CME European Trade Reporting Specs v2.6, ready for use in our production environment from 11 August 2014. This Technical Specification should be used by all clients making file submissions via sFTP, CME User Interface and API. Please note, CME ETR had previously distributed a draft version of these specifications for clients interested in UAT. CME ETR encourages all clients to review Technical Specification v2.6 and to implement the enclosed changes ahead of the EMIR Collateral and Valuations reporting mandate.
From 11 August 2014, the EMIR regulation requires that Financial Counterparties (FC) and Non-Financial Counterparties above the clearing threshold (NFC+) report daily collateral and valuation data relating to open trades and positions to an EMIR Trade Repository. This data relates to Counterparty Data fields 17 to 26 inclusive, which are made up of five fields of Valuation data and a further five of Collateral data.
Highlights for your review:
Two new CME ETR upload file types: Valuation and Collateral
Collateral portfolio code field needs to be a numerical value and can be up to 10 characters in length
MTM field value needs to be the absolute value of the contract
Clients should elect a single base currency for their collateral reporting when multiple currencies apply
For your guidance, you will find below:
Finalised CME ETR Technical Specification v2.6, which includes sample Collateral and Valuation field populations and a description of enclosed changes on the ‘Change Log’ tab
CME ETR's Collateral & Valuation FAQ
For any other EMIR reporting questions or concerns, please contact:
CME Global Repository – Client Services
Chicago +1 (312) 580 5352 | London +44 20 3379 3180 | Singapore +65 6593 5592
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