CME ETR - Valuation Reporting

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:

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

CME Global Repository – Client Services
repositorysupport@cmegroup.com

Chicago +1 (312) 580 5352 | London +44 20 3379 3180 | Singapore +65 6593 5592