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24 Feb 2020

Eurex Clearing

Reporting by Eurex Clearing according to Article 9 EU Regulation No. 648/2012 (EMIR): Updated Member Information, version 2.5, available

Eurex Clearing Circular 021/20

1. Introduction

According to Article 9 EMIR (European Market Infrastructure Regulation), both Eurex Clearing and its Clearing Members are obliged to report transactions in exchange-traded (“ETD”) and OTC derivatives since 12 February 2014. Since 12 August 2014, also collateral and valuation reports have to be submitted.

Since both counterparties of a derivatives trade have to report and since common data must be identical, it is important that the CCP and its Clearing Members use the same methods to populate common data fields. After consultation with the financial industry and in accordance with the regulatory framework, Eurex Clearing will amend some category 1 fields with effect from 30 March 2020 to improve matching rates.

Production start: 30 March 2020.

2. Required action

Please read through the Member Information, new version 2.5, which contains, besides some clarifications and report updates, mainly changes due to the optimisation of the reconciliation process. Please amend your reporting accordingly, if necessary.

3. Details of the initiative

The updated “Member Information – Reporting by Eurex Clearing according to EMIR Article 9”, version 2.5, is adjusted according to ESMA’s Q&A from 7 January 2020 (available on the ESMA website under this link: Q&A) and after consultation and discussion with the Financial Industry Association. Eurex Clearing is aiming to achieve better results for reconciliation by implementing these changes to the current population method. 

The go-live will take place on 30 March 2020, i.e. the reporting for 30 March 2020 will be conducted with the new logic. 

The following EMIR common data fields will be amended in our reporting logic:

For ETD (see Member Information, chapter 13.2):

  • Data field 14: Complex trade component ID 
  • Data field 25: Execution timestamp 
  • Data fields 32 and 33: Confirmation timestamp and means
  • Data field 34: Clearing obligation
  • Data field 38: Intragroup

For OTC Derivatives (see Member Information, chapter 13.3):

  • Data field 17: Price / rate 
  • Data field 18: Price notation

In addition to the above, the following updates have been made to the Member Information:

  • Editorial changes related to the numbering of reports:
     -   The source for variation margin changed from report CD010 to CD710
     -   The source for the initial margin changed from CC060 to CC760
  • Clarifications for Life Cycle Events in case of corporate action corrections (trnTyp = “133”) were added (see Member Information, chapters 10.1 and 10.2). 
  • Rules for reporting of basket Total Return Futures (see Member Information, chapter 10.2) and the UTI creation for EnLight transactions, i.e. trdTyp = “L” (see Member Information, chapter 4.1.1) were enclosed.

The updated version 2.5 of the Member Information is attached and has also been made available for download in the Member Section of the Eurex Clearing website www.eurexclearing.com under the following path: 

Member Section > Clearing Resources > EMIR Reporting

The document describes how Eurex Clearing reports derivative transactions according to EMIR in order to enable Clearing Members and other reporting participants to align the reporting. Changes to the prior version are highlighted. EMIR reporting is still subject to further guidance by ESMA. In case of changes to the proposed EMIR reporting methods, Eurex Clearing will provide updated documentation via further Eurex Clearing circulars.

This circular is for information purposes only and does not purport to define any legal requirements.

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

Attachment:

  • Member Information – Reporting by Eurex Clearing according to EMIR Article 9, version 2.5

Further information

Recipients:All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors
Target groups:Middle + Back Office, IT/System Administration
Contact:tremir@deutsche-boerse.com
Web:www.eurexclearing.com
Related circulars:Eurex Clearing circulars 111/18, 077/19
Authorised by:Heike Eckert