The ROC has proposed key changes and additional data elements to the CDE in its Technical Guidance v3 (August 2022) (roc_20210922 (leiroc.org)).  These include Action, Event, Notional and Valuation details as well as a number of other elements.  Market participants should be aware of these changes in order to ensure their internal interpretations are in-line with the global standards.  One of the experts in our Regulatory Reporting Practice, Paul Grainger, has detailed the need-to-know information below:

Updates

• If a trade is un-allocated past the reporting deadline, the Counterparty should reflect the fund manager’s LEI
• Valuation amount must not be adjusted for CVA, DVA or similar
• Price for commodity fixed/float swaps refers only to the fixed price of the fixed leg
• Notional amount will allow negative values for commodity derivative products and Delta will allow values outside of -1 to 1
• The ISO 20022 Unit of Measure four letter codes are to be used for: Price unit of measure, Quantity unit of measure, and Basket constituent unit of measure
• Settlement location must be a two-letter country code following the ISO 3166 standards
• Identifier of the basket’s constituents and Basket constituent identifier source are free text fields that should reflect the product characteristics as maintained by the UPI Service Provider

13 new data elements:

• Action type and Event type will be four letter codes found in the new Tables 5 and 6 respectively with Table 7 showing the allowable combinations
• Event timestamp will be UTC and follow the ISO 8601 format (YYYY-MM-DDThh:mm:ssZ)
• Event identifier or PTRR ID are mutually exclusive and used to link transactions that are undergoing a credit event, a compression event or some other form of post trade risk reducing event
• Event identifier type used with Event identifier will allow either COMP = Compression / Risk Reduction exercise or CREV = Credit event as acceptable values
• Credit event ID will be a unique identifier connecting all the derivatives in a given credit event. The format will be Varchar(52) comprising the LEI followed by a unique 32 character identifier
• When the underlier is referenced as ‘OTHER’ in the UPI reference data, then Underlier ID (OTHER) and Underlier ID (OTHER) source will be free text used to provide details on the underlier
• Underlying asset trading platform identifier will contain the exchange MIC code
• Underlying asset price source will be free text
• The Crypto asset underlying indicator must be a Boolean (True/False)
• The new field Level will be used to indicate whether the report is done at trade or position level; allowed values will be: TCTN = Trade and PSTN = Position. Where an authority allows position level reports, this can be used to supplement trade level reporting when individual trades have been replaced by a position