27 June 2017

BIS: Call for comments on harmonising OTC derivatives data elements

Aggregation of the data reported across TRs will help ensure that authorities can obtain a comprehensive view of the OTC derivatives market and its activity.

The report seeks general and specific comments and suggestions from respondents by 30 August 2017

The Harmonisation Group acknowledges that the responsibility for issuing requirements on the reporting of OTC derivatives transactions to TRs falls within the remit of the relevant authorities. As a consequence, this consultative report does not present guidance on which critical data elements will be required to be reported in jurisdictions. Rather, to allow meaningful global aggregation, the consultative report solicits comment on the definition, format and allowable values of critical data elements to develop guidance for relevant authorities that require these data elements to be reported to TRs in the own jurisdiction.5

The third batch of critical data elements includes data elements focused on collateral, prices, quantities, non-regular payments, packages and other links, and custom baskets. The list of critical data elements that will be included in the final Technical Guidance on critical data elements, other than the UTI and UPI, will be the outcome of a dynamic and iterative process that takes into consideration the feedback from respondents. Some of the batch three data elements are closely related to data elements included in previous batches. Therefore, the following batch two data elements – appropriately revised based on the consultation feedback – have been repeated in this document to provide an overview of all the pricing- included in batch 1 for all asset classes other than commodities and equity derivatives, has been repeated and expanded in this consultative report to cover all asset classes.

As in the consultative reports on batch one and batch two critical data elements, for each of the critical data elements included in the third batch, individual tables specify the “definitions”, containing the definition, format, and list of allowable values, and provide cross-references for identifying dependencies between data elements. The envisaged guidance aims to provide consistent “definitions” of data elements with the same characteristics and to allow implementation that is independent of the chosen communication protocol. As a consequence, the consultative report references, whenever possible, existing industry standards for business concepts that can be implemented within multiple syntaxes. The guiding principles of the harmonisation methodology described in the consultative report for the first batch have also been adopted in drafting this consultative report for the third batch.

Full consultative document

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