Swap Data Regulation - White Paper - CPSS/IOSCO: Final Report on OTC Derivatives Data Reporting and Aggregation Requirements - January 2012
On January 17, 2012, the Committee on Payment and Settlement Systems (CPSS) and the Technical Committee of the International Organization of Securities Commissions (IOSCO) published their final report on the OTC derivatives data that should be collected, stored and disseminated by trade repositories (TRs). The final report builds upon a consultation report published August 24, 2011, which made the following recommendations:
- Minimum data reporting requirements, including transaction economics, counterparty information, underlier information, operational data and event data;
- Access to data, for entities such as market regulators, central banks, prudential supervisors and resolution authorities;
- Methodology and mechanism for aggregation of data to include "Legal Entity Identifiers" ("LEIs");
- International LEI development and principles to be determined and harmonized by regulators and industry participants; and
- Development of a standard international product classification system.
The final report, which can be found below, reflects public comments received in response to the consultation, specifically, the report was expanded to elaborate on the description of possible options to address "data gaps."
The report was also updated to reflect recent international developments in data reporting and aggregation requirements stemming from an LEI workshop held in September 2011 and other efforts directed by the Financial Stability Board (FSB), with the future goal being the development of a global LEI.
Contents of the Report
The final report:
- Explains the role of trade repositories in the implementation of OTC derivatives market reform;
- Explores data aggregation mechanisms and tools needed to enable authorities to aggregate data in order to fulfil their mandates;
- Offers two models for data reporting, the "functional approach" and the "data field" approach;
- Highlights potential "data gaps" such as valuation data, bilateral portfolio-level data, and data on collateralization;
- Outlines the needs and limitations of regulators, central banks, supervisors and resolution authorities to access trade repository data;
- Discusses the expectations regarding public dissemination of OTC derivatives data by a trade repository; and
- Highlights the opportunities and challenges in data aggregation.
The report also contains an explanation of the purpose, challenges, alternatives, and need for an international approach to the creation of legal identity identifiers (LEIs) and a product classification system. It concludes with a reiteration of its recommendations from the consultation, as described above.
Related Document: Final CPSS/IOSCO Report