CPMI-IOSCO consultative report: Harmonisation of critical OTC derivatives data elements

In 2009, the G20 Leaders agreed that all over-the-counter (OTC) derivatives contracts should be reported to trade repositories (TRs) as part of their commitment to reform OTC derivatives markets in order to improve transparency, mitigate systemic risk and prevent market abuse. Aggregation of the data reported across trade repositories will help authorities get a comprehensive view of the OTC derivatives market and its activity.

The purpose of this consultative report is to help develop guidance to authorities on definitions for the second batch of critical data elements that are important for the globally consistent and meaningful aggregation of data on OTC derivatives transactions, other than the Unique Transaction Identifier (UTI) and the Unique Product Identifier (UPI). As in the case of the first batch, this second batch of critical data elements was selected from Annex 2 (“Illustrative list of potential data fields for OTC derivatives”) of the January 2012 CPSS-IOSCO Report on OTC derivatives data reporting and aggregation requirements.1 In addition to these selections, related data elements were considered for inclusion, mainly with a view to more accurately capturing the substance of OTC derivatives transactions. A consultation on a third batch of critical data elements (other than the UTI and UPI) is planned for 2017. The final consolidated list of all critical data elements (other than the UTI and UPI), combining the three batches, will be the outcome of a dynamic and iterative process that takes into consideration feedback from commenters.

For each of the critical data elements in the second batch, individual tables specify the “definitions”, containing the definition, naming convention, standard, format, list of allowable values and cross-references for identifying interdependencies between data elements. The guidance aims to provide consistent “definitions” of data elements with the same characteristics, referencing existing industry standards where these exist, and allowing for application independent from the chosen communication protocol. For some data elements of the second batch, more than one harmonisation alternative is proposed and discussed.

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See CPMI-IOSCO, Harmonisation of key OTC derivatives data elements (other than UTI and UPI) – first batch – consultative

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report, September 2015, www.bis.org/cpmi/publ/d132.htm.

CPMI-IOSCO – Harmonisation of critical OTC derivatives data (other than UTI and UPI) – second batch – Consultative report – October 2016 1

2 CPMI-IOSCO – Harmonisation of critical OTC derivatives data (other than UTI and UPI) – second batch – Consultative report – October 2016