LANÇAMENTO: pr7343-16.
Washington, DC - A Comissão de Negociação de Mercadorias de Mercadorias dos Estados Unidos (CFTC) aprovou hoje uma regra final que remove os requisitos de relatórios e registros para as contrapartes de opções comerciais que não são comerciantes de swap nem participantes principais de swap (Non-SD / MSPs) usuários que transacionam em opções comerciais em conexão com seus negócios. A votação unânime foi realizada via séria. A Regra Final entrará em vigor após a publicação no Federal Register.
No que diz respeito aos relatórios, a CFTC eliminou o requerimento anual de notificação do formulário TO para opções comerciais não declaradas no regulamento 32.3 (b) da CFTC. Além disso, não SD / MSPs não estarão sujeitos aos requisitos de relatório da parte 45 em conexão com suas opções comerciais. A CFTC recusou-se a impor o requisito proposto de que um participante comercial precisaria notificar a CFTC de suas atividades de opções comerciais se essas atividades tiverem um valor de mais de US $ 1 bilhão em qualquer ano civil.
No que diz respeito à manutenção de registros, a CFTC eliminou os requisitos de manutenção de registros relacionados ao swap para não-SD / MSPs em conexão com suas atividades de opção comercial, embora as transações não SD / MSPs em opções comerciais com SDs ou MSPs devem obter um identificador de entidade legal e forneça-a às suas contrapartes SD / MSP.
Além disso, o CFTC alterou o Regulamento 32.3 (c) eliminando a referência aos requisitos de limites de posição da parte 151 desocupados.
A Carta de Não-Ação CFTC 13-08 será retirada na data efetiva da Regra Final de Opções de Comércio. A Carta de Não-Ação 13-08 forneceu alívio condicional para contrapartes de opção comercial que são não-SD / MSPs de certos requisitos de relatórios e registro relacionados ao swap em conexão com suas atividades de opções comerciais. De acordo com a Regra Final de Opções de Comércio, os Não-SD / MSPs não estão mais sujeitos a requisitos de relatórios e registro relacionados com o swap em conexão com suas atividades de opção comercial (além do requisito de que os Non-SD / MSPs transacionam em opções comerciais com SDs ou MSPs deve obter um identificador de entidade legal e fornecê-lo às suas contrapartes SD / MSP). Portanto, o alívio fornecido na Carta Não-Ação 13-08 não é mais aplicável.
Além disso, uma vez que o requisito de relatório do FORMULÁRIO TO está sendo eliminado como parte desta Regra Final, a equipe da CFTC entende que uma contraparte de opção comercial que não é SD / MSP não é obrigada a denunciar suas opções comerciais não declaradas para o ano civil 2018 no Formulário TO.
Programa de Relatórios de Grandes Comerciantes.
A CFTC opera um sistema abrangente de coleta de informações sobre os participantes do mercado. De acordo com os regulamentos estabelecidos nas Partes 15, 16, 17, 18, 19 e 21 dos regulamentos da CFTC, a Comissão cobra dados de mercado e informações de posição de trocas, membros de compensação, comerciantes de comissões de futuros (FCMs), corretores estrangeiros e comerciantes.
Para garantir a privacidade das informações que fornecem, a CFTC atribuiu números de relatórios confidenciais às empresas e comerciantes que apresentaram relatórios. A Comissão está proibida, nos termos da Seção 8 da CEA 7 USC 12, de divulgar publicamente as posições, transações ou segredos comerciais de qualquer pessoa, exceto em circunstâncias limitadas.
Entrada de posição para comerciantes reportáveis (PERT Online)
Grande formato de registro do comerciante.
Clearing Member Data.
Além de fornecer dados públicos sobre o volume de negociação, contratos abertos, notificações de entrega de futuros, trocas de futuros por dinheiro e preços, de acordo com a Parte 16 das negociações de regulamentos da CFTC devem fornecer à Comissão informações confidenciais sobre as posições e atividades de negociação agregadas para cada um dos seus membros de compensação.
Todos os dias, os intercâmbios comunicam que cada membro da compensação abre posições longas e curtas, compras e vendas, trocas de futuros por dinheiro e avisos de entrega de futuros para o dia de negociação anterior. Esses dados são relatados separadamente por contas de clientes e clientes por mês de futuros, e por opções por colocações e chamadas, data de vencimento e preço de exercício.
Um exemplo de dados do membro de compensação para as empresas fictícias A e B é apresentado na Tabela 1: Clearing Member Data.
Tabela 1: dados do membro de compensação.
Chicago Board of Trade Dezembro 2001 Futuro do milho (em contratos) A partir de: 15/08/01.
A equipe da Comissão usa dados como esse para identificar grandes posições limpas em mercados únicos ou em vários mercados e intercâmbios, para auditar grandes relatórios de comerciantes e para resolver qualquer problema de agregação de conta.
Compensar os dados dos membros, no entanto, não identifique diretamente os proprietários efetivos de posições. A posição agregada do cliente reportada para um membro da compensação pode representar um comerciante único ou vários comerciantes. Além disso, os dados não revelariam uma circunstância em que um único comerciante controla partes substanciais das posições do cliente com mais de um membro de compensação e, portanto, poderia controlar uma parte substancial do mercado. Para abordar essa limitação na eliminação de dados de membros, o programa de vigilância de mercado da Comissão usa grandes dados de comerciantes.
Grandes Dados Comerciais.
Sob a LTRS da Comissão, os membros da compensação, os FCM e os corretores estrangeiros (coletivamente chamados de firmas relatoras) arquivam relatórios diários com a Comissão de acordo com a Parte 17 dos regulamentos da CFTC. Os relatórios mostram posições de futuros e opções de comerciantes com posições em ou acima dos níveis de relatórios específicos estabelecidos pela Comissão. Os níveis de relatórios atuais são encontrados no Regulamento 15.03 (b) da CFTC.
Se, no fechamento diário do mercado, uma empresa de relatórios tiver um comerciante com uma posição em ou acima do nível de relatório da Comissão em qualquer mês de vencimento de futuros ou opções, a empresa relata que a posição total do comerciante em todos os futuros e as opções expiram meses nessa mercadoria, independentemente do tamanho.
O agregado de todas as grandes posições de comerciantes reportadas à Comissão geralmente representa 70 a 90 por cento do interesse aberto total em qualquer mercado. O nível de relatório para grandes relatórios de comerciantes pode variar de 25 contratos para mais de 1.000 contratos. O nível para qualquer mercado é baseado no total de posições abertas nesse mercado, no tamanho das posições ocupadas pelos comerciantes no mercado e no tamanho dos estoques entregues para os mercados de entrega física.
A Comissão tem o poder de elevar ou diminuir os níveis de relatórios em mercados específicos para encontrar um equilíbrio entre a coleta de informações suficientes para supervisionar os mercados e minimizar a carga de relatórios para os comerciantes que são reportáveis.
Os dados agregados relativos a posições reportadas são publicados pela CFTC em seus relatórios semanais de compromissos de comerciantes. Os dados são agregados para proteger a identidade de qualquer comerciante individual relatável.
Uma vez que os comerciantes freqüentemente ocupam posições de futuros por meio de mais de um corretor e controlam ou têm interesse financeiro em mais de uma conta, a Comissão coleciona rotineiramente informações que lhe permitem agregar contas relacionadas.
Especificamente, as empresas declarantes devem apresentar um Formulário CFTC 102 (PDF - 69 KB): Identificação de "Contas Especiais" para identificar cada nova conta que adquira uma posição reportável (este formulário também é usado por trocas de futuros com seus próprios sistemas de relatórios de grandes comerciantes). Além disso, uma vez que uma conta atinge um tamanho reportable, a Comissão pode entrar em contato diretamente com o comerciante e exigir que o comerciante arquive um relatório de identificação mais detalhado, um Formulário CFTC 40: Declaração do Tradutor de Relatórios (PDF - 256 KB). 17 CFR Parte 18.
Os formulários CFTC 102 e 40 permitem que a CFTC identifique o nome e o endereço da conta, a (s) pessoa (s) que controla a negociação, a pessoa a contactar em relação à negociação, a natureza da conta (por exemplo, se é uma conta omnibus para outra corretor ou uma conta individual), se a conta relatada está relacionada - por interesse financeiro ou controle - a outra conta e a principal ocupação ou negócio do proprietário da conta. Os formulários também mostram se a conta está sendo usada para cobertura da exposição ao mercado de caixa. Em caso afirmativo, indica quais mercados de futuros / opções são utilizados e quais atividades de marketing ou marketing estão envolvidas.
O pessoal da CFTC usa essas informações para determinar se a conta relatada é um novo comerciante ou é uma conta adicional de um comerciante existente. Se a conta for adicional de um comerciante existente, ela é agregada com a de outras contas relacionadas atualmente relatadas.
O CFTC usa vários meios para garantir a precisão de seus grandes dados comerciais. As grandes posições dos comerciantes relatadas pelos membros da compensação são comparadas aos dados do membro da compensação relatados pelas trocas. Um inquérito é feito para a troca apropriada se:
a soma das posições de um grande comerciante do membro da compensação excede a posição aberta aberta do membro; ou um membro de compensação tem uma posição desbloqueada muitas vezes o nível de relatório para um determinado mercado, mas relata poucas ou nenhuma posição de grande comerciante.
O mesmo procedimento é usado para comparar os grandes dados do comerciante reportados por FCMs não-compensadores e corretores estrangeiros às posições totais que estão transportando em outros corretores ou membros de compensação. As empresas responsáveis pelo relatório também estão sujeitas a auditorias no local pela equipe de intercâmbio e da CFTC.
Um exemplo de dados de grandes comerciantes para três comerciantes fictícios é dado na Tabela 2: Dados do grande comerciante.
Tabela 2: Dados do grande comerciante.
Chicago Board of Trade Dezembro de 2001 Corn Future (em contratos) A partir de: 08/05/01.
Posição aberta líquida.
Sob as 17 peças CFR 18 ou 21, a CFTC também tem a autoridade para exigir que um comerciante forneça informações adicionais sobre os comerciantes de uma empresa e / ou sobre a atividade de entrega e entrega de um participante, incluindo informações sobre pessoas que controlam ou têm uma interesse financeiro na conta.
Este método de obtenção de grandes dados do comerciante não é usado com freqüência. No entanto, é útil quando um comerciante está negociando através de uma série de empresas que informam e há preocupação de que o processo normal de coleta de dados está faltando algumas informações importantes.
Dados de posição de caixa.
Nos vários mercados com limites de posição especulativa federais (grãos, complexo de soja e algodão), os hedgers que ocupam posições em excesso desses limites devem apresentar um relatório mensal com a Comissão de acordo com a Parte 19 dos regulamentos da CFTC.
O Formulário CFTC 204: Demonstração de Posições em Dinheiro em Grãos e Formulário 304 da CFTC: A Demonstração de Posições em Caixa em Algodão mostra as posições do comerciante no mercado de caixa.
Por exemplo, no mercado de algodão, os comerciantes e os comerciantes apresentam um relatório semanal do Formulário 304 do CFTC de suas posições de caixa de preço fixo, que é usado para publicar um relatório semanal Cotton On-Call, um serviço para a indústria do algodão. O relatório Cotton On-Call mostra quantas compras e compras de algodão em dinheiro de preço fixo estão pendentes em relação a cada mês de futuros de algodão.
Relatórios comerciais.
1.1 Introdução 1.1 Classificações de opções 1.2 Vais Bullish Bearish 1.3 Possíveis resultados para uma opção 1.4 Características de todas as opções 1.5 Gerenciando uma posição de opção 1.6 Chamadas de compra 1.7 Venda de chamadas 1.8 Compra de 1,9 Venda de 1.10 Prêmios de opção 1.11 Valor intrínseco e valor de tempo.
3. Índice, taxa de juros e opções de moeda.
5. Requisitos de Taxa e Margem de Opção.
Quando uma transação ocorre no chão do intercâmbio, a empresa membro no lado de venda da transação deve denunciar o comércio ao funcionário para ser exibido na fita. Os membros que executam ordens transmitidas para o piso da troca devem então denunciar a execução ao destinatário. Todas as encomendas enviadas para o chão devem ser enviadas por escrito em um formulário aprovado pelo intercâmbio. As encomendas transmitidas pelas firmas-membro por meio de fio ou telefone devem ser enviadas, embora tenham trocado facilidades de comunicação aprovadas. Pedidos recebidos, no entanto, essas instalações serão, na maioria dos casos, escritas em boletins de pedidos aprovados por câmbio pelos funcionários de pedidos que receberem a ordem (ou inseridos em dispositivos eletrônicos aprovados pelo intercâmbio). No final de cada dia de negociação, os membros da compensação são obrigados a denunciar todas as negociações de opções para a troca. Esses relatórios incluirão ordens executadas para a própria conta do membro da compensação, bem como ordens executadas para as contas dos clientes do membro da compensação (apresentando corretores). A troca compara todas as negociações enviadas por todos os membros da compensação no final do dia e notificará os membros de qualquer negociação incomparável. Os membros são obrigados a conciliar todas as negociações abertas incomparáveis contidas no relatório até as 9:30 AM EST no T + 1 e a notificar a troca da resolução nesse momento. Todos os negócios correspondentes são relatados diariamente pela troca ao OCC. O OCC, por sua vez, envia um relatório diário a cada membro de compensação detalhando os negócios combinados do dia anterior, os prémios líquidos devidos ou devido ao OCC e quaisquer avisos de cessão. Todas as empresas que executam ordens de compra para sua própria conta ou para a conta de seus clientes devem pagar o prémio devido a todas as compras até 10 AM EST em T + 1. Em dinheiro, cheque certificado, uma carta de garantia bancária e títulos do governo dos EUA são aceitos como formas de depósito pelo OCC.
Relatório de troca de opções
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O requisito de relatório representa a inovação EMIR (Regulamento 648/2018) mais abrangente, já que todas as contrapartes de todos os contratos derivados (OTC e negociados em bolsa) precisam cumprir e praticamente não há exceções, todas as negociações cambiais e de derivados OTC, negociações intragrupo, negociações com as contrapartes não financeiras devem ser relatadas.
Neste contexto, não há surpresa, o relatório de derivativos no âmbito do EMIR é um processo maciço (em 2017 houve, em média, mais de 350 milhões de relatórios comerciais enviados semanalmente para armazenar depósitos).
De acordo com as estimativas da ESMA, a partir de setembro de 2017:
- um total de mais de 17 bilhões de novos negócios foram reportados aos repositórios de negociação (desde o início do relatório em fevereiro de 2018)
No entanto, deve ter em mente que o relatório de derivados OTC é uma iniciativa global e diferentes jurisdições de diferentes maneiras definem o escopo das transações de derivados OTC que são relatáveis e as respectivas modalidades.
Assim, uma transação que é reportável em uma jurisdição pode não ser reportada em outra jurisdição ou pode ter que ser relatada de maneira diferente, por exemplo:
&menos; a definição de & ldquo; OTC & rdquo; varia entre as jurisdições,
&menos; algumas jurisdições exigem que ambas as contrapartes de uma transação informem a transação (& ldquo; relatórios de dois lados; rdquo;), enquanto outras jurisdições requerem apenas uma das contrapartes para denunciar a transação (& ldquo; relatórios de um só lado & rdquo;);
&menos; algumas jurisdições permitem o relatório de dados de posição usando o mesmo formato e para os mesmos repositórios de negociação que para o relatório de transações de derivados OTC.
Para facilitar o cumprimento, os requisitos relevantes e o contexto da UE foram descritos em maior detalhe na tabela abaixo.
O relatório EMIR como uma inovação regulatória.
Antes da EMIR, havia apenas uma experiência prática limitada na UE com o relatório dos derivativos.
A Directiva MiFID forneceu aos Estados-Membros da UE a possibilidade de implementar uma obrigação de apresentação de relatórios também para derivativos, onde o subjacente é negociado ou admitido à negociação, mas isso só foi implementado em alguns Estados Membros.
Devido à restrição do subjacente, esta obrigação abrangeu principalmente os derivativos de capital próprio padronizados e, em geral, não incluiu muitos outros derivados (ver Revisão Final do Relatório das Normas Técnicas de Implementação e Regulamentação sobre relatórios ao abrigo do Artigo 9 do EMIR de 13 de novembro de 2018 (ESMA / 2018 / 1645), p. 3).
EMIR marca uma experiência inteiramente nova com os relatórios dos derivativos, por dois fatos simples pelo menos:
- os relatórios de comércio no âmbito do EMIR abrangem não apenas os derivativos de capital próprio, mas todas as classes de ativos, incluindo derivativos em câmbio, taxas de juros, commodities, índices e quaisquer outros instrumentos financeiros, tanto OTC quanto negociados em bolsa;
- O relatório comercial EMIR inclui não apenas dados sobre a transação em si, mas também informações sobre compensação, avaliação contínua e colateralização.
O assunto dos relatórios da EMIR.
O relatório no âmbito da EMIR abrange os contratos derivados que:
(a) foram celebrados antes de 16 de agosto de 2018 e permanecem pendentes nessa data;
(b) são celebrados em ou após 16 de agosto de 2018.
bem como quaisquer modificações ou finalizações dos mesmos.
A data de início do relatório é 12 de fevereiro de 2018, no entanto, as partes devem estar cientes da obrigação de "carregar" dados em um repositório de comércio das datas acima (veja abaixo detalhes).
No contexto da descarga, é digno de nota, no Relatório de Revisão EMIR no. 4 de 13 de agosto de 2018 - Aquisição da ESMA como parte da consulta da Comissão sobre a Revisão EMIR (2018/1254) A ESMA recomendou a renúncia à obrigação de denunciar os contratos que foram encerrados antes da data de início do relatório (ou seja, 12 de fevereiro de 2018).
A proposta de alteração ao Artigo 9 (1) (segundo parágrafo) da EMIR foi a seguinte:
A obrigação de apresentação de relatórios aplica-se aos contratos de derivativos que:
(a) foram celebrados antes de 12 de fevereiro de 2018 e permanecem em circulação nessa data, ou.
(b) foram celebrados em ou após 12 de fevereiro de 2018.
Esta iniciativa é seguida pela proposta da Comissão Europeia de Maio de 2017 para um regulamento do Parlamento Europeu e do Conselho que altera o Regulamento (UE) n. º 648/2018 no que diz respeito à obrigação de compensação, à suspensão da obrigação de compensação, aos requisitos de técnicas de mitigação de riscos para contratos de derivados OTC não compensados por uma contraparte central, registro e supervisão de repositórios de comércio e os requisitos para repositórios de comércio, COM (2017) 208).
Entre as modificações legislativas previstas no referido documento é a remoção do requisito de backloading, portanto, o relatório sobre transações históricas não seria mais necessário.
O considerando 11 do referido projecto de regulamento prevê que:
"O relatório de transações históricas provou ser difícil devido à falta de determinados detalhes de relatórios que não eram obrigados a ser reportados antes da entrada em vigor do Regulamento (UE) nº 648/2018, mas que são necessários agora. Isso resultou em um alto taxa de falha de relatório e má qualidade dos dados relatados, enquanto o fardo de denunciar essas transações é significativo. Portanto, existe uma grande probabilidade de que esses dados históricos permaneçam não utilizados. Além disso, no momento em que o prazo para a notificação de transações históricas se efetiva, um número dessas transações já expiraram e, com elas, as exposições e riscos correspondentes. Para remediar essa situação, o requisito de relatar transações históricas deve ser removido ".
A avaliação do impacto da proposta legislativa observa que o requisito de relatar transações históricas teve como objetivo dar aos reguladores uma visão geral completa dos mercados de derivativos desde a entrada em vigor do EMIR, fornecendo-lhes dados históricos relevantes de referência e, assim, permitir que os reguladores obtenham uma imagem de potencial riscos e exposições contínuas, isso não aconteceu, porque este requisito é praticamente impossível de cumprir.
Taxas de falha muito altas foram causadas pela falta de certos elementos de relatório que não eram necessários no tempo respectivo ou pela falta de um requisito para usar o Identificador de Entidade Legal (LEI) antes do início da obrigação de relatório.
A data de início do relatório de garantias e avaliações (aplicável a contrapartes financeiras (FC) e contrapartes não financeiras acima do limiar de compensação (NFCs +)) é 11 de agosto de 2018.
A obrigação de notificação ao abrigo do EMIR não se restringe aos derivados concluídos apenas no OTC, mas aplica-se a todos os derivados (incluídos na bolsa e intragrupo).
Como foi dito acima, a característica proeminente do relatório de comércio EMIR é que inclui não apenas dados sobre a transação em si, mas também informações sobre compensação, avaliação contínua e colateralização.
«Contrato derivativo» ou «derivado» no âmbito do EMIR significa um instrumento financeiro conforme estabelecido nos pontos (4) a (10) da secção C do anexo I da Directiva 2004/39 / CE (MiFID), tal como implementado nos artigos 38.º e 39.º do Regulamento (CE) n. º 1287/2006.
Por conseguinte, qualquer alteração no âmbito das definições de derivados na MiFID tem um efeito directo sobre o escopo da EMIR, em particular a obrigação de relatório dos derivativos.
Isso envolve um risco regulamentar grave, pois qualquer interpretação errada de um determinado contrato representa um derivativo (e, conseqüentemente, instrumento financeiro) pode ser acompanhada de não conformidade em relação aos requisitos de relatório EMIR.
O que é particularmente notável a partir do ponto de vista prático, os contratos negociados fisicamente negociados em um MTF são considerados derivados OTC (incluídos na Seção C6 do Anexo I da Diretiva MiFID - veja:
portanto, sujeito a relatórios da EMIR.
Entidades sob a obrigação de comunicação.
O requisito de comunicação no âmbito do EMIR é imposto às duas contrapartes do contrato - para garantir a qualidade dos dados.
O Artigo 9 (1) do EMIR exige que todas as contrapartes e CCPs assegurem que os detalhes de qualquer contrato derivado que tenham concluído, bem como qualquer modificação ou rescisão de tal contrato, sejam reportados para trocas de repositórios.
Vale ressaltar que a obrigação de comunicação na UE aplica-se igualmente às contrapartes financeiras e a todas as contrapartes não financeiras na acepção do EMIR - independentemente de os não financeiros estarem acima ou abaixo do limiar de compensação.
Na UE, ambos os lados da transação têm a obrigação de denunciar o contrato em um sistema conhecido como "relatório de frente e verso" (em oposição ao "relatório de um único lado", onde apenas uma parte da transação informa).
Esta característica do esquema de relatório dos derivados da OTC da União Européia, apesar de se lembrar de várias outras jurisdições globalmente (por exemplo, Austrália, Brasil, Hong Kong, Japão e México), diferencia do sistema análogo aplicado nos Estados Unidos (onde apenas um lado de um A transação tem que relatar - veja o sistema de marcação global proposto para negociações de derivativos).
A transição de um sistema de dois lados para um lado foi deliberada na UE.
O pessoal da Comissão Europeia considerou, no entanto, os seguintes prós e contras dos relatórios de dois lados e de um lado.
O pessoal da Comissão Europeia refere-se, em primeiro lugar, ao fato de que, quando ambas as contrapartes de um comércio são obrigadas a denunciar dados sobre sua transação, todos os elementos dos dados relatados devem corresponder.
Onde os dados não coincidem, esta é uma indicação clara de que existe um problema com o relatório ou, no pior dos casos, com a transação subjacente.
O repositório de comércio pode então solicitar que os dois lados verifiquem seus dados com o objetivo de reconciliar o comércio.
Em um sistema de relatório unilateral, esta verificação automática não existe e o repositório de comércio tem que confiar que a contraparte de relatório apresentou os dados corretos.
Como tal, o relatório de dupla face geralmente resulta em uma qualidade de dados maior e menor do que em menor qualidade nos repositórios de comércio, o que, por sua vez, significa que os dados são mais úteis.
Além disso, o relatório de dupla face simplifica a execução da obrigação de relatório.
Com este sistema, não há dúvida de que ambas as contrapartes do comércio precisam relatar a transação, e não há desculpa para não fazê-lo.
Em um sistema de relatório unilateral, às vezes são necessárias regras bastante complexas para definir qual contraparte é responsável por relatar o comércio.
Existem casos conhecidos em que os negócios não foram relatados, pois ambos os lados do comércio alegaram que acreditavam que a obrigação de denunciar era da outra contraparte.
Com o relatório de dois lados, tais situações não ocorrerão por definição.
A AEVM geralmente compartilha a visão de que o relatório de dois lados assegura uma melhor qualidade de dados e recomenda, em sua contribuição, que este sistema de relatórios seja mantido, embora sugira que a abordagem adotada no Regulamento de Transações de Financiamento de Valores Mobiliários ("SFTR") seja isenta de relatórios pequenos e as contrapartes não financeiras de médio porte, poderiam ser consideradas.
A proposta de regulamento do Parlamento Europeu e do Conselho da Comissão Europeia que altera o Regulamento (UE) n. º 648/2018 no que se refere à obrigação de compensação, à suspensão da obrigação de compensação, aos requisitos de informação, às técnicas de mitigação de riscos para os contratos de derivados OTC não compensado por uma contraparte central, o registro e a supervisão de repositórios de comércio e os requisitos para repositórios de comércio, COM (2017) 208 de maio de 2017 prevê a modificação de que as transações entre uma contraparte financeira e uma pequena contraparte não financeira sejam comunicadas pela contraparte financeira em nome de ambas as contrapartes.
O considerando 14 do projecto de regulamento da Comissão Europeia diz:
"Para reduzir o ônus da apresentação de relatórios para pequenas contrapartes não financeiras, a contraparte financeira deve ser responsável e legalmente responsável pela notificação em nome de ambas e da contraparte não financeira que não está sujeita à obrigação de compensação no que diz respeito ao OTC contratos de derivativos celebrados por essa contraparte não financeira, bem como para garantir a precisão dos detalhes reportados ".
Enquanto uma contraparte ou uma CCP podem delegar o relatório para outro ator, isso não o eximirá da obrigação de denunciar a transação.
Além disso, é digno de nota, sob as contrapartes EMIR são necessárias para garantir que os dados comunicados sejam acordados entre as duas partes em um comércio.
Esta obrigação decorre da exigência do artigo 9.º, n. º 1, do EMIR, que exige que as contrapartes e as CCP assegurem que os detalhes dos seus contratos de derivativos sejam reportados sem duplicação.
No caso de contratos de derivados compostos por uma combinação de contratos de derivados que precisam ser reportados em mais de um relatório, as contrapartes também devem concordar com o número de relatórios a serem submetidos para relatar tal contrato (considerando 1 e 4 e artigo 1. Regulamento Delegado da Comissão (UE) de 19.10.2018 que altera o Regulamento (UE) n. º 148/2018 da Comissão que completa o Regulamento (UE) n. º 648/2018 do Parlamento Europeu e do Conselho sobre derivados OTC, contrapartes centrais e repositórios de transacções no que diz respeito a padrões técnicos de regulamentação sobre os detalhes mínimos dos dados a serem reportados aos repositórios de troca).
A categoria específica de contrapartes sob a obrigação de comunicação EMIR são CCPs.
As contrapartes do contrato ou uma CCP também podem delegar relatórios, no entanto, deve ser assegurado que a duplicação seja evitada.
A ESMA em suas Perguntas e Respostas sobre o EMIR explicou que o requisito de denunciar sem duplicação significa que "cada contraparte deve garantir que apenas um relatório (excluindo quaisquer modificações subseqüentes) produzido por eles (ou em seu nome) para cada comércio que eles carregam Fora.
A contraparte também pode ser obrigada a produzir um relatório e isso também não conta como duplicação.
Quando duas contrapartes apresentarem relatórios separados do mesmo comércio, eles devem garantir que os dados comuns sejam consistentes em ambos os relatórios ".
A FCA em sua apresentação expressou uma visão de que os corretores e negociantes não têm uma obrigação de comunicação no âmbito do EMIR quando atuam exclusivamente em uma capacidade de agência, no entanto, ainda há alguma incerteza sobre como relatar transações onde um corretor, revendedor ou membro de compensação aclara ou facilita uma transação para um cliente em base principal.
A posição da ESMA a este respeito é que, no caso particular de uma empresa de investimento que não seja uma contraparte de um contrato derivado e que atue apenas por conta e em nome de um cliente, executando o pedido no local de negociação ou Ao receber e transmitir o pedido, essa empresa não será considerada uma contraparte do contrato e não será esperado que apresente um relatório sob EMIR.
Quando uma entidade cumpre mais do que uma dessas funções (por exemplo, onde a empresa de investimentos também é o membro da compensação), então não precisa relatar separadamente para cada função e deve enviar um relatório identificando todas as funções aplicáveis nos campos relevantes .
No entanto, o Relatório Final da ESMA, os padrões técnicos sobre dados a serem divulgados publicamente por TRs de acordo com o Artigo 81 do EMIR, 10 de julho de 2017, ESMA70-151-370 observam (página 14) a lógica de relatório atual sob EMIR não permite com precisão distinguindo em todos os casos entre os negócios em que o membro compensador está limpando para seus clientes daqueles em que está compensando negociações concluídas por sua própria conta.
Os contratos de derivativos devem ser reportados a um repositório de comércio registrado na ESMA ou reconhecido pela ESMA.
Em princípio, onde um repositório de comércio não está disponível para registrar os detalhes de um contrato derivado (o que não é o caso atualmente), tais detalhes devem ser reportados à ESMA.
A ESMA aprovou, em 7 de novembro de 2018, os registros dos quatro primeiros repositórios de negociação sob EMIR:
- DTCC Derivatives Repository Ltd. (DDRL), com sede no Reino Unido;
- Krajowy Depozyt Papierów Wartosciowych S. A. (KDPW), com sede na Polônia;
- Regis-TR S. A., com sede no Luxemburgo; e.
- UnaVista Ltd, com sede no Reino Unido.
Os registros entraram em vigor em 14 de novembro de 2018.
Isso significa que o requisito de relatar transações de derivativos para armazenar depósitos no âmbito do EMIR entrou em vigor em 12 de fevereiro de 2018, ou seja, 90 dias após a data de registro oficial.
Além disso, em 28 de Novembro de 2018, a AEVMM aprovou os registos de dois novos armazéns para a União Europeia:
- ICE Trade Vault Europe Ltd. (ICE TVEL), com sede no Reino Unido; e.
- CME Trade Repository Ltd. (CME TR), com sede no Reino Unido.
Na comunicação relevante, a ESMA confirmou que todos os repositórios de negociação acima registrados na UE podem ser usados para relatórios comerciais.
Os repositórios de comércio registrados abrangiam todas as classes de ativos de derivativos (com exceção da ICE Trade Vault Europe Ltd., que abrangeu commodities, crédito, ações, taxas de juros), independentemente de os contratos serem negociados em ou fora do câmbio.
Em 31 de maio de 2017, a ESMA registrou como repositório de comércio sob o EMIR, com efeitos a partir de 7 de junho de 2017, o Bloomberg Trade Repository Limited com sede no Reino Unido.
Foram seguidos o NEX Abide Trade Repository AB com sede na Suécia registado pela ESMA com efeitos a partir de 24 de novembro de 2017 (o registro abrange commodities, crédito, câmbio, ações e taxas de juros).
Os registros acima trazem o número total de TRs registrados na UE, que podem ser usados para relatórios comerciais, para oito.
É possível cumprir a obrigação de relatório reportando a qualquer repositório de comércio reconhecido pela ESMA.
A lista real da ESMA de repositórios de comércio aprovados está disponível sob o link.
A possibilidade de a candidatura de CCPs para registro como um repositório de comércio é legalmente excluída.
O repositório de comércio tem permissão para executar serviços auxiliares, o artigo 78 (5) da EMIR, no entanto, exige que esses serviços sejam separados operacionalmente.
O EMIR não restringe a provisão de atividades de repositório de comércio para entidades legalmente separadas.
As entidades autorizadas a fornecer outras atividades reguladas não podem ser impedidas de solicitar registro como um repositório de comércio, a menos que sejam impedidas de fazer isso por outra legislação setorial.
Nesses casos, de forma semelhante aos casos de atividades auxiliares, as atividades reguladas realizadas pelo repositório de comércio devem ser separadas operacionalmente da atividade de repositório de comércio.
O potencial problema prático quando se trata de serviços de repositórios de comércio pode ser se eles estão totalmente autorizados a adicionar campos adicionais e divergentes aos padrões de relatório conforme estabelecido na legislação secundária EMIR. A prática existente indica que os repositórios de comércio estão fazendo uso de tal liberdade, no entanto, de tal forma que cria uma das causas potenciais para desajustes de relatórios comerciais.
Inevitavelmente, o padrão de relatório totalmente obrigatório, onde quaisquer modificações ou desvios feitos pelos repositórios de negociação não seriam permitidos, se estabelecidos pela ESMA, contribuiriam para o estabelecimento de infraestrutura de relatórios de derivados transparentes. Isso também aliviaria a carga de relatórios por parte dos participantes do mercado, onde alguns desajustes de relatórios não são causados pela negligência dos participantes do mercado, mas são uma conseqüência simples de usar diferentes serviços de repositório de comércio. A especificação prescritiva de "campos correspondentes" do relatório comercial também facilitaria a convergência total.
Todas as informações devem ser relatadas no final do dia no estado em que está nesse ponto. O relatório intradía não é obrigatório (esclarecimento da ESMA no documento Q & A do EMIR).
No que diz respeito ao prazo para o relato das transações de derivativos negociadas em bolsa (ETDs) compensadas pela CCP, as orientações regulatórias emitidas pela ESMA confirmaram que, quando a compensação ocorre no mesmo dia da execução, o relatório deve ser enviado uma vez para um repositório de comércio até 1 dia útil após a execução, nos termos do artigo 9º do EMIR.
A ESMA fez uma reserva que, em casos raros, onde a compensação ocorre após o dia da execução e após a elaboração do relatório, a novação deve ser reportada como uma alteração ao relatório original até 1 dia após a ocorrência da compensação.
Onde nenhum contrato é concluído, modificado ou encerrado, não são esperados relatórios, além das atualizações de avaliações ou garantias conforme necessário.
Isso significa que se uma contraparte não entrar em nenhuma nova transação de derivativos durante vários dias, não há obrigação de denunciar as transações já concluídas todos os dias ao TR.
As autoridades financeiras europeias reconheceram claramente: "[a] obrigação de denúncia deve ser cumprida em T + 1 (T sendo a data de conclusão / modificação / rescisão do contrato), não há outra necessidade de enviar relatórios diários se não há conclusão, modificações no contrato ou término ".
Não se deve, no entanto, omitir o fato de que as transações realizadas durante o mesmo dia que são compensadas ou rescindidas por outros motivos, devem, no entanto, ser comunicadas aos TRs como quaisquer outras operações.
Quando se trata de uma definição de "dia útil" (que pode ser significativa quando as contrapartes da mesma transação seguem calendários diferentes), para fins de relatório EMIR, a convenção de tempo é definida nas Normas Técnicas de Implementação como UTC (Tempo Universal Coordenado).
No que diz respeito ao calendário, a abordagem dos Derivados com Trocas (ETDs) é o cronograma do mercado relevante e para OTC o calendário acordado pelas contrapartes no âmbito do contrato.
Caso não existam acordo comum de calendário pelas contrapartes para um contrato OTC, o calendário TARGET deve ser utilizado, incluindo a contraparte da UE que reporta um contrato com uma contraparte não pertencente à UE.
As contrapartes devem manter um registro de qualquer contrato derivado que tenham concluído e qualquer modificação durante pelo menos cinco anos após a rescisão do contrato.
A regra geral EMIR é uma contraparte ou uma CCP que relata os detalhes de um contrato de derivativo para um repositório de comércio ou para a ESMA, ou uma entidade que relata esses detalhes em nome de uma contraparte ou uma CCP não deve ser considerada em violação de qualquer restrição divulgação de informações impostas por esse contrato ou por qualquer disposição legislativa, regulamentar ou administrativa.
Nenhuma responsabilidade resultante dessa divulgação reside na entidade relatora ou seus diretores ou funcionários.
Na prática, os padrões da indústria, tais como:
- Protocolo de reconciliação, resolução de controvérsias e divulgação ISDA 2018 publicado pela International Swaps and Derivatives Association, Inc. (o "Protocolo ISDA"), e.
implementar esta regra em acordos mestres, no entanto, mesmo na ausência de tal disposição contratual, em virtude da própria lei, a divulgação feita de acordo com os requisitos de relatório da EMIR não deve ser considerada uma violação do contrato.
Entre as possíveis situações práticas é o caso em que uma contraparte está estabelecida em um país terceiro cujo quadro legal impede a divulgação de sua identidade pela contraparte européia sujeita à obrigação de comunicação EMIR. A questão pode, consequentemente, surgir, como o campo de contraparte do formato de relatório EMIR deve ser preenchido pela contraparte européia.
EMIR é rigoroso nesta matéria. O Artigo 9 (5) O EMIR prevê que, pelo menos, as identidades das partes nos contratos de derivativos devem ser reportadas para o comércio de repositórios. As autoridades financeiras europeias sublinham este requisito não podem ser renunciadas. Por conseguinte, uma contraparte europeia que lida com contrapartes que não possam ser identificadas devido a impedimentos legais, regulamentares ou contratuais, não seria considerada conforme ao artigo 9 (5) da EMIR.
Fontes de direito sobre o relatório EMIR.
Além disso, o artigo 9 da EMIR forneceu um mandato para que a AEVMM elabore normas técnicas de regulamentação e implementação (RTS e ITS) sobre uma aplicação consistente da obrigação de relatório para contrapartes e CCPs.
Em 2018 e 2018, a AEVMM cumpriu o seu mandato e apresentou esses rascunhos à Comissão Europeia, que passou a ser o Regulamento nº 148/2018 (RTS) e o Regulamento nº 1247/2018 (STI):
A AEVMM entregou o seu relatório final sobre o EMIR que informa a legislação secundária em 27 de setembro de 2018 (documento ESAE 2018/600), ou seja, três meses após a publicação do EMIR. Os padrões foram aprovados, publicados e entrados em vigor: RTS em 15 de março de 2018 e ITS em 10 de janeiro de 2018 (mas também com efeitos a partir de 15 de março de 2018).
O RTS consiste em uma lista de campos notificáveis que fornecem uma definição do que o conteúdo deve incluir. O RTS também explica como relatar a situação quando uma contraparte relata também, em nome da outra contraparte, o comércio, a denúncia de negociações compensadas por uma CCP e as condições e a data de início do relatório de avaliações e informações sobre garantias.
Além disso, o ITS consiste em uma lista de campos notificáveis que prescrevem formatos e padrões para o conteúdo dos campos. O ITS também define a freqüência de atualizações de avaliação e várias modificações que podem ser feitas no relatório, bem como a abordagem de cachoeira de possíveis métodos para identificar contrapartes e o produto comercializado. Além disso, descreve o prazo pelo qual todas as negociações devem ser relatadas incluíram negociações históricas que precisam ser carregadas.
O documento de consulta acima foi seguido por:
Em outubro de 2018, os dois regulamentos acima foram alterados - veja:
Ambas as normas serão aplicáveis a partir de 1 de novembro de 2017, com exceção do Artigo 1 (5) do ITS (atrasando o requerimento de backloading), que se aplica a partir de 10 de fevereiro de 2017.
- as entidades relatoras não são obrigadas a atualizar todas as negociações em circulação após a data de inscrição das normas técnicas revisadas, e.
- eles são obrigados a enviar os relatórios relacionados aos velhos negócios em circulação somente quando ocorre um evento relatável (por exemplo, quando o comércio é modificado).
A reforma do esquema de relatório EMIR de novembro de 2017 é importante - quase 80% dos campos são novos ou alterados - existem 51 novos campos, 22 campos alterados e sete exclusões.
Para obter detalhes sobre a transição para o novo padrão técnico EMIR sobre relatórios, consulte abaixo o trecho - TR Pergunta 44 [última atualização 2 de fevereiro de 2017].
Outras modificações legislativas em relação aos requisitos de relatórios de derivação EMIR são contempladas como parte do processo mais amplo da revisão EMIR - veja:
As perguntas e respostas da ESMA sobre EMIR (perguntas e respostas) representam um conhecimento não legislativo e atualizado periodicamente sobre o formato exigido do relatório EMIR.
Q&As deal with the most urgent issues, clarifiy some interpretations of required data fields, and are issued to ensure the consistent application of EMIR and its RTS and ITS (see EMIR Q&As).
Access to aggregate public data on EMIR derivatives reporting.
Websites with aggregate public data on EMIR derivatives reporting are the following:
EMIR reporting analytics.
Since February 2018, when derivatives reporting began in Europe, the European TRs have received more than 16 billion submissions, with average weekly submissions over 300 million (ESMA assessments - communication of 29 May 2018).
In April 2018 alone, more than 200 million new trades were added:
&touro; 55% were exchange-traded derivatives (ETD) trades;
&touro; 14% listed derivatives traded off exchange.
The largest portion of OTC trades was made up of foreign exchange derivatives (56%); whilst ETD trades were mainly split into Commodities (33%), Equities (27%) and Interest rates (19%) trades.
ESMA Annual Report 2018 of 15 June 2018 (2018/934) estimated the number of entities, which have direct reporting agreements with trade repositories as nearly 5,000.
Intragroup transactions are defined in Article 3 of EMIR as OTC derivative contracts entered into with another counterparty which is part of the same group.
Intragroup derivative transactions are usually carried out to hedge against certain market risks or aggregate such risks at the level of the group.
With the exception of certain risk-mitigation techniques, from which intragroup transactions are exempt under certain conditions, all other EMIR requirements currently apply to intragroup trades in the same way as they do to all other transactions.
in particular, it should be noted that there is no exemption for intragroup trades from the EMIR reporting obligation. They should be reported as any other trades.
Under the EMIR reporting format, the applicable field "Intragroup" for reporting such information initially was Field 32, and after amendments made by:
- Commission Delegated Regulation (EU) of 19.10.2018 amending Commission Delegated Regulation (EU) No 148/2018 supplementing Regulation (EU) No 648/2018 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories, and.
- Commission Implementing Regulation (EU) of 19.10.2018 amending Implementing Regulation (EU) No 1247/2018 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2018 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories;
the Field 38 in the Table 2 (Common data).
This field is intended to be populated with information on "whether the contract was entered into as an intragroup transaction, defined in Article 3 of Regulation (EU) No 648/2018."
The said field in the case of intragroup transactions should be filled with the value "Y" = "Yes", and, in the opposite situation, with the value "N" = "No".
According to the Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 648/2018 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivatives contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories (COM(2017)208) of May 2017, intragroup transactions are envisioned to be excluded from EMIR reporting, if one of the counterparties is a non-financial counterparty.
Recital 12 of the said Proposal reads:
"Intragroup transactions involving non-financial counterparties represent a relatively small fraction of all OTC derivative transactions and are used primarily for internal hedging within groups. Those transactions therefore do not significantly contribute to systemic risk and interconnectedness, yet the obligation to report those transactions imposes important costs and burdens on non-financial counterparties. Intragroup transactions where at least one of the counterparties is a non-financial counterparty should therefore be exempted from the reporting obligation."
The European Commission's Staff impact assessment accompanying the said legislative draft expands this argumentation by indicating that - due to netting of internal contracts within the corporate groups - current inclusion of intragroup transactions in the EMIR reporting requirement results in as much as a threefold increase in the number of transactions which need to be reported - while not contributing to the overall risk profile of the group.
The legislators also refer to examples from other jurisdictions like the CFTC in the United States) which have excluded non-financial counterparties and small financials from the requirement to report their intragroup transactions.
Other important considerations are high bureaucratic burden due to the significant volumes of such trades but also to the fact that every entity in the group needs to be assigned a LEI.
The requirement to report derivatives transactions to trade repositories under EMIR came into force on 12 February 2018 ( 90 days after recognition of a relevant trade repository by ESMA).
Reporting of exposures is required, for FC and NFC+ only, 180 days after the reporting start date, i. e. as from 11 August 2018.
Backloading existing trades:
&touro; If outstanding at time of reporting date;
- 90 days to report to TR.
&touro; If not outstanding, but were outstanding between 16 August 2018 and reporting date;
- 3 years to report to TR (note that Commission Implementing Regulation of 19.10.2018 extended this term to 5 years)
Transactions within the same legal entity.
Transactions within the same legal entity (e. g. between two desks or between two branches with the same LEI) need not to be reported because they do not involve two counterparties.
Non-European subsidiaries of a group for which the parent undertaking is established in the European Union.
The reporting obligation to trade repositories applies to counterparties established in the European Union.
Therefore, non-European subsidiaries of European entities are not subject to the reporting obligation.
In the case of contracts between a EU counterparty and a non-EU counterparty, the EU counterparty will need to identify the non-EU counterparty in its report.
Note, ESMA made a specific remark with respect to reporting deadlines for the EU-relocated businesses (Q&A document referred to above).
Reporting compliance strategy.
When it comes to EMIR reporting compliance strategy the fundamental choice for market participants is whether to report derivatives themselves or to delegate reporting to their counterparty or another service provider.
Where firms choose the option to report themselves, they face, in turn, the dillema which trade repository to use.
There are the following possibilities regarding practical configurations as regards reporting:
1) one counterparty delegates on the other counterparty;
2) one counterparty delegates on a third party;
3) both counterparties delegate on a single third party;
4) both counterparties delegate on two different third parties.
A third party may perform the function of reporting for the counterparties to the trade only through a previous agreement (on behalf of one or both counterparties), nevertheless the obligation to report lies always on the counterparties to a trade.
When reporting is delegated it is advisable for firms to safeguard free access to data included in their EMIR reports, in order to check that their reports are being correctly submitted to the trade repository. Trade repositories often offer such a type of membership (enabling only access to trade reports already entered by other counterparties), which involves significantly reduced membership fees.
When it comes to contractual tools for the EMIR reporting delegation, s ee, for instance, ISDA/FOA EMIR Reporting Delegation Agreement.
It is useful to note that among elements to be reported is also the indication as regards the trading capacity i. e. parameter which identifies whether the reporting counterparty has concluded the contract as principal on own account (on own behalf or behalf of a client) or as agent for the account of and on behalf of a client.
It is important to take into account that investment firms that provide investment services (like execution of orders or receipt and transmission of orders) do not have any obligation to report under EMIR unless they become a counterparty of a transaction by acting as principal; nothing prevents counterparties to a derivative to use an investment firm (as a broker) as a third party for TR reporting, but this is a general possibility in all cases.
When counterparty is dealing bilaterally with another counterparty through a broker, which acts as agent (introducing broker) the said broker is not signing or entering into any derivative contract with any of the counterparties and, consequently, is not considered as a counterparty under EMIR, thus also not being under the duty to report.
Moreover, in the particular case when the investment firm is not involved in the process of receiving and/or posting any collateral for the client because of direct arrangements between the client and the clearing member, the investment firm is not expected to submit any report on the value of the collateral, or on any subsequent modification as well as termination of the concluded derivative contract.
So, when reporting the conclusion of a derivative contract in the trading venue the two trading scenarios should be distinguished: one in which the investment firm is itself a counterparty to the trade (in the sense meant by EMIR) and the other in which it is not, but just acted on the account of and on behalf of the client to execute the trade.
In the case of an investment firm that is not a counterparty to a derivative contract and it is only acting on the account of and on behalf of a client, by executing the order in the trading venue or by receiving and transmitting the order, such firm will not be deemed to be a counterparty to the contract and will not be expected to submit a report under EMIR.
In turn, where an entity is fulfilling more than one of these roles (for example, where the investment firm is also the clearing member) then it does not have to report separately for each role and should submit one report identifying all the applicable roles in the relevant fields.
Technical rules for reporting trades with the broker participation are as follows:
- if a counterparty is itself the beneficiary to a trade it should be reported in both the "counterparty" and "beneficiary" fields;
- if a counterparty is itself the Clearing Member (CM) to a trade, it should it be reported in both the "counterparty" and "CM" fields;
-if a CM is itself the broker to a trade, it should be reported in both the "CM" and "broker" fields;
- if a broker is itself the counterparty (legal principal) to a trade, it should it be reported in both the "broker" and "counterparty" fields (ESMA Q&A, TR Question 9).
CCPs’ role in derivatives' reporting under EMIR.
Article 9 provides that counterparties and CCPs should ensure reporting, not only CCPs.
Counterparties and CCPs should ensure that there is no duplication of the reporting details by way of agreeing on the most efficient reporting method, to avoid duplication.
Commission Delegated Regulation of 19.10.2018 amending Commission Delegated Regulation (EU) No 148/2018 supplementing Regulation (EU) No 648/2018 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade.
It is important to also acknowledge that a central counterparty (CCP) acts as a party to a derivative contract. Accordingly, where an existing contract is subsequently cleared by a CCP, it should be reported as terminated and the new contract resulting from clearing should be reported.
Article 2 of the Commission Delegated Regulation No 148/2018 as amended by the Commission Delegated Regulation of 19.10.2018.
1. Where a derivative contract whose details have already been reported pursuant to Article 9 of Regulation (EU) No 648/2018 is subsequently cleared by a CCP, that contract shall be reported as terminated by specifying in field 93 in Table 2 of the Annex the action type "Early Termination", and new contracts resulting from clearing shall be reported.
2. Where a contract is both concluded on a trading venue and cleared on the same day, only the contracts resulting from clearing shall be reported.
In the scenario where the CCP and counterparties use different TRs, it is possible that the CCP reports that the contract has been cleared in a TR different from the TR in which the contract has been originally reported by the counterparties.
CCPs and counterparties should then do so with consistent data, including the same trade ID and the same valuation information to be provided by the CCP to the counterparties.
When it comes to the CCP's ID the practical issue arose with respect to derivative contract cleared by an entity which is not a CCP within the meaning of EMIR (e. g. a clearing house).
The ambiguity was whether the clearing house be identified in the field "CCP ID".
ESMA referred to this point in its Q&As on EMIR and its answer was in the negative.
Pursuant to the EU financial regulator the field "CCP ID" should only be populated with the identifier of a CCP, i. e. a central counterparty which meets the definition of Article 2(1) of EMIR.
In the same interpretation issued on 26 July 2018 ESMA also explained that if the transaction is executed in an anonymised market and cleared by a clearing house the counterparty executing the transaction should request the trading venue or the clearing house that matches the counterparties to disclose before the reporting deadline the identity of the other counterparty.
Under Article 9 of EMIR, both the counterparties and the CCP have an obligation to ensure that the report is made without duplication, but neither the CCP nor the counterparties have the right to impose on the other party a particular reporting mechanism.
However, when offering a reporting service the CCP can choose the TR to be used and leave the choice to the counterparty on whether to accept or not the service for its trade to be reported by the CCP on its behalf.
The requirement to report without duplication means that each counterparty should ensure that there is only one report (excluding any subsequent modifications) produced by them (or on their behalf) for each trade that they carry out. Their counterparty may also be obliged to produce a report and this also does not count as duplication.
Where two counterparties submit separate reports of the same trade, they should ensure that the common data are consistent across both reports.
Under the EMIR reporting framework CCPs also play an important role in submitting timestamps for populating the Field Clearing timestamp (Table 2 Field 36).
Under the EMIR reporting format this field should be reported as the time at which the CCP has legally taken on the clearing of the trade.
In turn, the Execution timestamp (Table 2 Field 25) is required to correspond to the time of execution on the trading venue of execution.
In an answer to the ETDs Reporting Question 6 (amended version applying as from 1 November 2017) ESMA underlined that:
- for markets where clearing takes place using the open offer model, these two times (the Clearing timestamp and the Execution timestamp) are expected to be the same,
- for markets where clearing takes place using novation, these two times may be different.
Article 2 of the Regulatory Technical Standard (RTS - Commission Delegated Regulation (EU) No 148/2018 of 19 December 2018) initially stipulated that where an existing contract is subsequently cleared by a CCP, clearing should be reported as a modification of the existing contract.
This rule has been changed in the subsequent amendment - see the box.
Usually derivative transactions concluded on exchanges (ETDs) are cleared shortly after their conclusion, hence under the amended RTS on reporting it is provided that ETDs are reported only in their cleared form (Article 2(2) of the Commission Delegated Regulation No 148/2018 as amended by the Commission Delegated Regulation of 19.10.2018: “where a contract is both concluded on a trading venue and cleared on the same day, only the contracts resulting from clearing shall be reported”).
The Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 648/2018 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivatives contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories (COM(2017)208) of 4 May 2017 envisions more far-reaching modifications as regards the CCPs' role in the derivatives reporting since - according to the said legislative proposal - ETDs are to be reported only by the CCP on behalf of both counterparties.
Population of the field on the clearing obligation.
The applicable field for reporting data on the clearing obligation initially was Field 28, and later, under amendments made by the aforementioned Commission Delegated Regulation of 19.10.2018 and Commission Implementing Regulation of 19.10.2018, Field 34 in the Table 2 (Common data).
The field “Clearing obligation” is intended to be populated with information on "whether the reported contract belongs to a class of OTC derivatives that has been declared subject to the clearing obligation and both counterparties to the contract are subject to the clearing obligation under Regulation (EU) No 648/2018, as of the time of execution of the contract".
In the case of cleared trades, the field “Clearing obligation” should be populated with “N” and the field “Cleared” & ndash; with “Y”.
The field “Clearing obligation” is not applicable to the transactions executed on a regulated market and should be left blank (ESMA Q&As as from 1 November 2017).
Contracts that are entered into during the frontloading period and will have, at the date of application of the clearing obligation for that contract, a remaining maturity higher than the minimum remaining maturity specified in accordance with Article 5(2)(c) of EMIR should be flagged with "Y" in the Clearing Obligation field.
These contracts are subject to the clearing obligation from the moment the contract is entered into, even if the counterparties will effectively be required to clear them only at the date when the clearing obligation takes effect.
Until the beginning of the frontloading period for Category 1 counterparties there will be no contracts pertaining to the given classes of OTC derivatives that are subject to the clearing obligation, therefore it is considered that counterparties should report "X".
Upon the beginning of the front-loading period for Category 1 counterparties, all the counterparties shall report either "Y" or "N" for the contracts pertaining to the given classes.
The example below (included in the TR Question 42 ESMA's EMIR Q&As) illustrates how the field 28 Table 2 should be populated by the Category 1 and Category 2 counterparties for the contracts pertaining to the classes in the scope of Regulation (EU) 2018/2205 i. e. IRS derivatives.
Unique Trade Identifier (UTI)
Each reported derivative contract is required by Commission Delegated Regulation (EU) No 148/2018 to have a Unique Trade Identifier (UTI).
EMIR imposes the general obligation according to which counterparties need to agree the report's contents before submitting it to TRs.
According to this rule the existing technical standards prescribe that the Unique Trade Identifier must be agreed with the other counterparty (see Table 2, field 12 of the RTS).
In light of the low pairing rates of the TR reconciliation process, ESMA considered that an additional prescriptive rule should be included to account for the cases where counterparties fail to agree on the responsibility to generate a UTI.
That said, it was proposed (ESMA Consultation Document, Review of the technical standards on reporting under Article 9 of EMIR of 10 November 2018 (ESMA/2018/1352)) to introduce the specific provision in the Implementing Technical Standards prescribing which reporting entity is responsible for the creation and transmission of the UTI in the absence of agreement between counterparties.
This approach was upheld in the ESMA's Final Report of 13 November 2018 and finally implemented in the aforementioned Commission Regulations of 19.10.2018 and 19.10.2018.
Legal Entity Identifiers (LEIs)
Legal Entity Identifiers (LEIs) are required for EMIR reporting (see Article 3 of Commission Implementing Regulation (EU) No 1247/2018).
Article 3 of the Implementing Regulation No 1247/2018 as amended by the Commission Implementing Regulation of 19.10.2018.
Identification of counterparties and other entities.
1. A report shall use a legal entity identifier to identify:
(a) a beneficiary which is a legal entity;
(b) a broking entity;
(d) a clearing member;
(e) a counterparty which is a legal entity;
(f) a submitting entity.
For customers being individuals who do not have a BIC or LEI ESMA initially adopted the view to be acceptable to use for EMIR reporting a client code, e. g. account number or member id, while for customers other than individuals LEI (and not BICs) was mandatory to identify counterparties.
"[t]o avoid any misuse of Interim Entity Identifier, BIC or Client codes, ESMA assessed the necessity of allowing all of those code types in all relevant fields. According to the assessment, in certain instances, a private individual could not be identified in a particular field and therefore it is proposed to delete the possibility of using a client code in that field. As LEIs, fulfilling the ROC principles and the ISO 17442 standard are already in place, there is no need to provide the possibility of using less robust identifiers like BICs or Interim Entity Identifiers any longer and therefore these are proposed to be deleted as well."
ESMA referred to these issues in the following Q&As (a) and (b):
"(a) Can a client code be used (e. g. account no. or member id) for customers who do not have a BIC or LEI?
Yes, where customers are individuals. For customers other than individuals see (b) on the ID of counterparties below.
(b) What code should be used to identify counterparties (LEIs or BICs)?
An LEI issued by, and duly renewed and maintained according to the terms of, any of the endorsed pre-LOUs (Local Operating Units) of the Global Legal Entity Identifier System.
It should be noted that legal entities and also individuals acting in an independent business capacity are eligible to obtain LEIs (see leiroc/publications/gls/lou_20180930-1.pdf)."
LEI for EMIR reporting purposes needs to be issued by, and duly renewed and maintained according to the terms of, any of the endorsed LOUs (Local Operating Units) of the Global Legal Entity Identifier System (see How to obtain an LEI).
One should be mindful of the fact, at its first phase, LEI does not cover branches or desks which are not legal entities, hence the same legal entity under the EMIR reporting scheme would only have one LEI (it is an issue for early review due to a need for separate identification under some cross-border resolution schemes - see Recommendation 10 of the FSB Report on a Global Legal Entity Identifier for Financial Markets).
Responding to the question whether the LEI covers branches or desks ESMA said:
"Following the Recommendation 10 of the FSB Report on a Global Legal Entity Identifier for Financial Markets (financialstabilityboard/publications/r_120608.pdf ), at its first phase LEI did not cover branches/desks and the same legal entity would only have one LEI: “a particular issue for early review is for the ROC to consider whether and if so how the global LEI can be leveraged to identify bodies such as branches of international banks which are not legal entities, but which require separate identification under some cross-border resolution schemes”.
The LEI ROC has undertaken such review and issued a following statement on international branches: https://leiroc/publications/gls/roc_20180711-1.pdf.
It should be noted however that the counterparties reporting under EMIR should always identify themselves with the LEI of the headquarters, given that the legal responsibility for reporting always lies on the headquarter entity and not on the branch."
Moreover, on 1 October 2018 ESMA explained in greater detail the issue of the LEI updates due to mergers and acquisitions (Q&As TR Question 40). The relevant question was:
"How are TRs expected to treat situations where the counterparty identified in a derivative transaction reported to them a change in LEI due to a merger or acquisition or where the identifier of the counterparty has to be updated from BIC (or other code) to LEI? How are counterparties expected to notify the change to their relevant TR?"
ESMA commented that the entity with the new LEI (i. e. merged or acquiring entity or entity which updates its identification to LEI – further "new entity") or the entity to which it delegated the reporting should notify the TR(s) to which it reported its derivative trades about the change and request update of the identifier in the outstanding trades as per letter (a) below.
If the change of the identifier results from a merger or acquisition, the merged or acquiring entity is also expected to duly update the LEI record of the acquired/merged entity no later than the next LEI renewal date according to the terms of the endorsed LOU/accredited LOU who issued the old LEI.
The TR shall identify all the outstanding trades, where the entity is identified with the old identifier in any of the following fields: counterparty ID, ID of the other counterparty, broker ID, reporting entity ID, clearing member ID, Beneficiary Id, Underlying and CCP ID, and replace the old identifier with the new LEI.
This is done through the following controlled process:
a) The new entity or the entity to which it delegated the reporting, submits written documentation to the TR(s) to which it reported its derivative trades and requests the change of the identifier due to a corporate event or due to the LEI code being assigned to the entity. In the documentation, the following information should be clearly presented:
(i) the LEI(s) of the entities participating in the merger and/or acquisition or the old identifier of the entity which updates its identification to LEI, (ii) the LEI of the new entity and.
(iii) the date on which the change takes place. In case of a merger or acquisition, the documentation should include evidence or proof that the corporate event has taken or will take place and be duly signed.
b) The TR broadcasts this information to all the other TRs through a specific file, where the.
(i) old identifier(s),
(ii) the new identifier and.
(iii) the date as of which the change should be done, are in-cluded. To the extent possible, the file should be broadcasted in advance so that the change is not done retrospectively, but as of the date specified in (iii).
c) Each of the counterparties to the trades, where any of the merged entities is identified, is informed of the modification by the TR to which they report.
d) TR(s) shall notify also the regulators who have access to the data relating to the trades that have been updated.
e) The change is kept in the reporting log by each of the TRs.
f) Subsequent reports with the old LEI should be rejected by the TRs.
On 20 November 2017 ESMA added that to the extent possible, the entity should provide the required information in advance so that the change is not done retrospectively, but as of the date on which the change takes place.
ESMA guidance contains also the caveat that the failure to update the identifier on time would result in rejection of the reports submitted by the entity in case where it has been previously identified with an LEI with an appropriate status (i. e. “Issued”, “Pending transfer” or “Pending archival”) and that status has subsequently been changed to ‘Merged’.
The importance of the proper identification of parties to the derivative contracts has been underlined by ESMA also with respect to counterparties established in a third country whose legal framework prevents the disclosure of its identity by the European counterparty subject to the reporting obligation.
ESMA reminded that Article 9(5) EMIR provides that at least the identities of the parties to the derivative contracts must be reported to trade repositories and that this requirement cannot be waived.
Therefore, a European counterparty dealing with counterparties that cannot be identified because of legal, regulatory or contractual impediments, would not be deemed compliant with Article 9(5) of EMIR.
Exchange-traded derivatives (ETDs) reporting.
The EMIR reporting obligation covers all derivative contracts (it doesn't matter OTC or exchange-traded (ETD)).
The said rule is expressed literally by Article 9 of EMIR, which stipulates that financial and non-financial counterparties must ensure that the details of the said derivative contracts they have concluded and of any modification or termination are reported to a registered or recognised trade repository.
D erivative contracts admitted to trading on regulated markets represent the vast majority of ETDs, however, they don't exhaust the entire ETD's scope.
According to Article 2(32) of MiFIR ETD is "a derivative that is traded on a regulated market or on a third-country market considered to be equivalent to a regulated market" and as such does not fall into the definition of an OTC derivative as defined in EMIR.
EMIR defines OTC derivatives as contracts the execution of which does not take place on a regulated market or on a third-country market considered as equivalent to a regulated market in accordance with Article 2a of EMIR.
ESMA in the Q&As on EMIR implementation has clarified the following:
"Derivatives transactions, such as block trades, which are executed outside the trading platform of the regulated market, but are subject to the rules of the regulated market and are executed in compliance with those rules, including the immediate processing by the regulated market after execution and the clearing by a CCP, should not be regarded as OTC derivatives transactions. Therefore, these transactions should not be considered for the purpose of the clearing obligation and the calculation of the clearing threshold by NFC that only relates to OTC derivatives.
Derivatives transactions that do not meet the conditions listed in the first paragraph of this sub-answer (d) should be considered OTC. For example, derivatives contracts that are not executed on a regulated market and are not governed by the rules of an exchange at the point of execution should be considered OTC even if after execution they are exchanged for contracts traded in a regulated market. However, the replacement contract itself may be considered exchange traded if it meets the relevant conditions."
ESMA regards ETDs as "derivative contracts which are subject to the rules of a trading venue and are executed in compliance with those rules, including the processing by the trading venue after execution and the clearing by a CCP".
ETDs Reporting Question 7 – Amended version. This version shall apply from 1 November 2017.
Who should report the value of the collateral for ETDs?
ETDs Reporting Answer 7.
The Initial margin posted (Table 1 Field 24), the Variation margin posted (Table 1 Field 26), the Initial margin received (Table 1 Field 28), the Variation margin received (Table 1 Field 30), the Excess collateral posted (Table 1 Field 32) and the Excess collateral received (Table 1 Field 34) should be reported by the Counterparty responsible for the report (the entity identified in the ‘who has the obligation to report’ column in the scenarios above, that is the participant identified in Table 1 Field 2 in Commission Delegated Regulation (EU) No 148/2018 (RTS on reporting to TR) .
In the particular case when the investment firm is not involved in the process of receiving and/or posting any collateral for the client because of the direct arrangements between the client and the clearing member, the investment firm is not expected to submit any report on the value of the collateral, or on any subsequent modification as well as termination of the concluded derivative contract.
According to the aforementioned European Commission's Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 648/2018 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivatives contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories (COM(2017)208) of May 2017 derivative transactions concluded on exchanges should be reported only by the CCP on behalf of both counterparties.
Hence, the ETDs' reporting requirement for all counterparties other than CCPs is envisioned to be eliminated.
Recital 13 of the said European Commission draft Proposal of May 2017 reads:
"The requirement to report exchange-traded derivative contracts (‘ETDs’) imposes a significant burden on counterparties because of the high volume of ETDs that are concluded on a daily basis. Moreover, since Regulation (EU) No 600/2018 of the European Parliament and of the Council requires every ETD to be cleared by a CCP, CCPs already hold the vast majority of the details of those contracts. To reduce the burden of reporting ETDs, the responsibility, including any legal liability, for reporting ETDs on behalf of both counterparties should fall on the CCP as well as for ensuring the accuracy of the details reported."
European Commission's Staff impact assessment accompanying the said legislative draft (p. 36) further elaborates on the reasons why the reporting requirement for ETDs has not been entirely eliminated.
Legislators, generally, are aware of the facts that:
- the G20 never called for the reporting of ETDs,
- many other jurisdictions do not require the reporting of ETDs,
- ETDs' reporting is in many aspects redundant to the reporting under MiFIR.
Nevertheless, it is pointed out by the Commission's Staff that the data received by trading venues under MiFIR is not the same as that required to be reported under EMIR.
Furthermore, there are direct linkages with other pieces of legislation (e. g. MiFIR exemptions provided transactions are reported under EMIR).
In light of the above, the definitive exemption for ETDs from the EMIR reporting obligation is not recommend at this stage, and the scope of the amendments is restricted to some modifications only.
However, FIA Response of 18 July 2017 to the European Commission EMIR Review Proposal – Part 1 (REFIT Proposals) recommends the European Commission clarifies also the following issues:
- whether the clearing member-to-client trade will still be reportable,
- if it is still reportable, whether the CCP have to report both the CCP-to-clearing member trade and the clearing member-to-client trade,
- what, if any, are the ongoing obligations of the clearing member and/or client to check the accuracy of the data that has been reported on their behalf by the CCP,
- whether the reporting requirements apply to trades cleared through a third-country CCP.
Nevertheless, the changes the European Commission's proposals of May 2017 can be assessed as quite accommodating.
EMIR vs. MiFID/MiFIR and REMIT reporting.
EMIR (Article 9) and MiFID ( Article 25 of Directive 2004/39/EC of 21 April 2004 of the European Parliament and of the Council on Markets in Financial Instruments ) require that transactions on derivatives admitted to trading to a regulated market are subject to both reporting under MiFID (direct reporting to competent authorities) and under EMIR (reporting to trade repositories for the purpose of making the data available to the relevant authorities in accordance with their regulatory needs).
Following the start of EMIR reporting to trade repositories on 12 February 2018, firms are reminded that their MiFID transaction reporting obligations remain unchanged and they are expected to continue transaction reporting as per current arrangements. Reporting to trade repositories under EMIR does not replace any transaction reporting obligation under MiFID and firms should continue to submit their transaction reports under MiFID.
The more convenient regulatory framework brings MiFIR, which established the rule that trade-matching or reporting systems, including trade repositories registered or recognised in accordance with EMIR, may be approved by the competent authority as an ARM in order to transmit transaction reports to the competent authority.
In cases where transactions have been reported in accordance with EMIR to a trade repository, which is approved as an ARM, and where these reports contain the details required by MiFID 2 and are transmitted to the competent authority by the trade repository within the time limit set in MiFID 2, the obligation to report data laid down on the investment firm by MiFID 2 is considered to have been complied with.
Trade repository with an ARM functionality is for instance UnaVista Limited (entity operates as a European Approved Reporting Mechanism (ARM) under the MiFID regime for all asset classes and markets and by becoming a trade repository also for all asset classes across all venues, customers will only need to connect once to meet both their EMIR and MiFID reporting requirements). Such a solution really eases the regulatory reporting burden, so it can be expected will soon become more common.
The MiFID I, MiFIR and REMIT reporting frameworks concentrate on the prevention of market abuse, while the reporting regimes under EMIR centre on the monitoring of systemic risk in specific markets.
The MiFID I and MiFIR reporting schemes apply to EU regulated investment firms and banks, while unregulated end-users are not subject to reporting requirements at issue.
As opposite, apart form some exceptions, EMIR and REMIT apply to any person who trades the relevant products, and their regulated status is negligible (see: The new EU transaction reporting regimes, Comparing MiFIR, MiFID1, EMIR, REMIT and SFTR, February 2018).
The EU regulatory authorities try "to align requirements with EMIR where possible but this is only possible to a limited extent since the purposes of EMIR and transaction reporting are quite different and reporting for EMIR takes place at the position level rather than the transaction level" (ESMA's Final Report Draft RegulatoRy and Implementing Technical Standards MiFID II/MiFIR, 28 September 2018 (ESMA/2018/1464) , p. 364 ).
Collateral portfolio code.
According to Article 3 of the Commission Delegated Regulation No 148/2018 where a counterparty does not collateralise on a transaction level basis, the counterparties must report to a trade repository collateral posted and received on a portfolio basis in accordance with fields 21 to 35 in Table 1 of the Annex to the said Regulation.
Moreover, where the collateral related to a contract is reported on a portfolio basis, the reporting counterparty must report to the trade repository a code identifying the portfolio related to the reported contract in accordance with field 23 in Table 1 of the said Annex.
As regards collateral portfolio code the ESMA has clarified that it is up to the counterparty making the report to determine what unique value to put in this field, however, it should only be populated if the Collateral portfolio field has the value 'Y' ("Yes").
It is, for example, permissible to use a value in this field that is supplied by the CCP, but this is not required and other values could be used.
Collateral portfolio was initially reported in the Field 23 and Collateral portfolio code in the field 24 of the Table 1, but, under amendments made by the aforementioned Commission Delegated Regulation of 19.10.2018 and Commission Implementing Regulation of 19.10.2018, the applicable fields are 22 and 23 (respectively).
Under the amended framework Collateral portfolio Field (22) indicates "Whether the collateralisation was performed on a portfolio basis. Portfolio means the collateral calculated on the basis of net positions resulting from a set of contracts, rather than per trade."
The permissible values in the said field are "Y" = "Yes", and "N" = "No".
In turn, the description of the Collateral portfolio code in the field 23 of the Table 1 is "If collateral is reported on a portfolio basis, the portfolio should be identified by a unique code determined by the reporting counterparty" (up to 52 alphanumerical characters).
Answering to the question: "[a]re all fields specified in the Annex of the Commission Delegated Regulation (EU) No 148/2018 mandatory? Can some fields be left blank?" ESMA adopted the following stance (TR Answer 20):
In general, all fields specified in the RTS are mandatory. Nevertheless, two different instances need to be acknowledged, namely:
1. The field is not relevant for a specific type of contract/trade, for example:
- settlement date field where the underlying is an index,
- commodity underlying field in case of equity derivatives,
- Domicile of the Counterparty in case of coverage by LEI.
2. The field is relevant for a given type of contract/trade, however:
uma. there is a legitimate reason why the actual value of this field is not being provided at the time the report is being submitted, or.
b. none of the possible values provided for in the Annex of the Commission Implementing Regulation (EU) 1247/2018 for a given field apply to the specific trade.
In order to enable the TRs distinguishing between the two instances above and allow them to comply with requirements of Article 19 of the Commission Delegated Regulation (EU) 150/2018 (in particular to verify the compliance of the reporting counterparty or submitting entity with the reporting requirements), a different approach should be envisaged when it comes to population of the not relevant and relevant fields.
In the first case, since the field is not relevant for a given trade, it should be left blank.
In the second case, the mandatory relevant field should not be left blank and should include the Not Available (NA) value instead.
To manage the above issues reporting validation tables have been implemented - see below.
Mark-to-market/model value reporting.
EMIR reporting rules for valuations (mark-to-market or mark-to-model) have some specific features.
Valuations reporting began on 11 August 2018 ( 180 days after the reporting standard start date).
Moreover, reporting in this respect applies only to financial counterparties and non-financial counterparties above the clearing threshold (NFCs+), while non-financial counterparties below the clearing threshold are not required to report mark to market, or mark to model valuations (RTS Article 3(4)).
According to Article 3(5) and (6) of the Commission Delegated Regulation No 148/2018 (as amended by the Commission Delegated Regulation of 19.10.2018) for contracts cleared by a CCP, the counterparty is required to report the valuation of the contract provided by the CCP in accordance with fields 17 to 20 in Table 1 of the Annex to the said Regulation.
In turn, for contracts not cleared by a CCP, the counterparty must report, in accordance with fields 17 to 20 in Table 1 of the respective Annex, the valuation of the contract performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.
Description of the relevant Field 17 in the Table 1 (Value of the contract) in the Annex to the said Commission Delegated Regulation is:
"Mark to market valuation of the contract, or mark to model valuation where applicable under Article 11(2) of Regulation (EU) No 648/2018. The CCP's valuation to be used for a cleared trade."
Commission Delegated Regulation No 148/2018 as amended by the Commission Delegated Regulation of 19.10.2018.
Reporting of exposures.
1. The data on collateral required in accordance with Table 1 of the Annex shall include all posted and received collateral in accordance with fields 21 to 35 in Table 1 of the Annex.
2. Where a counterparty does not collateralise on a transaction level basis, counterparties shall report to a trade repository collateral posted and received on a portfolio basis in accordance with fields 21 to 35 in Table 1 of the Annex.
3. Where the collateral related to a contract is reported on a portfolio basis, the reporting counterparty shall report to the trade repository a code identifying the portfolio related to the reported contract in accordance with field 23 in Table 1 of the Annex.
4. Non-financial counterparties other than those referred to in Article 10 of Regulation (EU) No 648/2018 shall not be required to report collateral, mark-to-market, or mark-to-model valuations of the contracts set out in Table 1 of the Annex to this Regulation.
5. For contracts cleared by a CCP, the counterparty shall report the valuation of the contract provided by the CCP in accordance with fields 17 to 20 in Table 1 of the Annex.
6. For contracts not cleared by a CCP, the counterparty shall report, in accordance with fields 17 to 20 in Table 1 of the Annex to this Regulation, the valuation of the contract performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.
The aforementioned ESMA Consultation Paper of 10 November 2018 proposed to clarify how the mark to market value (Table 1 field 17) should be calculated and reported. It was proposed to recognise market practice in how different types of derivative contracts are valued and to allow for more than one way of calculating the mark to market value depending on the type of derivative contract:
1. For futures and options the mark to market valuation should be calculated using the size of the contract and the current market price (or model price, when appropriate). This is generally expected to be a positive number.
2. For CFDs, Forwards, Forward Rate Agreements, Swaps and other derivative types the value reported should represent the replacement cost of the contract, taking into account the delivery of the underlying. For a majority of these products, the initial value would be typically close to zero, when conducted at market rates. Subsequent values would then be positive if the value of the trade had moved in favour of the reporting counterparty since execution and negative if it had moved against the reporting counterparty. Under this approach, the value reported by the first counterparty should be approximately equal to the value reported by the second counterparty multiplied by minus one, with any differences being attributable to differences in the specific valuation methodology.
3. For cleared trades, this calculation should be based on the CCP's settlement price.
4. An alternative would be to adopt the replacement cost approach for all derivative contracts, although ESMA understands that this may pose challenges for some of them.
5. In performing the above calculations, no account should be taken of any cash flows that may have been posted/received in the form of variation margin or, generally, occurred as part of a mark to market process, operated by a CCP or bilaterally.
In the Q&As ESMA formulated, moreover, the following indications as regards information on valuation to be reported to trade repositories:
1. With reference to transactions cleared by a CCP, the fields on the contract valuation should be reported on a daily basis, as maintained and valued by the CCP in accordance with Article 3 (5) of Commission Delegated Regulation (EU) No 148/2018 (RTS on reporting to TR).
This does not mean that the report should be made by the CCP. The CCP may make data available to counterparties so that the latter report. The use of CCP valuation data does not mean duplication of reporting. Those reports can instead be done for position level when such information is provided.
To the extent that counterparties of reported transactions are subject to the requirement to daily mark-to-market/mark-to-model them, changes in mark-to-market or mark-to-model valuations on already reported transactions need to be reported on a daily basis (end of day).
For contracts not cleared by a CCP the counterparties should report valuations performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.
2. It is not permissible to report zero in the field 17 of Table 1 exclusively on the grounds that there is no market risk because variation margin has been paid or received.
Any margin paid or received would be reflected in the fields 26 and 30 of Table 1 and not in this field.
3. The mark to market value (Table 1, Field 17) should be based on the End of Day settlement price of the market (or CCP) from which the prices are taken as reference. If an End of Day settlement price is not available, then the mark to market value should be based on the closing mid-price of the market concerned. Counterparties should use a mark-to-market or mark-to-model price as referred to in Article 11(2) of EMIR. For transactions cleared by a CCP, counterparties should use the CCP’s valuation in accordance with Article 3 (5) of Commission Delegated Regulation (EU) No 148/2018.
4. The mark to market value should represent the total value of the contract, rather than a daily change in the valuation of the contract.
5. The contract and all its characteristics, including valuation, should be reported by the end of the day following execution (reporting time limit).
6. Whenever a price is available for the valuation, such valuation should be considered as ‘mark-to-market’.
7. When counterparties delegate reporting, including valuations, they retain responsibility for ensuring that reports submitted on their behalf are accurate and for periodically ensuring that they are in agreement with the values submitted on their behalf.
8. Since the valuation is part of the Counterparty data, in the case of a derivative not cleared by a CCP, counterparties do not need to agree on the valuation reported.
However, in accordance with Art. 1(2) of the Commission Delegated Regulation (EU) No 148/2018 (RTS on reporting to TR) the counterparties should report valuations performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.
Notional amount reporting.
Notional amount field requires particular attention. In the EMIR reporting format it initialy existed as Field 14 Table 2 (Common data), described as: "Notional amount" and intended for the reporting of the "original value of the contract".
Under amendments made by the aforementioned Commission Delegated Regulation of 19.10.2018 and Commission Implementing Regulation of 19.10.2018, this is the Field 20 (in the same Table) named, briefly, "Notional", and to be populated with "the reference amount from which contractual payments are determined. In case of partial terminations, amortisations and in case of contracts where the notional, due to the characteristics of the contract, varies over time, it shall reflect the remaining notional after the change took place."
Article 3a of the Commission Delegated Regulation No 148/2018 added by the Commission Delegated Regulation of 19.10.2018.
1. The notional amount of a derivative contract referred to in field 20 in Table 2 of the Annex shall be specified as follows:
(a) in the case of swaps, futures and forwards traded in monetary units, the reference amount from which contractual payments are determined in derivatives markets;
(b) in the case of options, calculated using the strike price;
(c) in the case of financial contracts for difference and derivative contracts relating to commodities designated in units such as barrels or tons, the resulting amount of the quantity at the relevant price set in the contract;
(d) in the case of derivative contracts where the notional amount is calculated using the price of the underlying asset and such price is only available at the time of settlement, the end of day price of the underlying asset at the date of conclusion of the contract.
2. The initial report of a derivative contract whose notional amount varies over time shall specify the notional amount as applicable at the date of conclusion of the derivative contract.
As regards notional amount reporting there were multiple, practical ambiguities, dealt with by ESMA on an ongoing basis with the use of the Q&As documents. Many of these clarifications became incorporated into the aforementioned Commission Delegated Regulation of 19.10.2018 and Commission Implementing Regulation of 19. 10.2018.
With respect to instruments like options, contracts for difference (CFD) and commodity derivatives which are designated in units such as barrels or tons ESMA has clarified that nominal or notional amounts are the reference amount from which contractual payments are determined in derivatives markets. It can also be defined as the value of a derivative's underlying assets at the applicable price at the transaction's start (in the case of options, this is not the premium).
Another ambiguity arose when determining a notional amount with respect to contracts where prices will only be available by the time of settlement.
In such a case the notional amount should be evaluated using the price of the underlying asset at the time the calculation of the positions in OTC derivatives to be compared to the clearing thresholds is made.
With respect to contracts with a notional amount that varies in time OTC the notional amount to be considered is the one valid at the time the calculation of the positions in OTC derivatives to be compared to the clearing thresholds is made.
An ambiguity also arose as to the EMIR reporting procedure for some derivative contracts, like Contracts For Difference (CFDs), lacking specified maturity date and, at the moment of their conclusion, specified termination date.
It was observed, counterparties may at any moment decide to close the contract, with immediate effect. They can also close it partially as counterparties may terminate only a part of the volume on one day and the other part or parts of the contract on any other day.
ESMA requires each opening of such new contract to be reported by the counterparties to the trade repository as a new entry. Once the contract is closed, the counterparty should send a termination report to the initial entry, completing the field "Termination date". If the contract is closed partially, counterparties must send a modification report to the initial entry, reducing only its "Notional amount" (remaining volume is equal to the not yet terminated volume).
If there is another partial close, yet another modification report is sent – until the contract is finally closed in whole. Then, the counterparties need to send a termination report marked as ’C= Early termination’ (description applicable as from 1 November 2017), completing the field "Termination date". In these cases, the opening price of the contract is reported only in the first report (new) and it is not updated in the following modification reports.
When it comes to the OTC derivatives novations (understood in the way that for the exiting party, the existing transaction terminates, whilst for the entering party, a new transaction arises) the EMIR reporting procedure is as follows:
- for the original report relating to the existing transaction, counterparties should send a termination report marked as ‘C= Early termination’ (description applicable as from 1 November 2017) completing the field "Termination date", and.
- the remaining counterparty and the new counterparty should then send a new report relating to the new transaction.
Moreover, in the Consultation Paper of 10 November 2018 ESMA also proposed clarifying derivatives' notional in the following way:
- In the case of swaps, futures and forwards traded in monetary units, original notional shall be defined as the reference amount from which contractual payments are determined in derivatives markets;
- In the case of options, contracts for difference and commodity derivatives designated in units such as barrels or tons, original notional shall be defined as the resulting amount of the derivative's underlying assets at the applicable price at the date of conclusion of the contract;
- In the case of contracts where the notional is calculated using the price of the underlying asset and the price will only be available at the time of settlement, the original notional shall be defined by using the end of day settlement price of the underlying asset at the date of conclusion of the contract;
- In the case of contracts where the notional, due to the characteristics of the contract, varies over time, the original notional shall be the one valid on the date of conclusion of the contract.
As was said above, these propositions have been transferred into binding regulations in 2018 and the relevant ESMA's Q&As (applicable as from 1 November 2017) now say that notional amounts shall be calculated in accordance with art. 3(a) of Commission Delegated Regulation (EU) No 148/2018 (as quoted in the box).
Reporting rules for the collateral are specific when compared to general EMIR arrangements.
There was a delay of 180 days after the reporting standard start date (12 February 2018), hence it effectively began on 11 August 2018 (see ITS Article 5(5) in connection with RTS Article 3).
The second distinctive feature is it only applies to financial counterparties and non-financial counterparties above the clearing threshold (NFCs+), while non-financial counterparties below the clearing threshold are not required to report collateral (RTS Article 3(4)).
The above ESMA's Consultation Paper of 10 November 2018 suggested the following reporting specification with regard to the collateralisation of derivatives contracts:
(a) uncollateralised (U) – when the reporting counterparty to such derivative contract is not posting any collateral (neither initial margin nor variation margin) at any time;
Article 3b of the Commission Delegated Regulation No 148/2018 added by the Commission Delegated Regulation of 19.10.2018.
Article 3b Collateralisation.
1. The type of collateralisation of the derivative contract referred to in Field 21 of Table 1 of the Annex shall be identified by the reporting counterparty in accordance with paragraphs 2 to 5.
2. Where no collateral agreement exists between the counterparties or where the collateral agreement between the counterparties stipulates that the reporting counterparty does not post neither initial margin nor variation margin with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as uncollateralised;
3. Where the collateral agreement between the counterparties stipulates that the reporting counterparty only posts regularly variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as partially collateralised;
4. Where the collateral agreement between the counterparties stipulates that the reporting counterparty posts the initial margin and regularly posts variation margins and that the other counterparty either posts only variation margins or does not post any margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as one-way collateralised;
5. Where the collateral agreement between the counterparties stipulates that both counterparties post initial margin and regularly post variation margins with respect to the derivative contract, the type of collateralisation of the derivative contract shall be identified as fully collateralised.
(b) partially collateralised (PC) – when the agreement between the counterparties states that either one or both counterparties will regularly post variation margin and either they do not exchange initial margin at all or only the reporting counterparty receives initial margin;
(c) one-way collateralised (OC) – when the agreement between the counterparties states that only the reporting counterparty to such derivative contract agrees to post initial margin, regularly post variation margin or both with respect to the derivative contract;
(d) fully collateralised (FC) – when the agreement between the counterparties states that initial margin must be posted and variation margin must regularly be posted by both counterparties.
In the aforementioned ESMA's Final Report of 13 November 2018, given the margin requirement implementation, for which counterparties will have in any way to make distinction between initial and variation margin for OTC derivatives, the proposed approach of disaggregating initial and variation margin was maintained.
Moreover, given the different valuable information brought by the distinction between collateral received and posted, the approach described in the Consultation Paper was also maintained.
In the said Final Report of 13 November 2018, based on the feedbacks, and to better fit with industry practices, ESMA decided to introduce additional fields to capture excess collateral posted or received.
The above ESMA's recommendations have been incorporated into the aforementioned Commission Delegated Regulation of 19.10.2018 and Commission Implementing Regulation of 19.10.2018 (Article 3b and Table 1 Field 21).
Pursuant to these regulations the population of this field should "in dicate whether a collateral agreement between the counterparties exists" and relevant formats are exactly the same as the ESMA proposed, i. e.:
- the Initial margin posted (Table 1 Field 24),
-the Variation margin posted (Table 1 Field 26),
- the Initial margin received (Table 1 Field 28),
- the Variation margin received (Table 1 Field 30),
- the Excess collateral posted (Table 1 Field 32) and the.
- Excess collateral received (Table 1 Field 34).
In the EMIR Q&As (TR Question 3a, amended version applying as from 1 November 2017) ESMA has included the following clarifications on collateral reporting under Article 9 of EMIR:
- As specified in Article 3 of Commission Delegated Regulation (EU) No 2017/148, collateral can be reported on a portfolio basis. This means the reporting of each single executed transaction should not include all the fields related to collateral, to the extent that each single transaction is assigned to a specific portfolio and the relevant information on the portfolio is reported on a daily basis (end of day);
- The collateral should be reported at the total market value that has been posted by the Counterparty responsible for the report. Therefore any haircuts or similar used by the receiver of the collateral and any fees or similar amounts should all be ignored.
(a1) The reporting of collateral information is first split into (i) collateral posted and (ii) collateral received and secondly into (i) initial margin, (ii) variation margin and (iii) excess collateral. Therefore the relevant field should correspond to the type and currency of collateral posted or received (Table 1 Fields 24 to 35);
- There is only one collateral currency field associated with a collateral type on a report by a Counterparty. Therefore all collateral for a single portfolio collateral type should be reported in one single currency value for the corresponding collateral type. The reporting counterparty is free to decide which currency should be used as base currency as long as the base currency chosen is one of the major currencies which represents the greatest weight in the pool and is used consistently for the purpose of collateral reporting for a given portfolio;
- Non-cash collateral should be reported as its current cash equivalent as evaluated at the moment of posting/receiving the collateral;
- The collateral reported should be just the collateral that covers the exposure related to the reports made under EMIR. If it is impossible to distinguish within a pool of collateral the amount which relates to derivatives reportable under EMIR from the amount which relates to other transactions the collateral reported can be the actual collateral posted covering a wider set of transactions;
- The collateral should be reported as the total market value that has been posted or received by the counterparty responsible for the report. The fact that certain types of collateral might take a couple of days to reach the other counterparty should be ignored;
- Valuation update (V) in Field 93 of Table 2 refers to any change in fields 17 to 35 of Table 1. Therefore, changes in the amount of collateral should be reported as a (V) in Field 93 of Table 2.
TRs should apply validation rules to ensure that reporting is performed according to the EMIR regime, including the specifications of the Technical Standards.
Accordingly, reporting counterparties or submitting entities should comply with the reporting requirements specified in the ESMA's EMIR reporting validation table.
In order to be compliant with the requirements of Article 19 of the Commission Delegated Regulation (EU) 150/2018, TRs are required to reject the reports which are not submitted in line with the reporting requirements specified in the validation tables.
First level validation.
The first level validation refers to determining which fields are mandatory in all circumstances and under what conditions fields can be left blank or include the Not Available (NA) value.
The first level validation was implemented since 1 December 2018.
Second level validation.
The second level validation refers to the verification that the values reported in the fields comply in terms of content and format with the rules set out in the technical standards.
Where applicable, the logical dependencies between the fields are taken into account to determine the correct population of the fields.
The second level validations are complemented with instructions on the fields which should be populated depending on the action type.
ESMA finalised its work on the definition of level 2 validations and published the respective validation rules in April 2018.
Validation rules were subsequently updated in July and November 2018.
In order to allow sufficient lead time to implement the second level validation, ESMA expected the TRs to be able to implement the second level validation by end October 2018.
The second level validation applies to all the reports, irrespective of the action type, relating to the trades reported with Action type "New" upon this validation coming into force.
Updates to the reports of the transactions reported before the start date of the second level validations were not be subject to this validation.
On 4 July 2018 the updated version of the ESMA's EMIR reporting validation table has been published.
Validation process contributed to significant improvement of TRs' data quality.
Prior to the introduction of Level 2 validation requirement (verification of the correctness of the data) through technical standards at the end of October 2018, the level of non-compliant reporting messages was, on average, above 10%.
After the introduction of this requirement, and after an initial spike or the level of erroneous messages (which suggests that the error levels in the previous period may have been underestimated), the level of incompliant messages dropped to 6% (Commission Staff Working Document Impact Assessment, Accompanying the document Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 648/2018 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivatives contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories , 4.5.2017 SWD(2017) 148 final, p. 39).
Nevertheless, the these checks were assessed by market participants as far more onerous than their predecessors, since they required validations on the actual content of the fields to ensure they adhered to the reporting technical standards.
Third level validation.
The subsequent need to update the validation criteria has arisen in the context of the amended in October 2018 Commission Delegated Regulation (EU) No 148/2018 and Commission Implementing Regulation No 1247/2018:
- Commission Implementing Regulation (EU) 2017/105 of 19 October 2018 amending Implementing Regulation (EU) No 1247/2018 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories according to Regulation (EU) No 648/2018 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories;
- Commission Delegated Regulation (EU) 2017/104 of 19 October 2018 amending Delegated Regulation (EU) No 148/2018 supplementing Regulation (EU) No 648/2018 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards on the minimum details of the data to be reported to trade repositories.
Most important reporting changes introduced at the Level 3 validations cover:
1. As regards market identifiers at the Level 3 validation:
- the ISIN codes or the UPIs, as endorsed by ESMA, are required to be reported (moreover, for basket underliers each constituent needs to be reported with a valid ISIN),
- UTI numbers' reporting was implemented as part of Level 2 validations, but at the Level 3 further rules to identify the UTI-generating party are introduced,
- valid LEIs will need to be reported for trades effected by trade parties, brokers, beneficiaries and clearing parties;
2. rules determining whether a counterparty to the trade is a buyer or seller (buy/sell indicator) have been laid down;
3. initial and variation margins posted and received are to be reported;
4. new fields: "product identification” and “product classification” are added;
5. trades cleared by CCPs need to be terminated (action type “early termination”);
6. CCPs are expected to provide the new valuation type (CCP valuation).
(Field 2 in the Table 2 (Common data) in the wording stipulated in the Annex to the Implementing Regulation No 1247/2018 as amended by the Commission Implementing Regulation of 19.10.2018)
CO = Commodity and emission allowances.
IR = Interest Rate.
Before 1 November 2017 the rule applied (according to Article 4(3) of the Commission Implementing Regulation (EU) No 1247/2018) that in cases where a unique product identifier (UPI) did not exist and a derivative contract couldn't be identified by using the combination of ISIN or AII with the corresponding CFI code, the type of derivative contract should be identified through the Interim taxonomy.
Moreover, before 1 November 2017 the general provision of Article 4(3)(c) of ITS 1247/2018 was in force that for cases where a derivative does not fall into a specific derivative class or type, counterparties need to agree on the derivative class and type the derivative contract most closely resembles.
The above-mentioned ESMA Consultation Document of 10 November 2018 (p. 7) proposed to remove, by the ITS amendment, the "other" category from the derivative type and derivative class.
(Field 1 in the Table 2 (Common data) in the wording stipulated in the Annex to the Implementing Regulation No 1247/2018 as amended by the Commission Implementing Regulation of 19.10.2018)
CD = Financial contracts for difference.
FR = Forward rate agreements.
The aforementioned Final Report of 13 November 2018 observed, however, most respondents prefer to keep the "other" category for both asset class and derivatives type until a global UPI is endorsed.
The respondents to the consultation raised many reasons to maintain the category "other", such as:
Eu. The derivatives market is still developing and new types of contracts would at each time require an amendment of ITS or guidelines.
ii. To allow for reporting of derivatives with more than one underlying, for example currency swaps, Himalaya options, auto-callable swaps, accumulators, enhanced deposits, TRS, basket trades.
iii. There will be inconsistencies when aggregating new and old data.
Considering the feedback received, the ESMA's view expressed in the above Final Report was to keep the category "other" for the derivatives type.
However, ESMA considers that any derivative will fall under one or more of the five asset classes specified in the technical standards. In case of the derivatives comprising more than one asset class, there is already a provision in the regulatory technical standards which states that where there is an uncertainty over which asset class the contract falls into, counterparties should report using the asset class to which the contract most closely resembles. Thus, the aforementioned Final Report presented the stance that it is appropriate to remove the category "other" from the asset class.
The above decisions have been implemented in the reporting RTS and ITS applying as from 1 November 2017.
Furthermore, binding rules applicable as from 1 November 2017 for the use, for the purposes of EMIR reporting, of:
- International Securities Identification Numbers (ISIN) code,
- an Alternative Instrument Identifier (AII) code,
- Classification of Financial Instrument (CFI) code,
are laid down in Article 4 of the Implementing Regulation No 1247/2018 as amended by the Commission Implementing Regulation of 19.10.2018 (see box below).
Article 4 of the Implementing Regulation No 1247/2018 as amended by the Commission Implementing Regulation of 19.10.2018.
Specification, identification, and classification of derivatives.
1. A report shall specify a derivative on the basis of contract type and asset class in accordance with paragraphs 2 and 3.
2. The derivative shall be specified in Field 1 of Table 2 of the Annex as one of the following contract types:
(a) financial contract for difference;
(b) forward rate agreement;
3. The derivative shall be specified in Field 2 of Table 2 of the Annex as one of the following asset classes:
(a) commodities and emission allowances;
(e) interest rate.
4. Where derivatives do not fall within one of the asset classes specified in paragraph 3, the counterparties shall specify in the report the asset class most closely resembling the derivative. Both counterparties shall specify the same asset class.
5. The derivative shall be identified in Field 6 of Table 2 of the Annex using the following, where available:
(a) an ISO 6166 International Securities Identification Number (ISIN) code or an Alternative Instrument Identifier code (AII), as applicable, until the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2018 of the European Parliament and of the Council,
(b) an ISIN from the date of application of the delegated act adopted by the Commission pursuant to Article 27(3) of Regulation (EU) No 600/2018.
Where an AII code is used, the complete AII code shall be used.
6. The complete AII code referred to in paragraph 5 shall be the result of the concatenation of the following six elements:
(a) ISO 10383 Market Identifier Code (MIC) of the trading venue where the derivative is traded, specified using 4 alphanumeric characters;
(b) Code, which is assigned by the trading venue, uniquely associated with a particular underlying instrument and settlement type and other characteristics of the contract, specified using up to 12 alphanumeric characters;
(c) single character identifying whether the instrument is an option or a future, specified as "O" where it is an option and as "F" where it is a future;
(d) single character identifying whether the option is a put or a call, specified as "P" where it is a put option and as "C" where it is a call option; where the instrument has been identified as a future in accordance with point (c), it shall be specified as "F";
(e) exercise date or maturity date of a derivative contract specified in ISO 8601 YYYY-MM-DD standard;
(f) the strike price of an option, specified using up to 19 digits including up to five decimals without any leading or trailing zeros. A decimal point shall be used as the decimal separator. Negative values are not allowed. Where the instrument is a future, the strike price shall be populated with zero.
7. The derivative shall be classified in Field 4 of Table 2 of the Annex using an ISO 10692 Classification of Financial Instrument (CFI) code for products identified through an ISO 6166 ISIN code or an AII code.
8. Derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified by means of a designated code. That code shall be:
(g) available at a reasonable cost basis;
(h) subject to an appropriate governance framework.
9. Until the code referred to in paragraph 8 is endorsed by ESMA, derivatives for which an ISO 6166 ISIN code or an AII code are not available shall be classified using an ISO 10692 CFI code.
Hence, as from 1 November 2017, in the absence of a UPI taxonomy endorsed in Europe, firms will need for EMIR reporting to generate the new CFI classification using the trade attributes (approach common with the MiFID II reporting).
Nevertheles, the absence of an endorsed UPI heavily influences on the EMIR reporting in many specific areas. For example for the Underlying identification field (Table 2, Field 8) ESMA in the TR Question 28 (version applying from 1 November 2017) provided the following answers to the questions relating to the lacking endorsed UPI standard:
a) How to populate Table 2 Field 8 (Underlying identification) for a commodity derivative contract where the underlying is not an index or a basket?
In the absence of an endorsed UPI, the underlying commodity must be indicated in Section 2h in fields 65 and 66 under the commodity base and commodity details fields respectively.
The Underlying field (Table 2, Field 8) cannot be completed in this case and should be populated with an ‘NA’ valor.
b) How to populate Table 2 Field 8 (Underlying identification) for FX derivative contracts that are not based on an index or a basket? For example when the underlying is a currency (foreign exchange rate).
In the absence of an endorsed UPI, the underlying currency must be indicated under the notional currency fields 9 and 10 and populating the relevant section 2g.
The Underlying field (Table 2 Field 8) cannot be completed in this case and should be populated with an ‘NA’ valor.
c) How to populate Table 2 Field 8 (Underlying identification) for a derivative contract where the underlying is an index or a basket?
In the absence of an endorsed UPI, the underlying basket must be populated only with individual components traded on a trading venue.
Each modification of individual components of basket should be reported.
The underlying index must be populated with an ISIN code if available: otherwise the full name of the index as assigned by the index provider must be used.
When only some securities are to be delivered among a larger basket of securities (e. g. cheapest-to-deliver baskets), ‘NA’ should be reported and updated with a correct ISIN on the settlement date.
ESMA made the point that it is possible to use position level reporting as a supplement to trade level reporting provided that all of the following conditions are met:
1. The legal arrangement is such that the risk is at position level, the trade reports all relate to products that are fungible with each other and the individual trades have been replaced by the position. This could be the case, for example, between a clearing member and a CCP.
2. The original trades, i. e. at transaction level, have been correctly reported. It is not permissible to report only positions. Whenever an existing trade is to be included in a position level report in the same day, such contract is to be identified as “position component” by using the action type “P” in Table 2 Field 93. This value will be equivalent to reporting a new trade followed by an update to that report showing it as compressed. All contracts concluded on or after 12 February 2018 must be reported at the transaction level in all cases, starting 12 February 2018.
3. Other events that affect the common fields in the report of the position are separately reported.
4. The original trade reports (point 2 above) and reports relating to other events (point 3 above), where applicable, have reached a suitable “end of life state". This should be achieved by marking the original trades/event reports as compressed (i. e. putting the value 'Z’ into the Action type (Table 2 Field 93) via a modification) and then reporting the resulting net position (either as a new position or as an update to an existing position) marked as being the result of a compression (i. e. with the value ‘Y’ in the Compression field (Table 2 Field 16)).
5. The report of the position is made correctly filling in all the applicable fields in Tables 1 and 2 and by indicating “P” in Field 94 of Table 2.
The significance of the position level reporting lies in that if the above conditions are met, then subsequent updates, including valuation updates, collateral updates and other modifications and lifecycle events can be applied to the report of the position (as modifications etc., and keeping the same value of the Trade ID on the position) and not to the reports of the original trades/events.
Specific regulatory comments were made on issues of notional in position level reporting.
ESMA reminded, where a report is made at a position level, all applicable fields should be populated.
This means that all the data elements that are required in trade reports are mandatory as well in position reporting, with the exception of those that are relevant only at trade level.
Hence, the field "Notional" must always be populated also in reports made at position level.
It was also explained how to populate the field "Notional" in position level reports with respect to options and futures.
Pursuant to ESMA, notional should be calculated as follows:
For options: Notional = Quantity x Price Multiplier X Strike Price.
For futures: Notional = Quantity x Price Multiplier x Settlement Price.
The reporting of modifications to the Notional for positions should take place only if an event relevant for the position has taken place, e. g. a new trade relevant for the position has been concluded and re - ported.
It should be noted that if any field used to calculate a Notional is populated with "999999999999999,99999" (standing for "not available" in numeric fields), such value should not be used for the relevant calculations (ESMA's Q&As on EMIR, TR Question 41).
The aforementioned Commission Delegated Regulation of 19.10.2018 and Commission Implementing Regulation of 19.10.2018, added the Field 94 into the EMIR reporting format (Table 2 (Common data)).
According to the said regulations this field should indicate "whether the report is done at trade or position level. Position level report can be used only as a supplement to trade level reporting to report post-trade events and only if the individual trades in fungible products have been replaced by the position."
The values to be filled in with this field are: T = Trade and P = Position.
Maturity of the contract.
Maturity of the contract has been specifically addressed by the regulatory guidance.
Answering to the question:
"Does a counterparty need to report as a termination the fact that a contract has matured on the agreed day or could it assume that was implied by the initial report (which would include the maturity) and that termination would only need to be reported if the contract was terminated before maturity?"
"Under Article 9 of EMIR there is a duty to report the termination. However, where termination takes place in accordance with the original terms of the contract, it can be assumed that such a termination was originally reported, provided that the TR adequately identifies this termination date. Therefore, only terminations that take place at a different date should be reported."
Indeed, if the opposite approach on maturity was adopted, it would really increase the number of reports in an unjustified manner, and their value would be questionable.
The subsequent question relating to this issue was:
"The RTS on the minimum details of the data to be reported to trade repositories indicates in Field 27 of Table 2 that the Maturity date field should reflect the “original date of expiry of the reported contract. An early termination shall not be reported in this field”.
However, in certain instances the maturity date of a derivative is subject to modifications which are already foreseen in the original contract specifications (e. g. calendar trades in commodities derivatives).
Therefore, the current maturity date might be substantially different from the original maturity date as its value will reflect the updated maturity date that has been agreed in the original contract specifications.
Is the maturity date field intended to reflect the updated maturity date?"
As ESMA explained:
"The description of Field 27 of Table 2 in the RTS on the minimum details of the data to be reported to trade repositories is aimed at ensuring that early terminations of a contract are not reported in this field.
Accordingly, when an opening of a new contract occurs, the maturity date field represents the “original date of expiry of the reported contract”.
However, when the maturity date of an existing contract is subject to changes which are already foreseen in the original contract specifications, counterparties send a modification report to the initial entry, modifying the maturity date field ac-cordingly to reflect the updated maturity date."
ECC approach for backloading.
ECC Collateral Reporting.
Collateralisation between ECC and the Clearing Member is performed on a portfolio basis.
The standard collateral pool of a Clearing Member is associated with several accounts of the Clearing Member (proprietary and agency accounts as well as Non-Clearing-Members' accounts in the general omnibus). Collateral between ECC and the Clearing Member is pledged one-way.
The collateralisation between ECC and the Clearing Member and its Non-Clearing Member is not known to ECC. ECC assumes that the collateral of an individually segregated Non-Clearing Member and an individually segregated omnibus equals the amount of the segregated collateral. Collateral for general omnibus clients is reported as share of the value of the Clearing Member's standard collateral pool calculated according to the share of the client's individual margin requirement, so called 'by value segregation'.
Under general segregation the portfolio will be identified by the Clearing Member ID. Yet, for all individually segregated Non-Clearing Members and individually segregated omnibuses the portfolio will be identified the Non-Clearing Member ID.
For individually segregated NCMs and segregated omnibus clients the value of collateral will be reported. Yet, for general omnibus clients the client's share of the Clearing Member's standard pool (by value segregation) is reported.
Exchange traded derivatives, which were entered into before 16th August 2018 and were still outstanding on 12th February 2018 had to be backloaded within 90 days of the reporting start date.
Furthermore, exchange traded derivatives, which were entered into before 16th August 2018 and outstanding on that date as well as entered into on or after 16th August 2018 and that were not outstanding on or after the reporting start date must be reported to a trade repository within 3 years (note that Commission Implementing Regulation of 19.10.2018 extended this term to 5 years).
Lifecycle events for those transactions don't have to be reported.
Pursuant to ECC (European Commodity Clearing AG) circular, ECC reports all positions that were open on 16th August 2018 (ECC has chosen Regis-TR as its trade repository).
It should be noted, for derivative contracts where ECC holds all reportable information, it offers a full delegation service without further need for interaction with the customer. Yet, for transactions where ECC does not hold all reportable information, it only offers a partial delegation service.
In this context the instance is the collateralisation between ECC and the Clearing Member and its Non-Clearing Member, which is not known to ECC.
Another situation where, according to the ECC rules, trades have to be reported by the respective counterparties themselves are any previous bilateral trades that are replaced by the registered trade (including cancellation).
This is due to the fact that contracts registered for clearing are unaffected by any previous arrangements between the parties, including the question whether a trade has been previously concluded or whether said conclusion has been subject to clearing. Possibly existing OTC derivatives prior to novation are therefore not included in ECC's reporting offering.
Financial counterparties or CCPs no longer authorised, change their corporate purpose or liquidated within the backloading period.
Besides, in Q&As ESMA has presented its stance on the procedure in the case where financial counterparties and CCPs that should report their contracts within 90 days or 3 years are no longer authorised, they change their corporate purpose or even are liquidated within the backloading period ( note that Commission Implementing Regulation of 19.10.2018 replaced the term 3 years with 5 years).
Pursuant to ESMA, under the above circumstances any undertaking assuming the obligations of a liquidated or insolvent undertaking (e. g. merger by incorporation or similar) should ensure EMIR reporting of the contracts it entered into via that transfer.
The identifier (LEI) to be used should be the one of the undertaking assuming the obligations of a liquidated or insolvent undertaking.
If no undertaking is assuming the obligations of the liquidated or insolvent undertaking, the relevant derivative contracts would be reported as terminated contracts only by the counterparty of the liquidated undertaking (if subject to EMIR).
". we are working on the review of reporting to Trade Repositories building on the experience of the start of TR reporting in February 2018. We expect to submit draft technical standards to the European Commission after this summer. The revised ESMA standards should become applicable in the second half of 2018."
In this case the counterparty of the liquidated undertaking will use a BIC or client code, if the liquidated undertaking did not have an LEI.
EMIR reporting review process.
Note that the EMIR reporting review process is underway - see for more detail:
according to the Proposal for a Regulation of the European Parliament and of the Council amending Regulation (EU) No 648/2018 as regards the clearing obligation, the suspension of the clearing obligation, the reporting requirements, the risk-mitigation techniques for OTC derivatives contracts not cleared by a central counterparty, the registration and supervision of trade repositories and the requirements for trade repositories, COM(2017)208, IP/17/1150, 4 May 2017.
Derivative transactions concluded on exchanges (ETDs) reported only by the CCP on behalf of both counterparties, elimination of the ETDs' reporting requirement for all counterparties other than CCPs.
Intragroup transactions excluded from reporting, if one of the counterparties is a non-financial counterparty.
Transactions between a financial counterparty and a small non-financial counterparty reported by the financial counterparty on behalf of both counterparties.
Removal of backloading requirements, reporting on historic transactions no longer required.
. Trade repositories explicitly required to implement procedures to verify the completeness and the accuracy of the data reported to them.
Trade repositories required to establish procedures for reconciling (i. e. cross-checking and comparing) data with other trade repositories in cases where the other counterparty reported their side of the transaction to a different trade repository.
Trade repositories required to allow counterparties which delegated reporting to another entity to view the data which was reported on their behalf.
Trade repositories required to create procedures ensuring the orderly transfer of data to another trade repository following requests from customers wishing to change the trade repository to which they report their transactions.
The scope of the technical standards on reporting which ESMA can develop expanded to allow further harmonisation of reporting rules and specification of the details of the new requirements for trade repositories.
CFTC Approves Final Rule Removing Trade Option Reporting and Recordkeeping Requirements for Commercial End Users.
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On March 16, 2018, the Commodity Futures Trading Commission (" CFTC ") approved a final rule (" TO Final Rule ") 1 that amends its trade option exemption regulation by eliminating reporting and recordkeeping requirements for trade option counterparties that are not swap dealers (" SD ") or major swap participants (" MSP ").
Fundo.
Commodity options constitute " swaps " under Section 1a(47) of Commodity Exchange Act (the " CEA ") and must be in compliance with rules or regulations applicable to any other swap. However, the CFTC provides for exemption from many of such requirements if a commodity option transaction meets the following requirements (" trade option exemption "):
(a) it is offered by either an eligible contract participant (" ECP ") or a producer, processor, commercial user of, or merchant handling the commodity that is the subject of the commodity option transaction, or the products or byproducts thereof (a " commercial party ") that offers or enters into the commodity option transaction solely for purposes related to its business as such;
(b) it is offered to (and the offeror reasonably believes that it is offered to) a commercial party solely for purposes related to its business as such; e.
(c) the option is intended to be physically settled so that, if exercised, the option would result in the sale of an exempt or agriculture commodity for immediate or deferred shipment or delivery.
Commodity options that fall within the trade option exemption are generally exempt from rules and regulations otherwise applicable to swaps.
However, prior to the TO Final Rule, trade options that met the trade option exemption were still subject to reporting requirements pursuant to part 45 of CFTC regulations if at least one of the non-SD/MSP counterparties had become obligated to comply with part 45 reporting requirements in the preceding 12-month period in connection with a non-trade option swap trading activity.
If neither counterparty to a trade option had been obligated to report pursuant to part 45, each counterparty to an otherwise unreported trade option was required to submit an annual Form TO to the CFTC, providing notice that the counterparty has entered into unreported trade option(s) during the prior calendar year.
The CFTC had provided some regulatory relief to commercial participants through CFTC No-Action Letter No. 13-08, which expanded eligibility to submit Form TO in lieu of reporting commodity option transactions under part 45, if the party that would have otherwise been required to report trade options is a non-SD/MSP. The party was also required to notify the CFTC Division of Market Oversight (" DMO ") within 30 days of entering into trade options having an aggregate notional value of $1 billion during any calendar year.
Counterparties to trade options that met the trade option exemption were also subject to swap data recordkeeping requirements of part 45, as otherwise applicable to any other swap.
In an effort to ease the burden of commercial end users, in April 2018, the CFTC issued a proposal to reduce the reporting and recordkeeping requirements applicable to trade option counterparties that are non-SD/MSPs (" TO Proposal "). 2.
The Final Rule.
The TO Final Rule removes reporting requirements for non-SD/MSP trade option counterparties altogether, whether under part 45 or through Form TO. The use of Form TO has been completely eliminated. The CFTC also declined to adopt the notice requirement that was part of the TO Proposal, where non-SD/MSPs that enter into trade options that have (or is expected to have) an aggregate notional value over $1 billion in any calendar year had to notify the DMO. The CFTC stated that the data would have provided limited surveillance and oversight value that was not commensurate to market participants' difficulty in tracking and valuing trade options.
The TO Final Rule also eliminates recordkeeping requirements for trade option counterparties that are non-SD/MSPs. Here again, the TO Final Rule went further than the TO Proposal, which would have still required the non-SD/MSP counterparties to comply with applicable recordkeeping provisions of CFTC regulation §45.2. Though when transacting trade options with SD/MSPs, non-SD/MSP counterparties must obtain and provide a legal entity identifier.
The TO Final Rule also made a technical amendment to §32.3(c), deleting a reference to part 151 position limits, which has been vacated. The CFTC also stated that “federal speculative position limits should not apply to trade options” and that the matter would be addressed in the context of future position limit rulemaking.
CFTC No-Action Letter No. 13-08 is no longer applicable and was withdrawn as the TO Final Rule took effect.
1 Trade Options, 81 FR 14966 (March 21, 2018).
2 Notice of Proposed Rulemaking, 80 FR 26200 (May 7, 2018).
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