ISDA Clearing Connectivity Standard (CCS) Q2 2014

Transcription

1 ISDA Clearing Connectivity Standard (CCS) Q2 2014

2 Beginning in 2011, Custodian Service Providers led by State Street, Northern Trust, BNY Mellon and JP Morgan approached Sapient to gather information on data formats and reach a consensus that would eventually become the CCS industry standard. ISDA CCS: The Clearing Connectivity Standard Derivatives customers, notably large asset managers, have since approached their Clearing Firms to request compliance with CCS. Clearing Firms are cooperating with the Standard both because of client interest and to streamline their operations. Eight major clearing brokers and Eight major custodians are currently either producing or testing the CCS Summary report. The Standard currently covers cleared IRS, CDS and NDF trade, position, margin, and collateral data for LCH, CME and ICE products. The Steering Committee is investigating the addition of swaptions, futures, and listed options to the Standard. Eurex has also agreed to support the standard, and engagement with TSE and SGX is ongoing. The account level Summary Report, trade/position level Position & Trade Report, Daily Activity Report, and Collateral Holdings Report have been finalized and are being tested between reporting parties. The next levels of reporting, showing upcoming cash flows and cash settlements, are targeted for completion in Q

3 ISDA Governance On October 24th, 2012 ISDA announced its support of the standard The ISDA CCS Steering Committee works with Sapient to govern Committee and Working Group membership, review requested format changes, and encourage rapid implementation On June 10 th, 2013, the largest 4 Clearing Brokers and Custodians announced or confirmed their support of the standard The ISDA FpML Standards Committee has pledged to support the transition of CCS to FpML format. The Steering Committee will determine when sufficient implementation has been achieved to make this change without alienating smaller firms. Steering Committee Members: Clearing Firms o BAML* o Barclays* o BNP Paribas* o Citi* o Commerzbank o Credit Suisse o Deutsche Bank o Goldman Sachs* o HSBC* o JP Morgan* o Morgan Stanley o NewEdge o Nomura o RBC o State Street GM* o UBS* o Wells Fargo Custodians / Service Providers o BNP Paribas* o BNY Mellon* o Brown Brothers Harriman o Citco* o Citi* o JPM WSS* o Northern Trust* o SS&C GlobeOp* o State Street* *Ready to send or actively testing. * Ready to receive 3

4 Standard File Specification CCS is currently specified as a series of CSV files, presented in an Excel document. The format utilizes a series of section specifications and headers, so that data can be combined into as many or few files as desired. The Standard can also be applied to varying timing and/or frequencies for complete or partial feeds; such variations must be discussed and agreed between the parties. Report Sections and implementation phases: I - Locked May 13th, 2013 The Summary Report lists client account identifying information and an account level summary of fees, Summary OTC product related cashflows, IM and VM balances, requirements and calls, as well as subtotaling by clearinghouse and product type. 43 fields, 35 mandatory. II - Locked on November 26th, 2013 Position & Trade III - Locked on May 6th, 2014 The Position & Trade Report contains client account identifying information and product specific details for IRS, CDS and NDFs at the trade and/or position level. 90 fields, 62 mandatory. Daily Activity The Daily Activity Report contains client account identifying information and daily trade activity for new, terminated, and netted IRS, CDS and NDF trades. 85 fields, 26 mandatory. IV - Locked on June 17, 2014 Collateral Holdings The Collateral Holdings Report shows collateral positions held for the client account at the clearing broker: cash balances and non-cash collateral security positions. 25 fields, 12 mandatory. V Cash Settlement The Cash Settlement Report shows daily cash settlement activity at the account level (generally from the previous business day), for both wire and journal entries, associated with margin payments and the product lifecycle. 39 fields, 28 mandatory. Upcoming Cash Flows VI Futures and Options The Upcoming Cash Flows Report shows expected cash flows originating from cleared OTC products at the trade or position level, with client account identifying information. 34 fields, 30 mandatory. Reporting for Futures and Listed Options, in particular with regard to margin call netting and products that can be cross-netted, such as Eurodollar and Treasury Futures, are currently being assessed by a separate Futures and Options Working Group. 4

5 OTC Clearing Broker Data Availability Dashboard Based on surveys with JPM WSS, State Street, Northern Trust, Citi, and BNP Paribas, as of 2/1/14 100% 90% 80% 70% 2% 2% 10% 10% 10% 34% 4% 40% 62% 7% % Mandatory CCS, Not Available from % Manual Input % Available on Custom File % Available on CCS 60% 40% 50% 100% 100% 98% 98% 77% 40% 36% 30% 56% 20% 40% 38% 10% 0% % % 9 Custom files from the provide more data than the CCS does not support CCS 5

6 Development & Timeline Nov. 26 Q Feb. 12 Q May 9 th, 2014 Q Q4 Position & Trade report locked for testing and implementation ESMA consultation of first classes of derivatives to be subject to clearing obligation In-person collateral and settlement Working Group Session Daily Activity Report anticipated lock timeline II Position & Trade report Positions & Trade Report Finalized by Working Group Reporting Start Date - EMIR Earliest likely date for recognition of 3 rd country CCPs (where equivalence is unconditional) Effective date of clearing of first wave of derivatives subject to clearing obligation III Daily Activity (IRS, CDS, NDF) Daily Activity Report finalized by Working Group IV Collateral Holdings Collateral Transactions Report Finalized by Working Group Cash Settlement Report Finalized by WG V Cash Settlement and Upcoming Cash Flows Upcoming Cash Flow Report finalized by Working Group F&O Reports Scoped by Working Group VI Futures & Options Reports F&O Reports finalized by Working Group *All regulatory timelines dates as of 12/17/13 Q Q Q Q

7 Contacts To learn more or request a copy of CCS, please us at ccs@sapient.com CCS is managed by Phil Matricardi, pmatricardi@sapient.com, Phil can also help direct you to the appropriate contact people at any of the ISDA Steering Committee and Working Group member firms on page 3. You can also contact ISDA directly by calling Karel Engelen at The CCS document repository on the ISDA website: Watch a recording of the CCS webinar here: 7

8 Thank You! 8