GTR CFTC/Canada/SEC (NoA) PPD and Trade State Ingestion Processing
PPD and Trade State processing is designed based on the Action Type rules described in this topic.
Key Processing Drivers
PPD and Trade State submissions must adhere to the action type sequence rules defined within the Message Specification.
For Trade State Submissions:
- The action type sequence rules will be applied per unique trade + jurisdiction.
- The first submission for a trade must be a NEWT and subsequent submissions must follow the action type sequence rules per the Message Specification.
- No action type submission is required to Expire a trade. The end-of-day process within the GTR will remove expired trades from the Trade State Report (TSR) on the day after expiration.
For PPD Submissions:
- The action type sequence rules will be applied per unique trade + jurisdiction.
- The first submission for a trade must be a NEWT and subsequent submissions must follow the action type sequence rules per the Message Specification.
- After the NEWT submission, the Original Dissemination ID is based on the dissemination ID of the NEWT submission for the trade.
- Disseminations are based on the sequence of updates to a trade. There are no cancel or correct disseminations for modifications to a trade.
- DDR does not apply determination logic on PPD submissions. All PPD messages that successfully pass validations will be publicly disseminated. Clients are expected to only submit records required by applicable regulations for public dissemination.
Notional Reported
The notional reported for PPD and Trade State submissions is expected to reflect the current state of the trade, as opposed to the transactional amount.
- For example, for a transaction in which the original notional amount is 10 MM and a termination of 8 MM needs to be reported: the submission must be for the outstanding notional amount (2 MM), rather than the terminated amount (8 MM).
- The full terminated value is expected for full terminations.
- Please refer to the applicable regulatory technical specification/manual for additional details (such as definitions, footnotes, examples) on reporting the Notional Amount.