A Global Swap Data Repository Service

A Global Swap Data Repository Service
A Global Swap Data Repository Service
White Paper
January, 2012
 Copyright Intercontinental Exchange, Inc. 2012. All Rights Reserved.
www.icetradevault.com
Table of Contents
EXECUTIVE SUMMARY ......................................................................................................................... 3
OVERVIEW: SWAP DATA REPOSITORIES........................................................................................... 4
KEY DATA SOURCES............................................................................................................................ 6
REPORTING OBLIGATIONS .................................................................................................................. 7
Swap Primary Economic Terms ("PET") & Confirmation Reporting Responsibility...………..………………………………….7
Swap Valuation & Other Continuation Data Reporting Responsibility…………………………………………………………….7
Reporting Party Hierarchy……………………………………………………………………………………………………………...8
TRADE FLOWS ...................................................................................................................................... 8
Trades Executed On Facility & Cleared………………………………………………………………………………………………8
Trades Executed Off Facility & Non-Cleared……………………………………………………………………………………….. 9
Exotic Trades……………………………………………………………………………………………………………………………9
All Other Continuation Data……………………………………………………………………………………………………………9
UNIQUE IDENTIFIERS ......................................................................................................................... 10
LIMITED SYSTEM DEVELOPMENT ..................................................................................................... 10
End-User Exception Reporting............………………………………………………………………………………………………11
ACCESS CONTROLS........................................................................................................................... 11
REPORTING CAPABILITIES ................................................................................................................ 12
CONCLUSION ...................................................................................................................................... 12
APPENDIX A: U.S. COMPLIANCE DATES FOR SDR REPORTING ................................................... 14
APPENDIX B: U.S. REPORTING OBLIGATIONS FLOWCHART ......................................................... 15
APPENDIX B: (CONTINUED) .............................................................................................................. 16
ICE Trade Vault – White Paper - January, 2012
Page 2
www.icetradevault.com
Executive Summary
IntercontinentalExchange, Inc. (“ICE”) offers active participants in the commodity and energy
trading market a Swap Data Repository (“SDR”) service that leverages a widely-accepted
technology platform, applies an industry-standard confirmation service, and relies on data
delivery protocols that provide easy integration and workflow compatibility for a wide range of
internal and third party systems. The ICE SDR called ICE Trade Vault is a high-performance,
high-volume transaction recording and reporting service built on a responsive, scalable, and
flexible architecture. ICE Trade Vault offers storage and retrieval features that meet applicable
global regulations, and supports the compliance efforts of market participants as they transition
to new regulatory regimes.
The regulatory reporting of swap transactions is a fundamental component of various global
regulatory initiatives to increase transparency in swaps markets. In the United States, the Dodd
Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank Act”) requires all
participants to report trade details on every swap transaction. To help meet these requirements,
ICE is offering market participants a new service that leverages its network of trading
exchanges and clearinghouses to submit trade data to ICE Trade Vault to meet regulatory
reporting obligations. ICE Trade Vault also accepts data from ICE eConfirm, an electronic
confirmation matching service used by more than 250 firms in the commodity and energy
markets for the submission of confirmation trade data from their in-house trading systems.
Customers are able to extend their existing ICE eConfirm interfaces to meet SDR reporting
requirements. ICE is easing regulatory burdens for its customers by leveraging existing
architecture and interfaces to minimize their cost of development and compliance.
ICE Trade Vault is focused exclusively on the commodities asset class to record, retrieve, report
and maintain trade data. ICE Trade Vault supports specific goals of the Dodd-Frank Act, by
standardizing commodity reference data, resolving duplicate records, and permitting multiple
parties to submit and query a secure, reliable database on a real-time or ad hoc basis.
ICE Trade Vault creates unique identifiers for individual transactions and derivative products as
well as specific participants. It also provides a Real-time Ticker or trade reporting service that
satisfies regulatory mandates for public dissemination, and it tracks block and large notional
value swaps with applicable time delays. It also leverages interconnectivity to provide support
services that track and report valuation data of reported transactions, a key requirement of new
legislation.
ICE Trade Vault has controls and multi-tiered, rights of access functionality to ensure
confidentiality of trade data and users, who have access to a support team 24 hours a day.
ICE envisions a launch date in mid-2012 for the global oil, natural gas, and natural gas liquids
markets with subsequent markets, such as electricity, metals, agricultures and coal following on
a phased basis.
ICE Trade Vault – White Paper - January, 2012
Page 3
www.icetradevault.com
Overview: Swap Data Repositories
Many countries are contemplating new legislation and rules to regulate the swaps market, and a
common theme of each of these efforts is the tracking and public reporting of OTC trade data
related to swap transactions. In the United States, the Dodd-Frank Act requires that all swap
transaction data, without exception, be reported to new, regulated market entities defined as
Swap Data Repositories, or SDRs. The U.S. is the first country to finalize rules related to SDRs;
the Commodity Futures Trading Commission (“CFTC”) passed a series of rules in late 2011 to
define reporting obligations and SDR core principles. The fundamental purpose of SDRs is to
provide transparency to the swaps market and to deliver real-time, public disclosure of
transaction data. SDRs are required to register with the CFTC and meet compliance
requirements by reporting economic terms of a swap transaction, reporting and recording
confirmations and life cycle events related to that transaction, manage data reporting
obligations, and maintain policy and procedures to ensure data security. SDRs directly interact
with a range of market participants, and its core duties include:






Acceptance and confirmation of data;
Recordkeeping;
Real-time reporting;
Monitoring, screening, and analyzing data;
Maintenance of data privacy and integrity;
Permitting access to regulators.
To better understand the impact of submitting trade data to an SDR, ICE has provided the
following definitions derived from the Dodd-Frank Act. Some of these definitions are still subject
to final rule making by regulators and impact the actual roles and responsibilities of market
participants. ICE included the statutory definitions to provide context for determining how an
organization may prepare itself for new swap data reporting requirements. Key terms of the
legislation are:




Swap: [Section 721 of Dodd-Frank Act] Defines “swap” expansively bringing in most
financial instruments or transactions. Physically settled forwards and options, exchange
traded futures, and equity securities are excluded from definition of swaps.
End-User: An end user is a participant that is not a financial entity [a commodity pool
operator, (e.g. hedge fund), a swap dealer, or major swap participant] that is using a
swap to hedge or mitigate commercial risk.
Swap Dealer: (“SD”) [Section 721 of Dodd-Frank Act] A firm that holds itself out as a
dealer in swaps; makes a market in swaps; regularly enters into swaps with
counterparties in the ordinary course of its business for its own account; or engages in
any activity causing the person to be commonly known in the trade as a dealer or
market-maker in swaps.
Major Swap Participant: (“MSP”) [Section 721 of Dodd-Frank Act] An entity that: (1)
maintains a substantial position in swaps for any of the major swap categories as
determined by the CFTC (excluding positions held for hedging or mitigating commercial
risk and positions maintained by any employee benefit plan for the primary purpose of
hedging or mitigating any risk directly associated with the operation of the plan); (2) has
substantial counterparty exposure that could have serious adverse effects on the
financial stability of the U.S. banking system or financial markets; or (3) is a financial
entity that is not subject to capital requirements imposed by any federal banking agency,
ICE Trade Vault – White Paper - January, 2012
Page 4
www.icetradevault.com








is highly leveraged relative to the amount of capital it holds and maintains a substantial
position in outstanding swaps in any major swap category.
Swap Execution Facility: (“SEF”) [Sections 721, 733 of Dodd-Frank Act] A facility, trading
system or platform in which multiple participants have the ability to execute or trade
swaps by accepting bids and offers made by other participants that are open to multiple
participants in the facility or system, through any means of interstate commerce.
Designated Contract Market: (“DCM”) Must have 85% of their transactions (by volume)
executed on exchange. DCM can list a swap, but unlike a SEF, the swap must be
cleared.
Designated Clearing Organization: (“DCO”) [Sections 723, 725 of Dodd-Frank Act] All
clearable swaps must be cleared. Dodd-Frank Act also mandates that these swaps
transactions must be cleared through a DCO and FCMs shall manage participants’
accounts.
Swap Data Repository: (“SDR”) the facilitator of the transparency requirements. The
SDR disseminates to the public and the CFTC swap data on a real-time basis.
Unique Swap Identifier: (“USI”) would be created and assigned to a swap at the time it is
executed, and used to identify that particular swap transaction throughout its existence.
Legal Entity Identifier: (“LEI”) would be used for precise, reliable, and unique
identification of each party to a swap subject to the Commission's jurisdiction, in all
recordkeeping and data reporting concerning swaps.
Unique Product Identifier: (“UPI”) would be used for categorization of swaps with respect
to the underlying products referenced in them.
End-User Exception: End-Users are exempted from the Dodd-Frank Act mandatory
clearing requirements when hedging or mitigating commercial risk.
The CFTC’s rules mandate reporting for all swaps, both bilateral and cleared, and include
reporting of trade details, trade confirmations, post-trade events and valuation data. DoddFrank does not allow for any reporting exemptions for certain participants; therefore, this piece
of the legislation will affect all market participants. In addition, CFTC prescribes that SDRs
be constructed by asset class, and that each have the ability to accept and process all products
in the asset class.
Some of these definitions remain subject to final rule making, though SDR related rules were
finalized in 2011. Regulators established an implementation timeline that requires a SD/MSP to
commence SDR reporting as early as October 14, 2012 and requires a non-SD/MSP to do so
as early as January 16, 2013 (see Appendix A for an implementation timeline). As a result,
market participants should select a Swap Data Repository service provider during the first half
of 2012 to ensure legal agreements are in place and conformance testing is complete prior to
implementation.
With this timeline in mind, ICE is launching ICE Trade Vault to provide market participants with a
simple, cost-effective solution to address this critical regulatory mandate and is working closely
with customers to make this process go smoothly. With deep expertise in technology and
markets, ICE is in a unique position to provide electronic services that increase operational
efficiency and support regulatory compliance. As the preferred solution for the world's largest
trading firms and financial institutions, ICE Trade Vault will build upon ICE’s widely-accepted
trading and clearing infrastructure as well as the ICE eConfirm service and provide market
participants with a viable and clear path through a complex regulatory environment.
ICE Trade Vault – White Paper - January, 2012
Page 5
www.icetradevault.com
Key Data Sources
ICE is uniquely qualified to create a commodity SDR because of its connection to the data
sources as well as trade execution and clearing venues that will populate the repository. With
the advent of mandatory clearing and electronic trading as required in the Dodd-Frank Act, ICE
anticipates that 90+% of the volume in the commodity and energy OTC market will be
transacted on a SEF or DCM (“on facility”) and cleared through a DCO. The remaining will
trade bilaterally, and these transactions will consist of non-clearable swaps, exotic swaps, and
trades where one party elects an end-user clearing exception.
For all trades executed on facility, regulations direct the SEF or DCM to select the SDR. A swap
may only exist in one SDR and all reporting must be done in the repository originally chosen by
the SEF or DCM. ICE intends to establish an energy and commodity swap execution facility
once the CFTC completes rule making. While contingent on the final rule making, the ICE SEF
will provide a simple, efficient and low-cost method for participants to complete their SDR
reporting requirements.
Non-ICE SEFs and DCMs represent another key data source. These entities, many of which
already have existing system connections to the ICE eConfirm Broker Matching Service, will be
able to leverage existing technology. ICE will encourage non-ICE SEFs and DCMs to select
ICE Trade Vault to enable real-time reporting, SDR submission, and clearinghouse postings via
an efficient application programming interface (API).
The ICE clearinghouse represents the third key data source for ICE Trade Vault. For non-ICE
DCOs, ICE Trade Vault will provide API connectivity, a test environment and technical
assistance to enable efficient and cost effective reporting.
ICE eConfirm will provide the platform for reporting bilateral trades to ICE Trade Vault. Bilateral
trades can be subdivided into two categories – those confirmed electronically and those
confirmed via paper. Participants typically report that they electronically confirm 80+% of their
swaps business via ICE eConfirm. For the remaining trades that are confirmed via paper, ICE
eConfirm will be enhanced to allow participants to submit paper confirmations. These trades
will be accepted for regulatory reporting purposes and will not utilize the confirmation matching
engine. As a result, ICE eConfirm acts as another key channel and data source for submissions
into ICE Trade Vault.
In summary, ICE Trade Vault accepts data from the following five sources:





ICE SEFs/DCMs
Non-ICE SEFs/DCMs
ICE DCOs
Non-ICE DCOs
ICE eConfirm
It is important to note that ICE eConfirm will serve as the interface to submit trade data to ICE
Trade Vault. This method enables existing ICE eConfirm participants to use their longestablished connectivity solutions with the fewest modifications possible. Given the short
timeframes required for compliance, this design significantly minimizes technical effort for
market participants.
ICE Trade Vault – White Paper - January, 2012
Page 6
www.icetradevault.com
Reporting Obligations
ICE’s real-time, integrated systems will collect and standardize trade data and send it via a
trade capture module for storage in ICE Trade Vault. Once the data is collected in ICE Trade
Vault, both regulators and participants will access a robust reporting module - subject to access
controls - and users will view data via a Real-Time Ticker.
Swap Primary Economic Terms (“PET”) & Confirmation Reporting Responsibility
The following is a summary view of the reporting obligations which depend upon entity type,
execution venue, and type of swap data:
On Facility:
Cleared
On Facility:
Non-Cleared
Off Facility:
Cleared
PET Data
SEF/DCM
SEF
DCO
Confirmation
Data
DCO
SD, MSP,
Non-SD/MSP
DCO
Off Facility:
Non-Cleared
SD, MSP,
Non-SD/MSP
SD, MSP,
Non-SD/MSP
PET data must be reported to the SDR as soon as technologically practicable (“ASATP”) after
trade execution. The confirmation data time requirement varies based upon reporting entity
type and perceived level of technical sophistication. For example, DCOs must report
confirmation data ASATP, but non-SD/MSP participants have up to 48 business hours to
comply (see Appendix B for workflow chart and timing obligations).
Swap Valuation & Other Continuation Data Reporting Responsibility
The following table provides a summary view of the valuation and continuation reporting
responsibilities which are contingent on entity type and clearing scenario:
Cleared
Valuation Data
DCO,SD,MSP
All Other
Continuation Data
DCO
Non-Cleared
SD, MSP,
Non-SD/MSP
SD, MSP,
Non-SD/MSP
For cleared and bilateral trades, regulations require SDs/MSPs to report valuation data to the
SDR on a daily basis. For non-SDs/MSPs, valuations are only required on bilateral trades and
reported quarterly. ICE Trade Vault will ease this burden on participants by offering users an
optional valuation service.
As part of its optional valuation service, ICE Trade Vault will submit daily valuations for cleared
deals on behalf of SDs/MSPs using DCO valuations. This service is also offered for bilateral
deals, when a product is clearable and a relevant DCO valuation is available. If a participant
elects this option, then their valuation obligations are limited to non-cleared trade types, which
are estimated to be a very small percentage of deals.
ICE Trade Vault – White Paper - January, 2012
Page 7
www.icetradevault.com
Reporting Party Hierarchy
1. Swap Dealer (“SD”)
2. Major Swap Participant (“MSP”)
3. Non-SD/MSP
When reporting parties submit data to a SDR, regulators established a framework for
determining reporting party responsibility for each swap trade and ongoing updates to the
underlying data of the transaction. A hierarchy of counterparty types is described above, in
which SDs outrank MSPs, who outrank non-SD/MSP counterparties. When both counterparties
are at the same hierarchical level, regulation calls for them to select the counterparty obligated
to report. To make this process easier, ICE eConfirm provides participants with tools to
systematically designate the reporting party in these scenarios, thereby eliminating the need for
consultation between parties on a trade-by trade basis.
Trade Flows
ICE identified the following four dominant trade flow scenarios which will be processed by the
SDR. The majority of trading volume is associated with scenarios one and four. Taking this into
account, this White Paper focuses on these two scenarios.
1.
2.
3.
4.
Trades executed on facility and cleared;
Trades executed on facility and non-cleared;
Trades executed off facility and cleared; and
Trades executed off facility and non-cleared.
Trades Executed On Facility & Cleared
Regulators are expected to mandate that most clearable swaps be cleared and executed on an
electronic platform, such as a SEF or DCM. As a result, ICE estimates over 90% of OTC
trading volume will be on facility and cleared. The main reporting responsibility for these trades
is on SEFs/DCMs for PET data reporting and DCOs for confirmation, valuation, and all other
continuation data reporting. SDs/MSPs must also provide daily valuation data via ICE eConfirm
unless they opt to utilize DCO valuations.
ICE Trade Vault – White Paper - January, 2012
Page 8
www.icetradevault.com
Trades Executed Off Facility & Non-Cleared
Off facility, bilateral trades (e.g., those eligible for the End-User Exception or not mandated for
clearing), fall under scenario four listed above. For these trades, the reporting party must
submit PET, confirmation, valuation, and all other continuation data to the SDR. Participants will
simply submit data directly to ICE eConfirm to accomplish these tasks.
Regulators established short timelines for reporting data for off facility and non-cleared trades.
This is especially true for SDs/MSPs, who only have a number of hours to report PET data and
provide executed trade confirmations. To meet this requirement, firms may choose to
electronically match their trade confirmations via ICE eConfirm. If a firm does not wish to use
electronic trade confirmation matching, then ICE eConfirm also accepts executed paper
confirmations, which can be uploaded to the SDR with the attached trade record. The following
graphic presents this scenario and shows that PET, confirmation, valuation, and all other
continuation data are submitted via ICE eConfirm:
Exotic Trades
Based on ICE’s previous experience with bespoke and structured transactions, or exotic trades,
these deals will be bilateral and not easily accommodated by electronic submission. Therefore,
ICE eConfirm offers generic product templates in each commodity market type allowing firms to
submit key trade details and additional details via a paper trade confirmation import.
All Other Continuation Data
Regulations require that any changes to a swap that occur throughout the life of the swap must
be reported in a timely manner to the SDR. In recording these post-trade events, ICE Trade
Vault utilizes the lifecycle approach to track changes. This requires submission of individual
events (e.g. bust, modify terms, early termination and novation) as they transpire. ICE defined a
series of standard events and a process for tracking each. Reporting parties capture each
event in ICE eConfirm via web-form entry, a file upload or API. Given the relatively low
ICE Trade Vault – White Paper - January, 2012
Page 9
www.icetradevault.com
occurrence of life-cycle events in the commodities asset class, ICE believes that this is the
logical and least burdensome choice for reporting parties.
Unique Identifiers
Industry standards are an essential component of ICE Services and regulators seek to have a
range of market participants coalesce around unique identifiers for products, transactions, and
market participants. ICE has a strong record of working with trade groups and standards-making
bodies to create and implement solutions. ICE Trade Vault continues this effort as it relates to
development of unique identifiers. Examples of prior industry collaboration include:

International Swaps and Derivatives Association: 2005 Commodity
Definitions, NYMEX December 2008 Option Expiration and U.S. Crude
Oil & Refined Petroleum Products Annex

Leadership for Energy Automated Processing: Created and designed
the XML schema for physical crude oil & refined products, Master
Agreement for Purchasing and Selling Refined Petroleum Products &
Crude Oil

Edison Electric Institute: NP15 & SP15 Product Definitions, ERCOT
Product Definitions to address rezoning, Master MRTU Amendment
relating to certain electricity transactions that reference prices at SP15 &
NP15 as reported by ICE
Regulators prescribe creation of unique identifiers (Unique Swap Identifiers, Unique Product
Identifiers, and Legal Entity Identifiers) based on open standards that can be internationally
adopted. Regulations state Unique Swap Identifiers (“USIs”) shall be assigned to a trade at the
venue of execution. For on facility trades, SEFs/DCMs must create USIs. For off facility trades,
SDs/MSPs issue USIs. ICE eConfirm will also create USIs for non-SDs/MSPs and for
SDs/MSPs who elect an optional USI creation service.
UPIs will simplify trade processing and reporting for an asset class. The commodity and energy
asset class is dynamic and innovative in respect to product development. Central coordination
is necessary to prevent duplication of UPIs. ICE Trade Vault will utilize its own taxonomy for
UPIs based on existing ICE product codes. ICE Trade Vault will issue UPIs, maintain reference
data representation of each commodity product, including schema definitions and disseminate
the representation to participants. When industry efforts to create common UPIs are complete,
ICE Trade Vault will adopt these standards and translate participant data accordingly. As a
result, ICE Trade Vault users will not need to enhance existing system interfaces to adopt UPI
codes.
Limited System Development
ICE has an unparalleled record of integrating trade capture systems, both vendor and
proprietary, to enable the submission and download of trade data. As described above,
reporting parties will only be required to interface with ICE eConfirm to submit data to the SDR.
Trade capture system integration with ICE eConfirm is possible via an xml API or a tab delimited
file upload. Upon enrollment, participants will be provided with data mapping tools, a test
environment, complete technical requirements and assistance with their integration. Certainly, if
a company already utilizes the ICE eConfirm platform today, limited development effort is
required.
ICE Trade Vault – White Paper - January, 2012
Page 10
www.icetradevault.com
If participants choose not to integrate their trading system with ICE eConfirm, the service
accepts manual trade data input via a secure Internet website. A manual trade entry screen
provides participants with an electronic form containing drop-down and fill-in boxes. In instances
where only one participant to a trade is able to upload trade data, the system also provides
electronic affirmation features (“Click & Confirm”).
End-User Exception Reporting
Participants electing the End-User Exception are required to submit additional trade details to
the SDR for these transactions. ICE eConfirm's manual trade-entry screen and Click & Confirm
functionality assists parties in this effort. Participants are able to set up default values for many
fields to reduce the number of entries needed to report transactions. Below is an example of the
Click & Confirm screen for an End-User Exception transaction:
Access Controls
Reporting parties access ICE Trade Vault to view various trade, position, and valuation data
reports. ICE Trade Vault offers company set-up and user authorization functionality, including
an administrator’s component. Each entity is classified by registered type: SEF, DCM, DCO, or
Participant. Participants are cataloged per regulator and by market type, as to their classification
(e.g., CFTC/US Financial Power: MSP).
Access to ICE Trade Vault is strictly limited to users with valid credentials. Password standards
comply with appropriate security policies. Upon enrollment into ICE Trade Vault, a participant
firm designates a master user (“Administrator”).
Participants are able to manage oversight access via a robust Regulator Filter. To manage the
Regulator Filter, participants “open” a regulatory agency to allow access. These filter settings
exist at a granular level (e.g., settings by trading region, market type, product and index filters)
to provide participants with the greatest flexibility and control to permission regulators. An
example of the Regulator Filter screen is below:
ICE Trade Vault – White Paper - January, 2012
Page 11
www.icetradevault.com
Reporting Capabilities
ICE Trade Vault features a data warehouse and reporting platform modeled on the high-volume
system that ICE currently uses to support its own compliance reporting needs. The warehouse
and platform, combined with business intelligence tools, allows ICE Trade Vault to deliver a
suite of reports tailored for participants and regulators. These reports include:




End-User Exception Reporting
Large Trader Reporting
Position Reporting
Valuation Reporting
Regulations prescribe a framework for data distribution to the public, which includes a RealTime Ticker for the public reporting of swap transactions. ICE Trade Vault reports certain data
ASATP. In addition, ICE Trade Vault offers historical data views via its website while strictly
adhering to the Commission’s rules on which data elements are part of the public record.
ICE Trade Vault anticipates that the public reports are likely to include the following:


Minimum Block Size Reporting
Other Summary Reporting
Conclusion
Given the critical importance of complying with global regulatory requirements, ICE established
ICE Trade Vault to serve the Swap Data Repository requirements of participants in the
commodity and energy asset class. ICE Trade Vault benefits from ICE’s successful track record
ICE Trade Vault – White Paper - January, 2012
Page 12
www.icetradevault.com
of working with customers to develop innovative trading platforms, data-reporting tools, and risk
management services.
ICE Trade Vault is planning a mid-2012 launch date focused on the global oil, natural gas, and
natural gas liquids markets with other commodity markets to follow on a phased basis. ICE is
undertaking a significant development effort to ensure ICE Trade Vault provides a simple and
cost-effective solution for its customers, one that is dynamic and adaptable as regulatory rules
evolve.
ICE Trade Vault – White Paper - January, 2012
Page 13
www.icetradevault.com
Appendix A: U.S. Compliance Dates for SDR Reporting
Registered
Entities
SDRs
SEFs
DCOs
DCMs
SDs
MSPs
Asset Class
Credit
Interest Rate
SDRs
SEFs
DCOs
DCMs
SDs
MSPs
Equity
Foreign Exchange
Commodity
Non-SDs
Non-MSPs
Credit
Interest Rate
Equity
Foreign Exchange
Commodity
Compliance Date
Compliance Date A
The later date of:
 July 16, 2012; or
 60 calendar days after publication in the Federal
Register of the definition of “swap” or the defining
terms for “Swap Dealer” or “Major Swap Participant”
Compliance Date B
= Compliance Date A + 90 days
Compliance Date C
=Compliance Date B + 90 days
Scenario A: Swap and SD/MSP final definitions published to the Federal Register on April 1,
2012:

Compliance Date A = July 16, 2012

Compliance Date B = October 14, 2012

Compliance Date C = January 12, 2013
Scenario B: Swap and SD/MSP final definitions published to the Federal Register on August 1,
2012:

Compliance Date A = August 1, 2012 + 60 calendar days = September 30, 2012

Compliance Date B = September 30, 2012 + 90 calendar days = December 29, 2012

Compliance Date C = December 29, 2012 + 90 calendar days = March 29, 2013
ICE Trade Vault – White Paper - January, 2012
Page 14
www.icetradevault.com
Appendix B: U.S. Reporting Obligations Flowchart when a SD or MSP is the Reporting Party
* Swap subject to mandatory clearing: 30 minutes after execution (year 1), 15 minutes after execution (thereafter).
Swap not subject to mandatory clearing (credit, equity, FX, rates): 1 hour after execution (year 1), 30 minutes after execution
(thereafter). But if the non-reporting counterparty is not a financial entity, and verification is not electronic: 24 business hours after
execution (year 1), 12 business hours after execution (year 2), 30 minutes after execution (thereafter).
Swap not subject to mandatory clearing (other commodities): 4 hours after execution (year 1), 2 hours after execution (thereafter).
But if the non-reporting counterparty is not a financial entity, and verification is not electronic: 24 business hours after execution
(year 1), 12 business hours after execution (year 2), 30 minutes after execution (thereafter).
ICE Trade Vault – White Paper - January, 2012
Page 15
www.icetradevault.com
Appendix B (Cont'd): U.S. Reporting Obligations Flowchart when a Non-SD/MSP is the Reporting
Party
* Swap subject to mandatory clearing: 4 hours after execution (year 1), 2 hours after execution (year 2), 1 hour after execution
(thereafter)
Swap not subject to mandatory clearing: 48 business hours after execution (year 1), 36 business hours after execution (year 2), 24
business hours after execution (thereafter)
ICE Trade Vault – White Paper - January, 2012
Page 16
Was this manual useful for you? yes no
Thank you for your participation!

* Your assessment is very important for improving the work of artificial intelligence, which forms the content of this project

Download PDF

advertising