Reporting of exposures under the EMIR Regulation

 


 

 

Reporting of exposures under EMIR has been stipulated in greater detail in:

 

- Commission Delegated Regulation (EU) No 148/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 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 (see, in particular, the wording of Article 3 in the box below),

 

- Commission Implementing Regulation No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories.

 

The above regulations initially (before the 1 November 2017) mandated "the value the total amount of collateral posted" in Table 1 Field 25 ("Value of collateral") to be populated.

 

Under the above rules this included the sum of any initial margin and any variation margin posted.

 

In the context of reporting, variation margin means margins collected or paid out to reflect current exposures resulting from actual changes in market price, in turn, initial margin means margins collected by the counterparty to cover potential future exposure to the other counterparty providing the margin in the interval between the last margin collection and the liquidation of positions following a default of the other counterparty (see here further details on initial margin and variation margin).

 

However, the ESMA's Final Report Review of the Regulatory and Implementing Technical Standards on reporting under Article 9 of EMIR of 13 November 2015 (ESMA/2015/1645) proposed to differentiate between the aforementioned two types of margin and to replace the "value of collateral" field in the EMIR derivatives' reporting format with two fields - separate for the "initial margin posted" and the "variation margin posted".

 

It was also proposed to introduce additional field for:

- the "initial margin received" and the "variation margin received", and

- excess collateral posted or received.

 

The said ESMA's Final Report of 13 November 2015 commented upon this issue as follows (p. 16):

"Given the near future "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 is maintained. Moreover given the different valuable information brought by the distinction between collateral received and posted, the approach described in the consultation paper is maintained. However, based on the feedbacks, and to better fit with industry practices, ESMA considers appropriate to introduce additional fields to capture, as suggested, excess collateral posted or received. Additional fields are thus introduced (fields 32-35 table 1)".

 

Consequently, Article 3 of the Commission Delegated Regulation No 148/2013 has been amended, in line with the above ESMA' propositions, by the Commission Delegated Regulation (EU) 2017/104 of 19 October 2016 amending Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 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 (see box).

 

 

 

Article 3 of the Commission Delegated Regulation No 148/2013 as amended by the Commission Delegated Regulation of 19.10.2016 

 

Version applying as from 1 November 2017

Article 3 


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 648/2012 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.

 

 

 

 

Commission Delegated Regulation (EU) No 148/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 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  (OJ L 52, 23.02.2013, p. 1)

 

Version applying till 1 November 2017

 

Recital 4

 

Valuation of derivative contracts is essential to allow regulators to fulfil their mandates, in particular when it comes to financial stability. The mark to market or mark to model value of a contract indicates the sign and size of the exposures related to that contract, and complements the information on the original value specified in the contract.

 

Article 3
Reporting of exposures


1. The data on collateral required under Table1 of the Annex shall include all posted collateral.

 

2. Where a counterparty does not collateralise on a trans­action level basis, counterparties shall report to a trade repository collateral posted on a portfolio basis.

 

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 of collateral posted to the other counterparty related to the reported contract.

 

4. Non-financial counterparties other than those referred to in Article 10 of Regulation (EU) No 648/2012 shall not be required to report collateral, mark to market, or mark to model valuations of the contracts referred to in Table 1 of the Annex.

 

5. For contracts cleared by a CCP, mark to market valuations shall only be provided by the CCP.

 

 

 

"52. Current Table 1 Field 25 "Value of collateral" field currently includes the value of all collateral and is therefore populated with the sum of any initial margin and any variation margin posted as specified in the ESMA "Q&A TR Answer 3a". Considering that the exchange of both initial and variation margins are required under EMIR, initial margin and variation margin shall indeed be reported. It is nonetheless proposed to differentiate between the two since they mitigate risks of different nature; the distinction between initial and variation margin would indeed allow for better monitoring of the different risks linked to derivatives exposures. To this purpose it is proposed to replace the "value of collateral field" with two fields for the "initial margin posted" and the "variation margin posted".

 

53. Furthermore, discussions with prudential regulators show that information on collateral received is crucial to ensure the proper monitoring of exposures. To this purpose it is proposed to introduce two additional fields for the "initial margin received" and the "variation margin received".

 

54. In the context of reporting, variation margin means margins collected or paid out to reflect current exposures resulting from actual changes in market price. Initial margin means margins collected by the counterparty to cover potential future exposure to the other counterparty providing the margin in the interval between the last margin collection and the liquidation of positions following a default of the other counterparty."

 

ESMA's Consultation Document, Review of the technical standards on reporting under Article 9 of EMIR of 10 November 2014 (ESMA/2014/1352), p. 13

 

 

 

 

ESMA EMIR Q&As

 

TR Question 3a – Amended version. This version shall apply from 1 November 2017.

 

Article 9 of EMIR – Reporting of collateral

 

(a) How should information on collateral be reported to TRs?

 

(a1)  Is there a need to specify the type of collateral?


(a2)  should a collateral portfolio with multiple currency values be normalised to base currency or reported in multiple currency values?


(a4)  How should counterparties report the collateral amount where the collateral agreement allows the covering of exposures in transactions that are not to be reported under EMIR?

 

(a5) When should collateral be reported for types of collateral (such as securities) where settlement of the movement could take place after the collateral movement was initiated?

 

Shall change in the amount of collateral be reported as modification (M) or as valuation update (V) in Table 2 field No. 58?

 

(b) (a3)  How should non-cash collateral be reported?

 

TR Answer 3a

 

(a) 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).

 

(a2) 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.

 

(a3) Non-cash collateral should be reported as its current cash equivalent as evaluated at the moment of posting/receiving the collateral.

 

(a4) 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.

 

(a5) 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.

 

(b) 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.

 

 

 

 

IMG 0744

    Documentation    

 

 

 

Commission Delegated Regulation (EU) No 148/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 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, Article 3

 

Commission Delegated Regulation (EU) 2017/104 of 19 October 2016 amending Delegated Regulation (EU) No 148/2013 supplementing Regulation (EU) No 648/2012 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

 

Commission Implementing Regulation No 1247/2012 of 19 December 2012 laying down implementing technical standards with regard to the format and frequency of trade reports to trade repositories

 

EMIR Q&As version of 10 July 2017, TR Answer 3a

 

ESMA's Final Report Review of the Regulatory and Implementing Technical Standards on reporting under Article 9 of EMIR of 13 November 2015, ESMA/2015/1645, p. 16

 

ESMA's Consultation Document, Review of the technical standards on reporting under Article 9 of EMIR of 10 November 2014, ESMA/2014/1352, p. 13

 

 

 

 

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EMIR derivatives reporting framework

 

 

 

 

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Last Updated on Sunday, 10 September 2017 13:56
 

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