ASIC Regulatory Reporting

Interim Reporting Solution / Friday, January 22, 2016

Confidential \ Copyright © 2016 Markit Group Limited

ASIC Regulatory Reporting – Interim

Management Summary .......................................... 3

Background ............................................................. 3
Document Purpose ................................................. 3
Glossary ................................................................... 4
Scope ....................................................................... 5
MarkitWire Solution Interim ................................... 5
ASIC Regulatory Reporting Interim ...................... 6
Report Types ........................................................... 7
Workflows ................................................................ 8
New Direct Trade..................................................... 8
New Brokered Trade ............................................... 8
Clearing .................................................................... 9
Blocks and Allocations ........................................ 10
Bilateral Amendments .......................................... 11
Cancellations ......................................................... 11
Exits ........................................................................ 12
Swaption Exercise ................................................ 13
Prime Brokerage ................................................... 14
Novations ............................................................... 15
Trade Identifiers .................................................... 16
GUI Changes ......................................................... 17
Data Gathering ...................................................... 18

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ASIC Regulatory Reporting – Interim

Management Summary
Background

The Australian Securities and Investments Commission (ASIC) issued its 2013 derivative transaction
reporting rules on July 9, 2013 in response to G20 Pittsburgh commitments to financial reform. It is not
expected that the formal reporting regime will commence until 2014. However, there is an interim reporting
requirement under ASIC for the big 5 Australian banks that are registered as SDs in the US under the CFTC
rules. This is to enable them to claim substituted compliance when the no action relief provided for Non-US
SDs for trades versus non-US persons expires on December 21, 2013. Given the short timelines for the
interim reporting requirements for Australia the focus of this BRD is on the interim requirement only and does
not attempt to completely describe the full reporting requirement.

The DTCC Global Trade Repository (the “GTR”) will be enhanced to enable market participants to comply
with the interim trade reporting requirements for ASIC.

All Over-The-Counter (“OTC”) derivative asset classes are reportable under ASIC. However, the scope of
this project is OTC Rates derivatives.

ASIC requires both counterparties to report details of the derivatives contract to a trade repository. Details of
life-cycle events that result in a change to the reported fields are required to be reported throughout the life
of a derivative contract for all asset classes. All reporting of new or modification activity is to occur no later
than the close of business on the working day following the new trade or the modification.

Historical trade data reporting is required but not for the interim phase

Document Purpose

The purpose of this document is to give users an overview of how MarkitWire has implemented its ASIC
Regulatory Reporting Solution for the interim reporting requirements. This document is not meant to give a
full breakdown of every possible scenario and workflow, if further details are required by the user then, they
should refer to the relevant documentation available on the Markit Documentation Portal.

This document will outline how Markits clients can leverage our services to satisfy their ASIC Regulatory
Reporting obligations for Rates OTC Derivatives for the interim reporting requirements. The primary
purpose of this summary is to set out the functionality provided by Markit to enable clients to plan their build
and integration. This summary is not intended to serve as a technical specification.

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ASIC Regulatory Reporting – Interim

Glossary
Terminology Description

ASIC Australian Securities and Investments Commission

DTCC GTR DTCC Global Trade Repository

DDRL ID DTCC Derivatives repository Limited Identifier

IDB Inter-Dealer Broker

LE Legal Entity

OTC Over-the-Counter

PTE Post Trade Events

USI Unique Swap Identifier

UTI Unique Trade Identifier

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ASIC Regulatory Reporting – Interim

Scope
The scope of this document is to cover the reporting of Rates trades through MarkitWire under the ASIC
interim reporting requirements. Support for reporting of Credit trades is provided separately through
DSMatch however this functionality is not in the scope of this document.

MarkitWire Solution Interim

The solution offered by MarkitWire to allow firms to meet their interim reporting requirements to ASIC will be
based on the existing CFTC reporting implementation. The system will determine whether or not a trade is
required to be reported to the ASIC upon initial submission, and will recalculate again based on any
amendments made to the trade. As part of the initial offering it will not be possible for a user to provide the
relevant data on a trade-by-trade basis but instead will be entirely driven by the stored static data.

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ASIC Regulatory Reporting – Interim

ASIC Regulatory Reporting Interim

ASIC only requires certain parties to report Rates and Credit OTC derivatives as part of the interim reporting
phase regulations. This means that the five major Australian, and only those banks, must report all trades
under the interim reporting regulations.

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ASIC Regulatory Reporting – Interim

Report Types
Clients can choose to send ‘Prior to Confirmation’, ‘Confirmation’ and ‘CCP Leg’ reports from the MarkitWire
system. For each of these report types options of ‘Yes If ASIC’ or ‘Do Not Report’ are available and each
can be set independently of each other. For the initial interim release, these preferences cannot be
overridden on a trade-by-trade basis and will be defaulted based on clients preferences provided as part of
the data gathering process.

A ‘Prior to Confirmation’ report is sent on the reportable party’s ‘Affirm’ action and will create an initial
position at the GTR, it is used to ensure a timely report in cases where the counterparty may not be able to
confirm the trade on MarkitWire in a timely fashion.

A ‘Confirmation’ report is sent when the trade is bilaterally affirmed and reaches a ‘Done’ booking state or,
for single-sided trades, when the Off Platform Confirmation has been set as either ‘Electronic’ or ‘Non-
Electronic’ in the MarkitWire system.

A ‘CCP Leg’ report is sent on behalf of the reportable party once a clearing eligible trade has been accepted
for clearing at a clearing house. The original bilateral trade will be removed from the repository based on the
‘Confirmation’ preferences regardless of whether the CCP Leg is also being reported by MarkitWire.

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ASIC Regulatory Reporting – Interim

Workflows
New Direct Trade

Below diagram shows the trade trigger points for a new non-cleared direct trade where both parties are
reporting through MarkitWire.

Party A MarkitWire Party B GTR

New Direct Trade Lifecycle Events

Initiate Trade Sent to Party B

‘Prior to confirmation’ PET sent on behalf of Party A

Pickup Trade

Affirm Trade
CONF sent on behalf of Party A
CONF sent on behalf of Party B

New Brokered Trade

A Broker is not obligated to report for ASIC; responsibility lies purely with the counterparties. A ‘Prior to
confirmation’ PET report is sent for new deals on the obligated party’s affirm, or any unilateral actions post
pick up. A ‘Confirmation’ report will be sent on behalf of the obligated parties when a trade reaches a ‘Done’
booking state.

Below diagram shows the trigger points for a Broker initiated trade where both sides are reporting through
MarkitWire.

Broker MarkitWire Party A Party B GTR

Initiate Trade Sent to Party A

Sent to Party A
New Brokered Trade Lifecycle Events

Pickup Trade

Affirm Trade
‘Prior to confirmation’ PET sent on behalf of Party A

Pickup Trade

Affirm Trade
CONF sent on behalf of Party A
CONF sent on behalf of Party B

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ASIC Regulatory Reporting – Interim

Clearing

Below diagram shows the trade trigger points for a new cleared trade where both sides are reporting through
MarkitWire.

Party A MarkitWire Party B Clearing House GTR

Initiate Trade Sent to Party B

‘Prior to confirmation’ PET sent on behalf of Party A
New Trade

Pickup Trade

Affirm Trade
CONF sent on behalf of Party A
CONF sent on behalf of Party B

Send for Clearing

Send for Clearing

Sent For Clearing
Clearing

Accept for Clearing

EXIT sent on behalf of Party A for Alpha Trade
EXIT sent on behalf of Party B for Alpha Trade
CONF sent on behalf of Party A for Beta Trade
CONF sent on behalf of PArty B for Gamma leg

If the trade is rejected from clearing no reports will be sent and the original bilateral (alpha) trade will remain
as live in the repository.

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ASIC Regulatory Reporting – Interim

Blocks and Allocations

No reports will be sent for block trades, as only the final allocations are required to be reported as shown
below.

Party A MarkitWire Party B GTR

Initiate Trade Sent to Party B

New Block Trade Lifecycle Events

Pickup Trade

Affirm Trade

Release Trade

Release Trade

Multiple child legs created

‘Prior to confirmation’ PET sent on behalf of Party A

‘Prior to confirmation’ PET sent on behalf of Party B
New Split Lifecycle Events

Affirm Trade
CONF sent on behalf of Party A

Affirm Trade
CONF sent on behalf of Party B

The Affirms on the child splits may be performed automatically by MarkitWire based upon your legal entities
static setup.

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ASIC Regulatory Reporting – Interim

Bilateral Amendments

Reports for post trade events, such as restructuring amendments or partial terminations, are shown in the
diagram below.

Party A MarkitWire Party B GTR

Initiate Amendment Sent to Party B

Amendment Lifecycle Events

‘Prior to confirmation’ snapshot sent on behalf of Party A

Pickup Trade

Affirm Trade
‘Confirmation’ snapshot sent on behalf of Party A
‘Confirmation’ snapshot sent on behalf of Party B

Cancellations

When a trade is cancelled (Full Termination), no prior to confirmation report will be sent upon the initial
affirm, and the trade will not be reported as terminated until the cancellation has been confirmed.

Party A MarkitWire Party B GTR

Initiate Cancellation Sent to Party B

Cancellation Lifecycle Events

Pickup Trade

Affirm Trade
EXIT sent on behalf of Party A
EXIT sent on behalf of Party B

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ASIC Regulatory Reporting – Interim

Exits

When a trade is exited from MarkitWire, no prior to confirmation report will be sent upon the initial affirm, and
the trade will not be reported as exited until the exit event has been confirmed.

Party A MarkitWire Party B GTR

Initiate Exit Sent to Party B

Exit Lifecycle Events

Pickup Trade

Affirm Trade
EXIT sent on behalf of Party A
EXIT sent on behalf of Party B

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ASIC Regulatory Reporting – Interim

Swaption Exercise

When a Swaption is exercised in MarkitWire, the exercise of the swaption itself is not a reportable event
under ASIC for European swaptions. However, the newly created swap is reportable, and the reporting of
these newly created underlying swaps are shown in the diagram below.

Party A MarkitWire Party B GTR

Initiate Exercise Sent to Party B

Swaption Exercise Lifecycle Events

Pickup Trade

Affirm Trade

Release Trade

Release Trade

Underlying Swap created

‘Prior to confirmation’ PET sent on behalf of Party A

‘Prior to confirmation’ PET sent on behalf of Party B
New Swap Lifecycle Events

Affirm Trade
CONF sent on behalf of Party A

Affirm Trade
CONF sent on behalf of Party B

The Affirms on the child swap may be performed automatically by MarkitWire based upon your legal entities
static setup.

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ASIC Regulatory Reporting – Interim

Prime Brokerage

In a prime brokered trade, the trade between the executing broker and the client is not reportable, however,
the two resulting trades, executing broker facing prime broker and prime broker facing the client, are
reportable separately.

As soon as the Executing broker submits a prime brokered trade, a ‘Prior to Confirmation’ PET report is sent
on behalf of the Executing broker, for the trade facing the Prime broker. Further reporting is not done until
the Prime Broker accepts the trade and the two child trades have been created by the system.

The diagram below shows the trade trigger points for a new prime brokered trade where all parties involved
are reporting through MarkitWire.

Executing Broker MarkitWire Prime Broker Client GTR

Initiate PB trade Sent to Prime Broker

Sent to Client
‘Prior to confirmation’ PET sent on behalf of EB for EB-PB leg
PB Parent Trade

Pickup Trade

Pickup Trade

Affirm Trade

Accepts Trade

Two child legs created

Sent to Prime Broker

Sent to EB
‘Prior to confirmation’ PET sent on behalf of PB for EB-PB leg
EB-PB Child Trade

Affirm Trade
‘Prior to confirmation’ PET sent on behalf of PB for EB-PB leg

Affirm Trade
CONF sent on behalf of EB for EB-PB leg
CONF sent on behalf of PB for EB-PB leg

Client

Sent to Prime Broker

Sent to Client
‘Prior to confirmation’ PET sent on behalf of PB for PB-C leg
EB-Client Child Trade

Affirm Trade
‘Prior to confirmation’ PET sent on behalf of PB for PB-C leg

Affirm Trade
CONF sent on behalf of PB for PB-Client leg
CONF sent on behalf of Client for PB-Client leg

The Affirms on the child legs may be performed automatically by MarkitWire based upon values provided on
the parent trade.

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ASIC Regulatory Reporting – Interim

Where the trade originally exists on MarkitWire as a bilateral trade between the Executing Broker and the
Client, no reporting is done until the trade is accepted by the Prime Broker, at which point the original
bilateral trade is removed from the GTR, and reporting of the two new prime brokered legs are reported as
normal from the actions on the child trades.

Novations

As there is no real-time reporting obligation under ASIC, no reporting will be done from the Novation Fee leg
of a novation event, nor from any Novation Execution Trades (NET) entered into MarkitWire.

Outgoing Party MarkitWire Incoming Party Remaining Party GTR

Initiate Partial Novation Sent to Incoming

Sent to remaining
‘Prior to confirmation’ snapshot sent on behalf of outgoing party for the old trade
Partial Novation Lifecycle Events

Pickup Trade

Pickup Trade

Affirm Trade
‘Prior to confirmation’ snapshot sent on behalf of remaining party for the old trade
‘Prior to confirmation’ PET sent on behalf of remaining party for the new trade

Affirm Trade
Snapshot sent on behalf of outgoing party for the old trade
Snapshot sent on behalf of remaining party for the old trade
CONF sent on behalf of remaining party for the New trade
CONF sent on behalf of incoming party for the New trade

Initiate Full Novation Sent to Incoming

Sent to remaining

Pickup Trade
Full Novation Lifecycle Events

Pickup Trade

Affirm Trade
‘Prior to confirmation’ PET sent on behalf of remaining party for the new trade

Affirm Trade
EXIT sent on behalf of outgoing party for the old trade
EXIT sent on behalf of remaining party for the old trade
CONF sent on behalf of remaining party for the New trade
CONF sent on behalf of incoming party for the New trade

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ASIC Regulatory Reporting – Interim

Trade Identifiers
ASIC requires that trades are reported using a single Unique Trade identifier (UTI).

Where a trade falls under CFTC, it will have a Unique Swap Identifier (USI) and this will also be used as the
UTI when reporting to ASIC.

Where a trade falls under ASIC but not under CFTC, and as such no USI exists for the trade, MarkitWire will
generate a new unique UTI for the trade using the following format:

UTI Namespace: “0000452A”

UTI Value: “MARKITWIRE” + MarkitWire Trade ID

In order to distinguish between trades facing the clearing house and the original bilateral trade, on cleared
trades new UTIs will be generated unless the clearing house provides new USIs. These new UTIs will be
the original bilateral trade UTI with the DDRL ID of the participant facing the clearing house appended to it.
Where a particular party does not have a DDRL ID “0000000A” or “0000000B” will be appended instead in
order to generate new unique UTIs.

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ASIC Regulatory Reporting – Interim

GUI Changes
TC_Client users will see a change to the Regulatory Reporting tab format to accommodate an expanded
multi-jurisdictional solution. ASIC will be added alongside the other existing jurisdiction sections. Jurisdiction
specific reporting data continues to be separated from reporting data that is common across all jurisdictions.

Below shows the ASIC jurisdiction data tab. All fields will be for information only and will show the values
based on the parties static preferences.

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ASIC Regulatory Reporting – Interim

Data Gathering
A copy of the latest Data Gathering spreadsheet for ASIC reporting through MarkitWire can be found on the
Markit Documentation Portal:

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