ICE Trade Vault Swap Data Repository EEI Compliance Forum

Transcription

1 1 ICE Trade Vault Swap Data Repository EEI Compliance Forum

2 Parts 15 & 20: Large Trader Reporting (LTR) Core principles of LTR: Daily reporting of position data from DCOs, FCMs & SDs Cleared & bilateral swaps positions of 50 lots or greater Covered Futures Contracts 20.2 (46 contracts & Commodity Index) Series S Filings for identification data (102S & 40S filings) SDR Sunset Provision 20.9 per CFTC order Responsibilities of DCOs, FCMs and SDs: Clearing organizations will report per 20.3 LTR greatly expands the reportable Cleared Products for DCOs Reporting entities (FCMS & SDs) will report per 20.4 FCMs report additional information & future equivalents SDs report bilateral positions by CRP & future equivalents 2 2

3 ICE LTR Service Paired Swaps Covered Futures Contracts t - ICE has 135 paired swaps Additional values - Commodity Reference Prices & Position Types OTC swap positions to be converted to Futures Equivalents Calculate paired swap positions data per CRP SDR Sunset Provision 20.9 per a CFTC order Service Offering For cleared swaps & ten largest FCMs enrolled into LTR Service Service to be offered through ICE Participant Agreement Upon completion of SDR registration, ti LTR Service via ICE Trade Vault Will be expanded to offer bilateral reporting for SDs Fully compliant file formats & submitting data to CFTC 3

4 ICE: A Logical LTR & SDR Service Provider Deep Commodities Infrastructure Over ten years experience operating global derivatives businesses Deep knowledge of commodity swaps in all areas of ICE Partnered with industry to launch clearing & confirmation services Proven Track Record Process & store millions of confidential trade records daily without incident Systems developed & operated by in-house staff of 500+ technologists S&P 500 company with transparent financials & governance Regulatory Experience Operate 5 futures exchanges & 4 clearinghouses - US, Europe & Canada Exchange & clearinghouse subsidiaries operate under multiple jurisdictions US, UK/EU & Canadian regulators Liaisons with 25 other foreign regulators beyond home regulators 4

5 Key SDR Data Sources ICE is uniquely qualified to provide a commodities SDR given existing infrastructure. ICE Cleared CME Cleared* * Bilateral- ICE platform Bilateralvoice Swap Creation Data ICE Trading Platform or ICE Block N/A ICE Trading Platform Reporting CP via ICE econfirm Swap Confirmation ICE Reporting CP via Reporting CP via N/A Data Clearinghouse ICE econfirm ICE econfirm Swap Continuation Data ICE Clearinghouse* N/A Reporting CP via ICE econfirm Reporting CP via ICE econfirm Swap Valuation Data ICE Clearinghouse* N/A Reporting CP or ICE Clearing Reporting CP or ICE Clearing 5 *US proposed rules deviate, but ICE believes that clearinghouses are logical provider of trade data. ICE will adapt to meet final regulatory requirements. **CME OTC Cleared trades are categorized as futures and are not reported to SDR in US.

6 Trade Vault Development Significant investment by ICE underway Creating central database of trades processed by ICE Trading Platform, clearinghouses & ICE econfirm Building regulatory reporting component Designing submission requirements for participants & trusted sources Real-time ticker for distributing trade data - online viewing & downloads Targeting Q beta launch: natural gas, natural gas liquids & oil Working Group to address: Submission of life-cycle events & exotic trades Calculation of notional amounts,,positions & valuations Design reports, regulator filters & user interfaces 6

7 Reporting Bilateral Trades After implementation of Dodd-Frank s clearing mandate, anticipate bilateral trades will represent <5% of the total market. Electronically Confirmed ICE econfirm submits Matched trades to ICE Trade Vault No technical effort required by ICE econfirm Participants Enhancements to existing API facilitates new SDR events Paper Confirmed ICE econfirm will accept trade details & copy of paper confirmations Trades not Matched - only submitted for reporting purposes Will accept non-standard or exotic trade types 7

8 Limited Investment by Participants Advantages to ICE econfirm Users Re-use existing system interfaces Minor modifications can be phased in Paper confirmed trades Non-standard d & exotics Life-cycle events Valuation data End-User Exception Reporting Low tech end users can confirm & report via Click & Confirm Simple interface with default values Either party may report 8

9 9 Trades Executed On-Platform & Cleared

10 10 Trades Executed Off-Platform & Bilateral

11 Regulatory Requirements: CFTC Data Triplets Swap Data Recordkeeping & Reporting (Part 45) All cleared & bilateral swaps shall be reported to an SDR Swap trade details include initial, confirmation & valuation data End-Users are required to report Bona Fide Hedges to an SDR Swap Data Repository (Part 49) Duties to accept & maintain trade data; provide regulators access Required to accept all trade types for a given asset class SDR registration extensive & requires significant resources Real-Time Public Reporting of Swap Data (Part 43) Framework for public reporting of swap transactions Applies to all participants & trusted sources SDRs eligible ibl to be a public disseminator i of swaps data 11

12 12 Bruce Tupper