• CME ETR - Valuation Reporting

      • #
      • ETR-08-26-14
      • Notice Date
      • 26 August 2014
      • Effective Date
      • 26 August 2014
    • Following the EMIR Collateral and Valuation reporting mandate that came into force on the 12th August 2012, CME ETR has observed a common client trend which will require clients to evaluate and potentially amend their reporting process. For clients reporting valuation at the position level, ESMA defines the conditions that need to be met in order to be compliant with EMIR.

      Valuation updates submitted at position level requires that the trade records (original trade reports) reach a suitable “end of life state” followed by an additional position record submission. CME ETR would like to bring your attention to ESMA’s Q&A TR Question 17.4 which we have summarised below:
      4. The original trade reports (point 2 above) and reports relating to other events (point 3 above), where applicable, have reached a suitable “end of life state". This should be achieved by marking the original trades/event reports as compressed (i.e. putting the value 'Z’ into the Action type (Table 2 Field 58) via a modification) and then reporting the resulting net position (either as a new position or as an update to an existing position) marked as being the result of a compression (i.e. with the value ‘Y’ in the Compression field (Table 2 Field 11)).

      Source: http://www.esma.europa.eu/system/files/2014-815.pdf

      The below two day trade scenario demonstrates netting/compression of trade records to the position record using CME ETR field headers:

      Trade Scenario

      Action

      Event

      IsLifecycle

      IsPosition

      UTI

      Compression

      CounterPartySide

      Quantity

      MTM

      Trade Scenario Description

      Day 1

      New

      New Trade

      N

      N

      123

       

      B

      1000

       

      New Trade

      Day 1

      Compression

      Netting

      N

      N

      123

       

      B

      1000

       

      This will lead to report output Action Type "Z"

      Day 1

      New

      New Trade

      N

      N

      456

       

      B

      1500

       

      New Trade

      Day 1

      Compression

      Netting

      N

      N

      456

       

      B

      1500

       

      This will lead to report output Action Type "Z"

      Day 1

      Position

      Netting

      N

      Y

      ABC

      Y

      B

      2500

       

      Establish Position

      Day 1

      Valuation

      Valuation

      N

      Y

      ABC

       

      B

      2500

      3450

      Valuation update

       

       

       

       

       

       

       

       

       

       

       

      Day 2

      New

      New Trade

      N

      N

      234

       

      S

      750

       

      New Trade

      Day 2

      Compression

      Netting

      N

      N

      234

       

      S

      750

       

      This will lead to report output Action Type "Z"

      Day 2

      Amend

      Netting

      N

      Y

      ABC

      Y

      B

      1750

       

      Update Position

      Day 2

      Valuation

      Valuation

      N

      Y

      ABC

       

      B

      1750

      2450

      Valuation update

      Please contact CME ETR Client Support Team if you have any further questions.

      CME Global Repository – Client Services
      repositorysupport@cmegroup.com

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