Rates products

• Where available ISIN should be reported

• The field ‘Price Multiplier’ is only applicable for Equity products

• ‘Quantity’ will be ‘1’ for Credit, Interest Rates, and FX products but will be the number of

contracts reported for Commodity and Equity products

• Multiple Values will be sequenced and Paired for reporting (i.e.: Notional Amount = 110; 120;

130; Notional Currency = USD; GBP; EUR will be reported as 110 USD; 120 GBP; 130 EUR)

• Values or text fields can contain symbols such as comma's (“,”) as long as the value or values are

within quote signs “”. Example: Beneficiary ID Party 1 Value is a text field therefore a valid value

may include a symbol but the submitted value will need to be in quotes to be accepted “Fund A

LTD.”

• Enumerated values in Valid Value(s) column are case sensitive.

• All dates must be submitted in an YYYY-MM-DD format. Date time fields are to submitted in

YYYY-MM-DDTHH:MM:SSZ and in UTC time.

• DTCC does not provide a best practice for reporting exotic products as that is left at the

discretion of the firms

• Reporting strategies should follow the confirmation record, if not electronically confirmed,

reporting will be left at the discretion of firms







Lifecycle Event Guidance

When reporting ‘Notional Amount’ for a lifecycle event, the value should always be the resulting position

o Below is an example:

UTI Lifecycle Event Notional Amount Notional Currency Notes

UTI123 Trade 1,000,000.00 EUR

UTI123 Increase 1,500,000.00 EUR Increase was for 500,000.00, user reports outstanding notional

Technical Guidance 10.2

• Rows that are not meant for processing should have a “*” notation in front of it

• Footers need to be included in the last row in the following format: *<4 CHAR OCODE>-END<8

DIGIT # OF TRADE ROWS>

• i.e.: *8TY6-END00000280

• All upload files must be in CSV format

• All enumerated values are case sensitive, “TRUE” and “true” is not the same in the system

• Values or text fields can contain symbols such as comma's (“,”) as long as the value or values are

within quote signs “”.

• For example: Beneficiary ID Party 1 Value is a text field therefore a valid value may

include a symbol but the submitted value will need to be in quotes to be accepted

“Fund A, LTD.”

• All dates must be submitted in an YYYY-MM-DD format. Date time fields are to submitted in

YYYY-MM-DDTHH:MM:SSZ and in UTC time.

Valid Values 10.3

Although OTCLite does not allow FpML as an input format, below are scheme links of valid values that

are derived from the ISDA terminology, users may use the valid values in these links.

FpML Schemes

• Day count fraction http://www.fpml.org/coding-scheme/day-count-fraction

• Floating Rate Index http://www.fpml.org/coding-scheme/floating-rate-index

• Price Quote Unites (Commodities) http://www.fpml.org/coding-scheme/price-quote-units

• ISDA Product ID http://www.fpml.org/coding-scheme/product-taxonomy

Frequency

• M = Month, D = Day, Y =Year, W= Week, T=Term

• Users should populate frequency in the format of number + frequency (i.e.: 3M, 4Y, 3W, 1T)

http://www.fpml.org/coding-scheme/day-count-fraction



http://www.fpml.org/coding-scheme/floating-rate-index



http://www.fpml.org/coding-scheme/price-quote-units



http://www.fpml.org/coding-scheme/product-taxonomy






Interest Rates 10.4

Product Specific

• Debt Option Strike Price type should be submitted as a percentage of par

• Amortizing notionals and step schedules are to be reported as an update to the position. Users

report resulting notional, no lifecycle event reported, this is contract intrinsic

• Floating rate will be the tenor + floating rate

• Firms should populate the Leg 1/Leg 2 Payer

• For cap floor, the Option Strike Price Type should be Cap:basis

• Maturity of a FRA is the effective date

• For example:

• If the opening date is 2014-01-07 this would be considered the ‘Execution

Timestamp’

• If the value date is 2014-03-19 this would be considered the ‘Effective Date’

• If the maturity date 2014-06-18 this would be considered the ‘Scheduled

Termination Date’

• Collar trades is a strategy trade and the client can either report the strategy as two different

trades (1 Cap and 1 Floor) with two different UTIs or the client can report this trade as an Exotic.

• For submitting Rate Resets, the underlying rates will be matched as part of the Inter/Intra TR

process. Therefore, this should be agreed with your counterparty

Buyer determination

• For option products the buyer of the option is considered the buyer

• For products with a fixed rate, the fixed rate buyer is considered the buyer

• For all other products there is no best practice defined

Commodities 10.5

Product Specific

• Load Type is only applicable for Electric taxonomies

• Delivery End and Start dates do not apply to “Cash” taxonomies

• Delivery Point and Interconnection point only apply to Eng:Elec taxonomies

• Price/Time field only applicable for Elec. Rates will be in sequence of hours (i.e.: 14;15;16 = Rate

for hour 1 =14, Rate for hour 2 =15, Rate for hour 3 =16)




Foreign Exchange 10.6

Product Specific

• When reporting an FX swap, users should send in two submissions, one as an FX Spot and one as

an FX Forward with two distinct UTI’s. The link ID field should be used to link these submissions.

• Link IDs should be unique and shared

• Users, can also report an FX Swap with two FX Spot trades or two FX Forward trades

• For FX Forwards, the value in field ‘Exchange rate 1 (Foreign exchange only)’ should be the same

as value in the ‘Forward exchange rate (Foreign exchange only)’ field

• Currency 1 for the quote basis should be populated in the ‘Notional Currency/Units’ field

• Currency 2 for the quote basis should be populated in the ‘Currency 2’ field

• For FX Swaps, the Effective Date is the effective date of the Swap. For FX Forwards, the Effective

Date is the trade date.

• NDFs typically settle on a different day then its maturity. All other products settle on maturity.

• For NDFs there is no requirement to report the settlement fixing rate

Buyer determination

• For option products the buyer of the option is considered the buyer

• For non-option products there is no clear buyer and no best practice defined

Example of an FX Forward

Party 1 buys EUR 1,000 from Party 2 at .80 = £800 on 2014-06-20

*Below is a scaled down version of the samples in order to illustrate the above scenario. Please check the template

to ensure all required fields are submitted.

GTR Field Name Sample Value Notes

Version Lite1.0

Message Type Position

Action New

Transaction Type Trade

UTI Prefix UTIPREFIX

UTI Value TRANSACTID007

Primary Asset Class ForeignExchange

Product ID Prefix 1 ISDA

Product ID Value 1 ForeignExchange:Forward

Underlying Asset (repeatable up to 2

times semi-colon separated) N/A for FX

Notional Currency/Units (repeatable

up to 2 times semi-colon separated) EUR

The first currency in the exchange rate quote basis should

be must be populated (e.g. EUR/GBP)

Settlement Currency (repeatable up

to 2 times semi-colon separated)

Only applicable to Non Deliverable Forwards and Non

Deliverable Options. Otherwise, must be blank.

Price Notation - Price 0.8 As per the best practice here





Price Notation - Price Type Rate

Notional Amount (repeatable up to 2

times semi-colon separated)

1000;800

Notional 1 applies to the first currency in the "Notional

Currency/Units (repeatable up to 2 times semi-colon

separated)" field, the second Notional Amount applies to

the currency 2

Delivery type C

Execution Timestamp 2014-06-20T15:25:00Z

Effective Date (repeatable up to 2

times semi-colon separated) 2014-06-24 One date applicable

Scheduled Termination Date 2014-06-24

Date of Settlement (repeatable up to

2 times semi-colon separated)

Applicable to Non Deliverable Options and Non Deliverable

Forwards

Lifecycle Event New

Currency 2 (Foreign exchange only)

GBP

For the “Currency 2 (Foreign exchange only)” field, the value

should always reflect the payer of the second currency

expressed in the exchange rate quote basis

Exchange rate 1 (Foreign exchange

only) 0.8

For Forwards, the “Exchange rate 1 (Foreign exchange

only)” field will be the same as the “Forward exchange rate

(Foreign exchange only)” field

Forward exchange rate (Foreign

exchange only) 0.8

For Forwards, the “Exchange rate 1 (Foreign exchange

only)” field will be the same as the “Forward exchange rate

(Foreign exchange only)” field

Exchange rate basis (Foreign

exchange only)

EUR/GBP

Exchange rate basis (Foreign exchange only) will drive the

logic for populating:

Notional Currency/Units

Notional Amount (repeatable up to 2 times semi-colon separated)

Currency 2 (Foreign exchange only)

Leg/Currency 1 Payer



Trade Party 1

Leg/Currency 1 Payer field should relate to the Notional

Currency and Notional Amount 1. For FX, Leg 1 should

always reflect the payer of the first currency expressed in

the exchange rate quote basis


Trade Party 2

Leg/Currency 2 Payer field should relate to the Currency 2

and Notional Amount 2. For FX, Leg 2 should always reflect

the payer of the second currency expressed in the exchange

rate quote basis