OTC Derivatives Trade Reporting in Australia – What do I have to report?
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Reporting entities need to consider their obligations and put procedures in place which promote compliance with the ASIC Derivative Transaction Rules (Reporting) 2024 (the Rules).
In addition to the Rules, ASIC released Regulatory Guide 251 which provides reporting entities with additional guidance in relation to trade reporting. Key for most reporting entities will be determining the data that is required to be reported and developing IT systems which collect this data and put it in a form acceptable to their trade repository.
The information required to be reported is divided into two categories:
- derivative transaction information – this is information about an entity’s reportable transactions; and
- derivative position information – this is information about an entity’s reportable positions.
Reporting entities will also need to report any changes to this information which has previously provided to the trade repository.
Derivative transaction information
The requirements for this information are contained in Part S1.3.1 of the Rules and are divided into two categories: common data and data specific to each asset class. Reporting entities are required to report on the following specific asset classes:
- credit derivatives;
- commodity derivatives (other than electricity derivatives);
- interest rate derivatives;
- foreign exchange derivatives; and
- equity derivatives.
The lists contained in the 3 relevant tables in Schedule 1 of the Rules are exhaustive. Each Table outlines a common set of data fields and specific fields relating to the transaction, valuation and collateral. They broadly require the following information to be reported.
1. Transaction Information: Part S1.3.1 of the Rules (Table S1.1(1)) –
- the economic terms of the transaction;
- the product, transaction and entity identifiers – this includes any non-reporting counterparty identifiers; and
- information on whether the transaction is centrally cleared.
2. Valuation information: Part S1.3.1 of the Rules (Table S1.1(2)) –
- the terms in relation to the valuation amount, currency and method;
- the transaction and entity identifiers; and
- delta and next floating rate reset dates, action type and relevant timestamps.
3. Collateral information: Part S1.3.1 of the Rules (Table S1.1(3)) –
- the economic terms in relation to the Initial Margin and Variation Margin (including currency, monetary amounts of collected and posted amounts);
- the transaction and entity identifiers; and
- collateralisation category, collateral portfolio indicators and codes and relevant timestamps.
What is an identifier?
There are a range of identifiers which are required to be reported as part of the common data for transaction and position information. The ‘Legal Entity Identifier (LEI)’ is the only allowable entity identifier and is a 20 character code that uniquely identifies entities who participate on the financial markets. For more information on LEIs please see our article here. Identifiers are applied to:
- counterparties;
- beneficiaries (if different to the counterparty);
- the person making the report (if not the reporting counterparty);
- the broker that executed the transaction – if any;
- the clearing member that cleared the transaction – if any.
Reporting entities should review their obligations and their IT capabilities to ensure that all required data is able to be collated and reported to ASIC. Compliance with the Rules will rely on systematic collation of information, and timely and accurate reporting.
Do not hesitate to contact us if you would like to discuss the requirements and how we can assist.
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