he TR must provide a daily file that contains all “open transactions”, in the TR as of the end of the day. There should be a separate file for each day and each supported asset class. The open transactions files are expected to include all “live” UTIs/USIs for the given day using the most recent transaction data. The open transactions file must also include the valuation data for a given USI/UTI for the given day. If valuation data is not reported for that day, the most recent valuation data should be used in the open transactions. If no valuation data was reported for a new USI/UTI, this is an exception and valuation data in the open swap file can be blank. The open transactions file must also include either the relevant product fields or the UPI, until the UPI is mandated. TR must retrieve the UPI reference data from DSB corresponding to the UPI code submitted by the RP for that specific USI/UTI upon which the Open Swap is based. A complete list of fields comprising the open transactions file for each asset class is listed below.
How do TRs calculate the close date?
TRs should calculate a close date on all messages to determine if the trade should be present in any "open" transactions reports.
Close Date Calculation Logic:
When a Transaction message is submitted, TR populates the “closeDate” with the same value in the “Expiration date” field value in the format YYYY-MM-DD.
The exception is if:
- [Action type] = "PRTO", then close date = date portion of [Event timestamp]
- [Action type] = "EROR", then close date = null (meaning it was never open)
- [Action type] = "TERM", then close date = date portion of [Early termination date]
- AND subsequent messages do NOT update the [Close Date] unless
[Action type] = "REVI", then close date = [Expiration date]- This is why the [Early termination date] is required on any actions after a TERM that is not a REVI.
- AND subsequent messages do NOT update the [Close Date] unless
What is an Open Swap?
“Open” transactions are defined by any and all unique trades by UTIs (or USIs) plus counterparty 1
- That have been submitted and passed all validation requirements, and
- Whose close date is greater than or prior to current date (NOT = to current date).
Duplicative Data Element
In the open transactions file, the TRs should use the values provided in the most recent transaction message for the fields that are common between transaction and valuation messages. However, for "Initial margin collateral portfolio code” and “Variation margin collateral portfolio code” fields, the TRs should use the values provided in the most recent valuation message. Similarly, UPI in the transaction message should be used instead of the UPI in the valuation message. If an existing Open Swap with UPI receives a UPI in valuation message that is different, the UPI in Open Swap should continue to be used.