• CME ETR - Collateral and Valuation Reporting

      • #
      • ETR-08-26-14b
      • Notice Date
      • 26 August 2014
      • Effective Date
      • 26 August 2014
    • From 11th 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 their open trades and positions to an EMIR Trade Repository. This data relates to the Counterparty Data fields 17 to 26 inclusive, which are made up of five fields of Valuation data and a further five of Collateral data. CME ETR can assist you in understanding this obligation and in discharging your reporting requirements.

      Since collateral and valuation data is reported in fields in the Counterparty set of data, rather than the Common set of data, these values will not be included in the Inter-TR reconciliation.

      The CME ETR UAT and Production environments will be ready, starting in June 2014 (UAT), to receive collateral and valuation data from direct reporting client submissions, with solutions for trades reported under the Delegated Reporting Service from CME Group following ahead of the collateral and valuation reporting start date.

      Collateral and Valuation Reporting

      UAT Date

      Production Date

      Direct Client Reporting (CSV/UI)

      June 2014

      June 2014

      CME Group Delegated Reporting Service

      July 2014

      August 2014

      Additionally, CME ETR will provide flexible functionality for collateral reporting, allowing clients to report for each trade, position or portfolio either:

      · A single collateral value in a single (base) currency, or
      · A value for each currency, where collateral is held in multiple currencies.

      CME ETR detailed technical specification for collateral reporting will be published shortly.

      Delegated Reporting Considerations

      CME Group’s delegated reporting service for clearing members and clients of CME cleared markets will automatically include the submission of collateral and valuation data from 11th August into CME ETR.

      Where clients have delegated the responsibility for submitting their reports to CME ETR to another third party, we recommend clients confirm with that third party that their delegation agreement also includes the submission of collateral and valuation data on their behalf in order to ensure that they will be compliant from 11 August.

      Mark-to-Market vs Mark-to-Model Considerations

      ESMA requires that the primary valuation methodology which should be used is marking-to-market. Only where marking-to-market is not feasible (for example due to a market being ‘inactive’), then "reliable and prudent" marking-to-model may be used to value trades and positions. The relevant EMIR regulation (No 149/2013) also requires firms to take steps to review and document the use of an appropriate model, which may require firms to obtain appropriate internal approvals and liaise with counterparties.

      CME ETR team will publish additional advisories in the weeks leading up to the mandate implementation with additional regulatory and industry guidance to help our clients complete their reporting obligation. Please contact us with any questions.

      CME Global Repository – Client Services

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