Reporting by Eurex Clearing according to Article 9 EMIR – Upcoming changes for EMIR REFIT

1.   Introduction

According to Article 9 EMIR (European Market Infrastructure Regulation), both Eurex Clearing and its Clearing Members are obliged to report transactions and positions in exchange-traded, off-book and OTC derivative contracts. In addition, collateral and valuation reports must be submitted.

Since both counterparties of a derivative trade must report and since common data must be identical, it is important that the CCP and its Clearing Members use the same methodology to populate common data fields.

With EMIR REFIT as of 29 April 2024, there will be major changes to the existing reporting, among them

• increased use of links between transactions and any prior transactions or subsequent positions, 
• detailed classification of action types (e.g. New, Modify, Terminate etc.) and event types (e.g. Inclusion in position, Step-in, PTRR etc.), 
• additional fields and changes for existing fields and
• moving to a standard ISO 20022 XML format

This is a first circular in the context of EMIR REFIT in order to give market participants a first guidance of how Eurex Clearing will implement the new reporting requirements. 

Simulation start: 29 November 2023
Production start: 29 April 2024

2.   Required action

Members are asked to read the information below which contains the most recent version of Eurex Clearing’s plans for how to report certain fields. Please note that some fields are still subject to discussion with regulators and Financial Industry working groups (FIA, EACH). Where this is the case, it is mentioned in the text.

3.   Details of the initiative

A. General information on reporting by Eurex Clearing according to EMIR REFIT

Eurex Clearing will report ETDs at position level, i.e. all ETD transactions will be included in positions at the end of the day. The Clearing Conditions of Eurex Clearing AG will be adjusted accordingly.

ESMA points out that it is required to send valuations for all active positions. This also applies for flat positions with a quantity of zero. (Guidelines¹ 4.7, §142, p. 131). As a result, there are two options:

• Termination of the position and reporting of a new one using a different UTI at a later stage. No valuations are reported between the termination of the first position and the creation of the latter.
• Maintaining the position open and reporting a zero-contract value daily.

¹ https://www.esma.europa.eu/sites/default/files/library/esma74-362-2281_final_report_guidelines_emir_refit.pdf

Eurex Clearing decided to send zero valuations for all active ETD positions that have zero quantity. This will be done daily until maturity or delisting/deactivation of the respective derivative contract.

Eurex Clearing’s mirror files for each Clearing Member

Eurex Clearing will provide mirror files per Clearing Member via Common Report Engine in standard ISO 20022 XML format. They will include all reported records and all values from Eurex Clearing’s perspective, e.g. Counterparty 1 (Reporting counterparty) = Eurex Clearing, Counterparty 2 = Clearing Member.

The following six types of reports will be submitted on a daily basis:

• ECAG EMIR ETD transactions
• ECAG EMIR ETD positions
• ECAG EMIR OTC transactions
• Valuation ETD
• Valuation OTC
• Collateral

The naming convention of the files will be published in one of the next circulars.

Creation of Unique Transaction Identifier (“UTI”)

Eurex Clearing is planning to create UTIs with the following possible sources for each component as of the production start date of EMIR REFIT. ESMA clarified that the counterparties should not create a new UTI for outstanding derivatives, even if the original UTI is not fully compliant with e.g. the new format requirements under EMIR REFIT (Guidelines 3.1.1, §11, p. 13).

Please see an overview of possible sources for ETD transactions, ETD positions and OTC trades in the Attachment.

B. Clarification of selected fields which are either new in EMIR REFIT or of special interest

Below is a description of fields that are of interest for Clearing Members. The fields are named with their corresponding field numbers according to the regulatory technical standards (“RTS”)² 2022/1855 of 10 June 2022 supplementing regulation (EU) No 648/2012.

² https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv%3AOJ.L_.2022.262.01.0001.01.ENG&toc=OJ%3AL%3A2022%3A262%3ATOC

Field [2.2]: Report Tracking Number

Paragraph 158 of ESMA’s Final Guidelines for EMIR reporting requires that the Report Tracking Number (“RTN”) is a unique code assigned to the execution and common for a group of reports related to the same execution. It is a conditionally mandatory field for action type “POSC” at the trade level (required when the trade is executed on a trading venue). RTN should not be populated at position level.

To make the RTN unique for all executions at Eurex, Eurex Clearing will concatenate Trade Date with Product ID code, Trade Match ID and Trade Type.

RTN can either be consumed from the mirror file “ECAG EMIR ETD Transactions” or can be created real-time by the Member as all components can be consumed from the Transaction Confirmation Message.

Please see a description in the Attachment.

Field [2.3]: Prior UTI (for one-to-one and one-to-many relations between transactions)

ESMA defines Prior UTI as the UTI assigned to the predecessor transaction that has given rise to the reported transaction due to a lifecycle event, in a one-to-one relation between transactions or in a one-to-many relation between transactions. This data element is not applicable when reporting many-to-one and many-to-many relations between transactions.

Based on ESMA’s definition of Prior UTI and related validation rules, Eurex Clearing is planning to populate this field accordingly for new ETD positions resulting from the event type Step-in (NOVA) and new OTC trades resulting from any post trade events. Eurex Clearing will leave this data element blank in all other cases.

Please note that this field is still subject to discussion with the regulator and with working groups.

Field [2.4]: Subsequent position UTI

This data element is applicable to ETD transactions only, i.e. for all position components. 

For OTC, this field will not be considered.

Field [2.8]: Unique Product Identifier (UPI)

For ETD transactions, there is no UPI required and Eurex Clearing will populate the ETD trades and ETD positions with an ISIN.

For OTC trades, Eurex Clearing will be using primarily the ISIN. In case the transaction has no ISIN, but a UPI, Eurex Clearing will report the UPI. 

In case an OTC transaction has neither ISIN nor UPI, Eurex Clearing will request an UPI at ANNA DSB. This UPI will be available in the Trade Novation Report (CI200/CB200) and the Trade Daily Summary Report (CI201/CB201) sent to the Clearing Members on a daily basis. It is also planned to make the UPI available to the Members via Trade Notification messages. More details will be published in the next circular.

Field [2.41]: Venue of execution

In case of new ETD transactions and new ETD positions, this field will be filled with “XEUR”. For new OTC trades, the MIC of the related trading venue will be reported. In case no information about the trading venue is submitted to Eurex Clearing, it will be reported with “XOFF” or “XXXX”.

The population of the Venue of Execution for Life Cycle Events for ETDs is still under discussion with regulators and working groups.

Timestamps

All timestamps will be reported in UTC. For some specific timestamp fields, please see below Eurex Clearing’s population logic.

Field [2.23]: Valuation timestamp

Eurex Clearing will fill this field with the date for which the report is provided as date component and use "23:59:00" as time component of the timestamp.

Field [2.28]: Confirmation timestamp

ESMA sees the confirmation timestamp to be applicable only to OTC derivative contracts not cleared by a CCP. Thereafter, Eurex Clearing will always leave this field blank for its reporting.

Field [2.32]: Clearing timestamp

For ETD transactions and ETD positions: Please see the population logic of the field [2.42] Execution timestamp.

For OTC trades: Eurex Clearing will populate this field with the clearing timestamp.

Field [2.42]: Execution timestamp

For ETD transactions: In the open offer model at Eurex, matched orders result immediately in cleared trades. The generated timestamps for execution timestamp and clearing timestamp differ by one second at maximum. Following FIA best practice, Eurex Clearing is planning to populate fields [2.42] Execution timestamp and [2.32] Clearing timestamp with the execution timestamp. In case the execution timestamp is not available, please use the clearing timestamp to populate both fields.

For ETD positions: Eurex Clearing will report the execution timestamp of the very first transaction opening the position.

For OTC trades: Eurex Clearing will populate this field with the clearing timestamp.

Field [3.7]: Collateral timestamp

Please see the population logic of the field [2.23]: Valuation timestamp.

PTRR (Post-Trade-Risk-Reduction)-related fields

Field [2.5]: PTRR ID

The field is only applicable for OTC IRS transactions. PTRR ID is available in the trade notification.

Field [2.39]: Type of PTRR technique

Eurex Clearing is planning to populate this field with "PWAS" (Portfolio Compression with a third-party service provider or CCP) where applicable.

Field [2.40]: PTRR service provider

Eurex Clearing is planning to populate this field with the LEI of the Compression service provider for the PTE “Compression”.

In case of the PTE “Netting/Accumulation”, Eurex Clearing will fill this field with its LEI ”529900LN3S50JPU47S06”.

Package-related fields

All ETD strategy trades (inter and intra product spreads, option strategies, and Basket Total Return Future products) will be reported on a single leg level. It is foreseen that all package-related fields will not be applicable to ETD transactions or ETD positions, only to OTC trades. The item will also be a subject of discussion with regulators.

Valuations

Eurex Clearing has not identified any changes in the requirements for valuation reporting. Therefore, Eurex Clearing will continue to report in the following way:

• Futures and Options contracts with future style margining:
  Field prmVmarAmnt (CB012) is used to report the value of the contract.

• Traditional-style (premium-paid) Options: 
  Field mgnPremiumAmnt / premMargin (CC750 / CP010 – XML version) or Field PremMgn (CC750 / CP010 – text version) can be used.

Alternatively, the Premium Margin for a Clearing Member’s option position can be calculated by multiplying the settlement price with the price multiplier and the quantity (settlement price x price multiplier x quantity).³ 

³ In CB012, the names of the fields to input in the formula settlement price x price multiplier x quantity are: currSetlmtPrc * secuTrdUntNo * ticVal/ticSiz * (trnShtQty – trnLngQty) but only for rec_trnTyp = END i.e. End of Day positions.

• EurexOTC Clear Trades:
  For OTC Interest Rate Derivatives novated under the CTM (collateralize-to-market) model, Eurex Clearing will report the cumulated variation margin (= total mark-to-market value) as valuation update. The Cumulated Variation Margin/Mark to Market value can be found in the EurexOTC Clear report CC203: NPV or MtM0 (including accruals in terms of trade coupons and fees)
  
  In the case of OTC Interest Rate Derivatives novated under the STM (settled-to-market) model, the daily change of mark-to-market value will be used for reporting the value of the contract. Field VMgn (CC203) reflects this change.

Initial Margin/Variation Margin/Excess Collateral

Eurex Clearing is currently analyzing the regulatory changes and will communicate as soon as there is a common understanding with industry and regulator.
 

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
 

Attachment: 

• Creation of Unique Transaction Identifier ("UTI"): Overview of possible sources for ETD transactions, ETD positions and OTC trades; Description of field [2.2]: Report Tracking Number

Further information