According to Article 9 EMIR (European Market Infrastructure Regulation), both Eurex Clearing and its Clearing Members are obliged to report transactions and positions in exchange-traded, off-book and OTC derivatives. In addition, collateral and valuation reports have to be submitted.
Since both counterparties of a derivative trade have to report and since common data must be identical, it is important that the CCP and its Clearing Members use the same methodology to populate common data fields.
With this circular, Eurex Clearing announces following changes in its reporting:
This change will be effective as of 5 June 2023.
This extension has already been technically implemented in Q1 2023 for the introduction of VBAP on 22 May 2023.
Learn now more about the Regulatory Reporting on our dedicated initiative page under the following link: Support > Regulation > Regulatory Reporting.
2. Required action
Clearing Members are asked to read the respective paragraphs of the member information highlighted above and kindly adopt their reporting accordingly.
3. Details of the initiative
Due to further guidance from ESMA Eurex Clearing is amending the population of field 17 “Value of Contract” for ETD positions (chapter 9.2.1 in member information) and for OTC derivatives novated under the settle-to-market (STM) model (paragraph 9.3 in member information). Instead of a value of zero, ECAG will populate the field with the daily change in market valuation of the ETD position, as of 5 June 2023.
Additionally, Eurex Clearing incorporated the transaction types of the new Value Based Average Pricing relevant for life cycle events (paragraph 10.1 in member information) and clarified the population of the fields Execution Time Stamp (field 25) and Clearing Time Stamp (field 36) for ETD transactions (paragraph 13.2.9 and 13.2.14 in member information). The latter is just an editorial change in the member information.
The attachment “Member Information - Reporting by Eurex Clearing according to EMIR Article 9”, version 2.9 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 2.8 are highlighted.
The updated version 2.9 has also been made available as clean version for download in the Member Section of Deutsche Börse Group under the following path:
Member Section > Resources > Eurex Clearing > Documentation & Files > Reporting Basel III_CCR, EMIR, SFTR > EMIR Reporting
This circular is for information purposes only and does not purport to define any legal requirements.
If you have any questions or require further information, please write to the ECAG regulatory team at ECAGRegulatoryReporting@eurex.com.
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
|All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors|
Middle + Backoffice
|Support > Regulation > Regulatory Reporting|