 ECC Clearing Circular 01/2014 | 2014-01-09
News
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
On 12th September 2013 ECC submitted its application to be recognized
as CCP under the new EMIR regulation. The expected timeline for the
implementation of all required changes is presented in Chapter A.
Furthermore, reporting according to EMIR Article 9 is mandated from 12th
February 2014. ECC would like to outline its reporting approach in Chapter B to E of this Clearing Circular.
The present document is an amended final version of the consultation
version of this circular (ECC CC 29/2013) based on the latest ESMA Q&A
and consultation feedback.
Physical
Settlement
Financial
Settlement
Risk
Management
Information
Technology
Contact
European Commodity Clearing AG
Clearing & Settlement
Phone: +49 341 24680-444
E-mail: clearing@ecc.de
ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Table of Contents
Chapter A: ECC EMIR Timeline
3
Timeline for Authorization
3
Timeline for Implementation of Process Changes
3
Chapter B: General Information for Trade Reporting
4
Who should read which part of this document?
4
What is the scope of ECC’s reporting?
4
Reporting for Exchange Traded Derivatives (ETDs)
5
Reporting for Registered Derivatives
5
Trade Reporting, Netting and Position Reporting
6
Mark-to-Market, Valuation and Collateral
6
Backloading
7
Chapter C: Information for ECC-delegated Trade Reporting
8
Scope, Prerequisites and Fees
8
Information on Counterparty Fields
9
Report Matching and Reconciliation
12
Chapter D: Information for Participants’ own Trade Reporting Implementation
13
Report Matching and Reconciliation
13
Unique Trade Identifier and Transaction Reference Number
13
Legal Entity Identifier
15
Unique Product Identifier
15
Specific Common Data Fields
16
Chapter E: Lifecycle Events
18
Trade Lifecycle Events
18
Position Lifecycle Events
18
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Chapter A: ECC EMIR Timeline
Timeline for Authorization
ECC submitted its application to be recognized as CCP under the new EMIR regulation on 12th
September 2013. According to EMIR the timeline to receive authorization is as follows.
12 September 2013
Application Submitted
12 February 2013
Start Trade
Reporting
Q2 2014
Expected granting
of authorisation
ECC expects to receive the authorization by Q2 2014.
Timeline for Implementation of Process Changes
Changes due to the new EMIR regulations are required to comply with the details of the regulation.
The majority of changes will not affect Clearing Members’ processes and procedures; yet, the following processes and procedures will require amendments:
 Segregation and Portability requirements will be implemented by using system functionalities of
the Eurex Clearing System. General Omnibus Segregation will be implemented without changes
of the respective account structure, while Omnibus and Individual Segregation requires individual collateral accounts to be set up and corresponding forms to be filled. Furthermore, the legal
framework will be amended and ECC plans to publish the proposed changes to the Clearing
Conditions by end of January 2014.
 Changes to ECC’s risk management processes and procedures have been reviewed and approved by ECC’s Risk Committee. It is planned to implement the changes until the end of Q1
2014. The impact is limited to parameter updates and therefore changes to participants processes and procedures are limited to those that either recalculate margin parameters, compare
to own risk measures or use the concrete values of the margin parameters for other purposes.
 Information regarding EMIR is available under the following link
http://www.ecc.de/en/risk-management/emir
ECC will continue to publish information and updates on this website.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Chapter B: General Information for Trade Reporting
Who should read which part of this document?
The documents is structured as follows
• General information on trade reporting of interest for all participants is contained in Chapter B.
Information on UTI (Unique Trade Identifier) and TRN (Transaction Reference Number) construction in Chapter D may also be of general interest.
• This document further describes the reporting services offered by ECC. Participants (Clearing
Members and Non-Clearing Members) interested in these services and intending to delegate
reporting to ECC are specifically referred to Chapter C, which details scope and limitations of
ECC’s offering.
• This document also allows Clearing Members to align reporting in case of a proprietary reporting
solution. Clearing Members, who choose to implement their own reporting, are specifically referred to Chapter D.
• Non-Clearing Members, who wish to implement their own reporting solution or intend to delegate reporting to their Clearing Member, should contact their Clearing Member for further guidance. Reference to this document can be made, but adherence is not mandatory. To avoid reporting mismatches details should be agreed between the Non-Clearing Member and the Clearing Member in this case.
What is the scope of ECC’s reporting?
ECC will implement trade reporting for all transactions concluded or registered on ECC-cleared
markets. ECC will use Regis-TR as Trade Repository. Other Trade Repositories are currently not
considered.
The reporting obligation depends on the regulatory status of the markets:
Market
EEX (all markets), CEGH, PXE
Powernext
HuPX
1
2
NXE
1
2
Exchange Trades
Registered Trades
ETD
OTC
No derivatives, not included in trade reporting
To be decided
According to ECC’s knowledge Powernext qualified as a Multilateral Trade Facility (MTF) at the time of writing but had
initiated the process to be recognized as regulated market. Contracts registered or traded on an MTF constitute OTC
Derivatives.
Hungarian Power Exchange (HuPX) as an organized commodities market constitutes neither a regulated market nor an
MTF under EMIR (see ESMA webpage) according to ECC’s interpretation.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
ECC is required to report all transactions between ECC and its Clearing Members on all markets
that are classified as ETD or OTC.
ECC will offer a counterparty delegation service for Clearing Members and a third party delegation
service for Non-Clearing Members for all derivative transactions that are classified as ETD or OTC,
given that the prerequisites outlined below have been met.
ECC members that are not incorporated in the European Union are advised to investigate to what
extent they have a reporting obligation according to EMIR Article 9.
Reporting for Exchange Traded Derivatives (ETDs)
An open-offer model is operational for trades concluded on all markets cleared by ECC such that
cleared transactions immediately exist upon matching. Due to the principal-to-principal model, the
Clearing Member (CM) concludes a transaction with ECC as well as, in case of Non-Clearing
Member (NCM) or client business, a back-to-back transaction with its Non-Clearing Member or
client. Thus, for any one Exchange Traded Derivatives transaction four trades/positions are reportable by the respective counterparties, implying reporting by ECC, the Clearing Member and the
Client of the Clearing Member (Non-Clearing Member or Client).
Reporting for Registered Derivatives
Generally, derivative contracts registered for clearing under the rulebook of a regulated market
serviced by ECC qualify as ETDs depending on the status of the market as maintained in the table
above. ECC will report every registered derivatives contract based on the information provided upon registration. Hence, the approach for ETDs explained above is also used for reporting of registered derivatives. Reporting of OTC Derivatives (currently only Powernext) will follow the same
reporting procedure as for ETDs.
As far as prior to trade registration, a previous bilateral trade was reportable, such trade has to be
reported by the respective counterparties themselves (including cancellation). This is due to the
fact that contracts registered for clearing are unaffected by and independent of any previous arrangements between the parties, including the question whether a trade has been previously concluded or whether said conclusion has been subject to successful trade registration/clearing. Possibly existing OTC Derivatives prior to novation are therefore not included in ECC’s reporting offering.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Trade Reporting, Netting and Position Reporting
ECC will report individual transactions and net positions. Trades will be reported in their end-of-day
status; meaning that new trades will be reported for the ultimate end-of-day counterparties. Individual lifecycle events (i.e. splits, give-ups, take-ups) will not be reported. All trades are netted during
end-of-day processing. Netting will be specifically reported as a modification of action type compression to all trade records of day t. Subsequent lifecycle events are reported for the net position
only.
As no reporting mechanism for positions has been defined by ESMA, positions have to be reported
as separate transactions with a separate Unique Trade Identifier for each position. The Position
UTI will be constructed such that it will remain unchanged over the lifecycle of the position. Thus,
after the initial reporting of a position, each position lifecycle event will be reported as a position
modification. At maturity the position will be automatically cancelled by the Trade Repository and
no specific lifecycle event will be reported. Any reported position will be marked as originating from
a compression exercise, meaning that the compression field will be filled with yes.
Mark-to-Market, Valuation and Collateral
Financial Counterparties and Non-Financial Counterparties above the Clearing Threshold (NFC+)
are required to report exposure fields (ESMA fields 17-26) under EMIR. The start of exposure reporting has been extended by 180 days. It should be noted that ECC will report exposures for positions only and not for individual transactions. Non-Financial Counterparties below the Clearing
Threshold (NFC-), which delegate reporting to ECC, may request exposure reporting by ECC with
the ECC Reporting Service Form.
According to ESMA guidance, valuations for CCP-cleared transactions are to be reported at position level on a daily basis, as maintained by the CCP. Hence, for all open positions ECC will report:
 a Valuation Update in which the price of the position is adjusted to the current end-of-day settlement price and the mark to market value is given by the variation margin,
 a Collateral Update.
Collateralization between ECC and the Clearing Member is performed on a portfolio basis and collateral between ECC and the Clearing Member is pledged one-way.
The collateralization between the Clearing Member and its Non-Clearing Member is not known to
ECC. ECC assumes that the collateral of an individually segregated Non-Clearing Member and a
segregated omnibus3 equals the amount of the segregated collateral. Collateral for other clients is
reported as share of the value of the Clearing Member’s standard collateral pool calculated according to the share of the client’s individual margin requirement. As far as these definitions do not
match actual collaterals, the collateral reporting fields have to be corrected by the Non-Clearing
Member.
3
Please note that the technical setup of segregated omnibus clients follows the Non-Clearing Member model, while
reporting delegation follows the Clearing Member agency model.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Backloading
Derivative contracts, which were outstanding on or after 16th August and are still outstanding on
12th February 2014 have to be backloaded within 90 days of the reporting start date. Furthermore,
derivative contracts, which were outstanding on or after 16th August 2012 and are not outstanding
on or after the reporting start date shall be reported to a Trade Repository within 3 years.
Transactions and lifecycle events do not have to be reported. For positions outstanding on 12th
February 2014 ECC will report the end-of-day net position of 11th February 2014. As ECC’s reporting approach involves modifying open positions, the 90 day grace period will not be used. The Position UTI for said positions will be constructed as outlined below. Derivative contracts that are no
longer outstanding will be reported in their final state without any information on valuations and
collateral.4
4
ICE ENDEX derivatives that have expired while being cleared by ECC are subject to the standard backloading proceth
dure. ICE ENDEX derivatives that were outstanding on 7 October 2013 and have been subsequently transferred to
th
ICE Clear Europe will be reported as new positions and then terminated for 7 October 2013 by ECC.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Chapter C: Information for ECC-delegated Trade Reporting
Scope, Prerequisites and Fees
EMIR does allow for reporting delegation (either as full or partial delegation5) to either one’s counterparty or a reporting third party. ECC has chosen Regis-TR as its Trade Repository, which supports delegated reporting. To use ECC-delegated trade reporting the delegating party is required to
hold a reporting participant membership at Regis-TR.
It should be noted, that the liability for complete and accurate reporting remains with the delegating
counterparty. To this end, delegating parties are referred to Regis-TR for downloading reported
data and correcting/amending data.
In case a NCM chooses to delegate reporting to ECC, but its CM does not delegate reporting to
ECC, or vice-versa it should be noted that ECC will only report according to this specification which
may change from time to time and will not attempt to match the counterparty’s reporting, nor resolve any mismatches to the counterparty’s reporting.
ECC will offer the following reporting services for trades/positions according to EMIR Article 9.
Reporting Entity
Account/
Leg to report
Clearing Member
Non-Clearing Member
Proprietary
Agency
NCM
Proprietary
Agency
Accounts
Accounts
Accounts
Accounts
Accounts
Full
Full
Full
Delegation
Delegation
Delegation
n/a
n/a
CM – CCP
CM – Client
n/a
Client – Indirect Client
n/a
No
Full
Full/Partial
Delegation
Delegation
Delegation
n/a
n/a
n/a
6
Full/Partial
Delegation
6
No
Delegation
In case of delegation of Clearing Member – Non-Clearing Member trades/positions, ECC strongly
suggests that both the Clearing Member and the Non-Clearing Member jointly delegate reporting
for these legs of the transaction to ECC, due to the complexity of the reporting obligation and the
required matching between counterparties.7
For agency or omnibus account trades/positions, ECC does not know the ultimate beneficiary of
the trade/position. Any transaction between the ECC member offering agency trading and its client
5
6
7
For derivative contracts where ECC holds all reportable information, it offers a full delegation service without further
need for interaction with the customer. Yet, for transactions where ECC does not hold all reportable information, it can
only offer a partial delegation service based on the information provided by the customer.
A full delegation reporting from the perspective of the NCM is possible, if the information provided by the NCM is valid
and if the NCM considers ECC’s default values proposed under the section “Information on Counterparty Fields” correct.
NCMs, which are not offered a reporting service by their CM, and whose CMs is not delegating to ECC are asked to
contact ECC.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
may also constitute a reportable derivatives transaction under EMIR, but is beyond the scope of
ECC’s reporting service. It must be separately reported by the ECC member and the member’s
client.
Reporting participants choosing delegated reporting from ECC need to register with Regis-TR and
will be subject to the Regis-TR fee schedule and will be directly invoiced by Regis-TR.
Further information on the Regis-TR offering can be found on the Regis-TR website
(http://www.regis-tr.com/index.php/faq).
ECC Members can separately delegate the following reporting requirements to ECC:



Trade Reporting,
Position Reporting,
Backloading.
ECC will charge EUR 200 per month for its delegated reporting service. It is independent of the
number of transaction and positions reported for the member. The Trade Reporting Service Form
and General Terms and Conditions are currently drafted and will be available upon request in due
course.
Delegation Setup
Full Delegation
In a full delegation setup ECC reports the Unique Trade Identifier / Position Unique Trade Identifier,
all counterparty and all common data fields.
Partial Delegation
In a partial delegation setup ECC reports the Unique Trade Identifier / Position Unique Trade Identifier, all common data fields and identifies the respective counterparties through the Legal Entity
Identifier. The remaining counterparty fields will be reported based on the information provided by
the member and ECC’s default values. As said information may require amendments in the trade
repository, the delegation is referred to as partial.
Information on Counterparty Fields
The following table summarizes how ECC intends to report specific counterparty fields for proprietary and agency derivative contracts concluded by Non-Clearing Members and Clearing Members.
While “Trade Type” identifies whether the trade is a Clearing Member trade or a trade involving a
Non-Clearing Member, “Report of _ to _” identifies the reporting party with regards to the transaction and its respective counterparty. Both fields are just used to make the tables more accessible.
Reporting fields where full/partial delegation is possible are marked in dark blue.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Reporting Field
Proprietary and Agency Accounts
Trade Type
Clearing Member
CCP-
CCP-
Report of _ to _
CM-
CM-CCP
CM
Counterparty ID
Non-Clearing Member
CM-CCP
CM
NCM-CM
NCM
ECC
CM
ECC
CM
CM
NCM
CM
ECC
CM
ECC
NCM
CM
ID of the other
Counterparty
Unique
Trade
UTI 1
UTI 1
UTI 2
Identifier
Transaction
RefTRN 1
TRN 1
erence No.
As stated in the ECC
FC or NFC
“F”
“F”
“F”
“F”
“F”
Trade Reporting
Service Form.
Clearing Member
CM
CM
CM
CM
CM
CM
Beneficiary ID
ECC
CM
ECC
CM
CM
NCM
“P”
“P”
“P”
“P”
“P”
“P”
Trading Capacity
Financial CPs:
““
Commercial Activity
“ ”8
““
“”
““
““
Non-Financial CPs:
“Y” or per Eurex Account as stated in ECC
Trade Reporting
Service Form
Financial CPs:
““
Clearing Thresh-
“”
““
“”
““
““
Collateralization
“U”
“FC”
“U”
“FC”
“U”
“FC”
Collateral Portfolio
“N”
“Y”
“N”
“Y”
“N”
“Y“
old
General
Omnibus
General
Segregation:
Segregation:
Clearing Member ID
Collateral Portfolio
Code
““
Clearing
Non-Financial CPs:
As stated in ECC
Trade Reporting
Service Form
““
Omnibus
Clearing Member ID
““
Member ID
Individual Segrega-
Individual Segregation:
tion:
NCM ID
NCM ID
8
Please note that “” generally identifies reporting fields that are left empty by ECC.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Value of Collateral
“”
Proprietary
General
Omnibus
Accounts:
Segregation:
General Omnibus Seg-
Value of Collateral
Value of
regation:
Pool for Proprietary
By-Value Segrega-
Margin for NCM Propri-
Trading
tion of CM Standard
etary Accounts (PP)
Pool
Margin for NCM Agency
“”
Agency Accounts:
““
Account
Value of
(Individual A Account
By-Value Segrega-
e.g. A1)
tion of CM Standard
Individual Segrega-
Individual Segregation:
Pool
tion:
Value of NCM Collateral
Value
of
NCM
Pool
Collateral Pool
The following table summarizes how ECC intends to report specific counterparty fields for derivative contracts concluded by Clearing Members and kept segregated in an individual omnibus account. It should be noted that segregated omnibus accounts will be maintained as technical NCMs
within ECC’s clearing system, meaning that any derivative concluded under the technical NCM ID
is mapped to the CM for reporting purposes.
Reporting Field
Proprietary Account
Segregated Omnibus Account =
Trade Type
Individually Segregated (IS) Technical NCM ID
Report of _ to _
CCP-CM
CM-CCP
Counterparty ID
ECC
CM
ID of the other Counterparty
CM
ECC
Unique Trade Identifier
UTI 1
Transaction Reference No.
TRN 1
FC or NFC
“F”
“F”
Clearing Member
CM
CM
Beneficiary ID
ECC
CM
Trading Capacity
“P”
“P”
Commercial Activity
““
““
Clearing Threshold
““
““
Collateralization
“U”
“FC”
Collateral Portfolio
“N”
“Y”
Collateral Portfolio Code
““
Omnibus Segregation:
IS Technical NCM ID
Value of Collateral
““
Omnibus Segregation:
Value of IS Technical NCM Collateral Pool
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CM-NCM
NCM-CM
NOT EXISTENT
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
ECC will identify itself and its members through preliminary Legal Entity Identifiers, meaning that
certain counterparty fields like Corporate Sector do not need to be filled.
As maintained in the above tables, ECC will report based on the information provided by the member upon registration for ECC’s reporting service and specific default values, where it does not
possess all reportable information. Should the default values be incorrect or the information provided be no longer valid, the reporting participant is required to correct said reporting values using its
full reporting membership at Regis-TR. EMIR mandates that said correction of data is required, as
the reporting liability remains with the delegating counterparty.
Report Matching and Reconciliation
ECC currently understands that only common data fields and counterparty ID fields are reconciled
both within and across trade repositories. In case of ECC-delegated reporting the potential for
mismatches is minimized (unless CM and NCM do not both delegate to ECC). As reconciliation will
not be required, Regis-TR will assign status “NNEC” (not necessary) upon report submission.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Chapter D: Information for Participants’ own Trade Reporting Implementation
Report Matching and Reconciliation
Only common data fields and counterparty ID fields are reconciled both within and across trade
repositories. In case of proprietary reporting by Clearing Members, ECC, as owner of the master
copy of the data, will require its Clearing Members to match ECC’s reporting. Matching between
Clearing Member and Non-Clearing Member reporting is beyond the scope of ECC’s services unless jointly delegated to ECC. The following sections provide detailed information on the constructions of the reporting identifiers and specific fields in order to allow you to align reporting fields.
Unique Trade Identifier and Transaction Reference Number
Unique Trade Identifiers (UTI) and Position Unique Trade Identifiers (Position UTI) will be constructed by combining fields from the end-of-day “CB010 Position Detail” report in order to enable
members to reconstruct ECC’s UTI and Position UTI. Additionally, the Order ID required for the
Unique Trade Identifier (UTI) is to be taken from the end-of-day “TC810 Daily Trade Confirmation”
report. Furthermore, the Transaction Reference Number (TRN) will also be constructed by combining fields from the “CB010 Position Detail” report. All end-of-day reports are available to Clearing
and Non-Clearing Members via the Common Report Engine. Additionally, the required fields for
UTI construction can be obtained via the FIXML interface of the Eurex system. A list of the FIXML
tags is available on demand. To ensure uniqueness UTIs and Position UTIs will not be reused.
Furthermore, ECC aims to add the UTI/Position UTI to both the “CB010 Position Detail” report and
the FIXML interface in in the future. Clearing Members with a proprietary reporting solution are expected to provide the Non-Clearing Members/Clients with ECC´s Transaction Reference Number.
Unique Trade Identifier
UTI Component
ECC MIC
Code
Le
ng
th
10
Format
Report
Field Mapping
000XECC000
If trdTyp = “ ” Then “E”
UTI Type Indicator
1
E = ECC ETD Trades
W = Wholesale Trades
If trdTyp in
CB010
(“A”,”B”,”E”,”F”,”N”,”O”,”P”,”V”,“W”)
Then “W”
Trade Date
8
YYYYMMDD
CB010
origTrnDat
CB010
prodId
CB010
trnIdNo
4 Alphanumeric CharProduct ID
4
acters
If Length(prodId)<4, fill
with trailing spaces.
Transaction ID
Number
9
Alphanumeric
(“000”&trnIdNo)
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Numeric
Transaction ID
5
Suffix Number
If
Length(trnIdSfxNo)<5,
CB010
trnIdSfxNo
fill with leading 0s.
Alphanumeric, filled
Order ID
9
ordrNo
with nine “0” characters
TC810
with nine “0” characters.)
if no Order ID is given
Buy Code
9
1
Clearing Leg
1
Indicator
Alphanumeric
CB010
( B=Buy, S=Sell)
(If there is no OrderID, the field will be filled
buyCod
C = CCP / CM Trade
T = CM / NCM Trade
Unique Trade Identifier Example:
000XECC000E20131029F1BM000123ABC00001A1B2C3D4EBC
Transaction Reference Number
TRN Component
Trade Date
Len
gth
8
Format
YYYYMMDD
CB010 Field Mapping
origTrnDat
4 Alphanumeric Characters
Product ID
4
If Length(prodId)<4, fill with trail-
prodId
ing spaces.
Transaction ID
Number
9
Alphanumeric
(“000”&trnIdNo)
trnIdNo
Transaction Reference Number Example:
20131029F1BM000123ABC
Position Unique Trade Identifier
UTI Component
Len
gth
Format
CB010 Field Mapping
ECC MIC Code
10
000XECC000
UTI Type Indicator
1
P =Position
Member ID
5
5 Alphabetic Characters
membExchIdCod
Account Type
20
2 Alphanumeric Characters
acctTypGrp
4 Alphanumeric Characters
Product ID
4
If Length(prodId)<4, fill with trail-
prodId
ing spaces.
1
9
F = Future
If cntrClasCod = “ ”
Buy/Sell code from the perspective of the Clearing Member versus ECC.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Contract Class Code
C = Call
Then “F” Else
P = Put
cntrClasCod
Contract Expiration
4
YYMM
Version Number
1
“0”
Right(cntrExpYrDat;2) =YY
cntrExpMthDat = MM
n.a. for ECC futures/options and
not contained in CB010.
For options
6 digits, filled up with leading “0”
Strike Price
6
if less than 6 digits
cntrExerPrc
For futures
“000000”
Clearing Leg
0/1
Indicator
“” = CCP / CM Position
T = CM / NCM Position
Position Unique Trade Identifier Example:
000XECC000PABCEXP1000000000000000000O1BMP14100049000T
Position Transaction Reference Number
A Transaction Reference Number is not required for the reporting of positions and the TRN field will
be left blank.
Legal Entity Identifier
ECC has received a General Entity Identifier (GEI) as interim Legal Entity Identifier (LEI) from the
German Local Operating Unit and will identify itself with the GEI in any reporting. ECC’s General
Entity Identifier is:
529900M6JY6PUZ9NTA71
Furthermore, ECC will request all its Clearing Members and Non-Clearing Members to provide an
(interim) Legal Entity Identifier.
Unique Product Identifier
ECC will use taxonomy “E” to identify ECC-cleared products. Please note that ECC expects further
guidance on Unique Product Identifier taxonomy “U” to be published by ESMA. The table in the
Specific Common Data Fields section summarizes how ECC intends to report the relevant fields for
product identification.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Specific Common Data Fields
The below table contains the common data reporting fields and how ECC intends to report these
fields.
Reporting Field
Field Interpretation
Taxonomy Used
“E”
Product ID 1
“CO”
Futures: “FU”
Product ID 2
Options: “OP”
Futures: ISIN of Future10
Underlying
Options: ISIN of Underlying Futures
Notional Currency 1
ISO 4217 Currency Code of Contract
Notional Currency 2
““
Deliverable Currency
““
Trade ID
Unique Trade Identifier
Transaction Reference Num-
Trades: Transaction Reference Number
ber
Positions: “ “
Venue of Execution
MIC of Partner Exchange
Compression
Trades: “ “
Positions: “Y”
Trades: Trade Price
Price / Rate
Positions: Settlement Price
Price Notation
= Notional Currency 1
Notional Amount
Price/Rate * Price Multiplier * Quantity
Price Multiplier
Volume of Contract (in MWh, tons, therms, 1000 EUAs, 1000 GoOs)
Trades: Lots in Trade
Quantity
Positions: Absolute Value of Net Position
Up-Front Payment
““
Delivery Type
“C” = Cash or “P” = Physical
Execution Timestamp11
UTC Time Format (YYYY-MM-DDTHH:MM:SS±HH:MM)
Clearing Timestamp = Matching Timestamp
Effective Date
““
Expiry Date of Contract, for CEGH Natural Gas Month Futures and EEX NBP Natural Gas
Maturity Date
Month Futures the Maturity Date and Settlement Date will be reported as the Last Delivery
Date.
10
11
Termination Date
““
Settlement Date
= Maturity Date
ECC is expecting further guidance from ESMA concerning the Underlying, meaning that the above specification may
be subject to change.
For markets where an open offer model is operational ESMA expects the Execution Timestamp and Clearing
Timestamp to be identical.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Master Agreement Type
““
Master Agreement Version
““
Confirmation Timestamp
““
Confirmation Means
““
Clearing Obligation
“N” = No
Cleared
“Y” = Yes
Trades:
UTC Time Format (YYYY-MM-DDTHH:MM:SS±HH:MM)
Clearing Timestamp = Matching Timestamp
Clearing Timestamp
Positions:
UTC Time Format (YYYY-MM-DDTHH:MM:SS±HH:MM)
Date + 22:59:00±01:00 (Standard Time)
Date + 21:59:00±02:00 (Daylight Saving Time)
CCP
ECC preliminary LEI
Intragroup
“Y” = Yes / “N”=No
“EN” = Energy for Electricity, Gas and Coal
Commodity Base
“EV” = Environmental for Emissions and GoOs
“NG” = Natural Gas
“CO” = Coal
Commodity Details
“EL” = Electricity
“EM” = Emissions and GoOs
Delivery Point or Zone
EIC of TSO Zone or EIC of Virtual Trading Point
Interconnection Point
““
Load Type
“Base Load”, “Peak Load”, “Off-Peak” depending on Load of Contract
UTC Time Format (YYYY-MM-DDTHH:MM:SS±HH:MM)
Delivery Start Date and Time
Delivery Start of Contract
UTC Time Format (YYYY-MM-DDTHH:MM:SS±HH:MM)
Delivery End and Time
Delivery End of Contract,
e.g. End of Power Delivery = Day-1T23:59:59
Contract Capacity
= Price Multiplier
Quantity Unit
= Contract Capacity divided by the Number of Delivery Days
Price Time Interval Quantities
““
Option Type
Futures: “ ”
Options: “C” = Call / “P” = Put
Futures: “ “
Option Style (Exercise)
Options: “E” = European
Futures: “ “
Strike Price
Options: Strike Price with Format 9999,99999
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
Chapter E: Lifecycle Events
Trade Lifecycle Events
Lifecycle Event
Account Transfer
Action(s)
n/a
Comment
Account type does not constitute an EMIR reporting field and
trades do not need to be associated with a specific account.
ESMA guidance maintains that give-ups do not need to be report-
Give-up / Take-up
New
ed as specific lifecycle events. Any respective take-up will be reported as a new trade for the counterparty taking the transaction.
Historical Trade Transfer
Cancel
A HiTT is possible up to two days after execution. The original
New
trade will be cancelled and a new trade reported.
Netting (end-of-day) will be identified by modifying the original
Netting
Modify
New Trade
New
Open Close Adjustments
n/a
trade record. The Action Type (table 2 field 58) of the modification
will be informed as “Z” as it constitutes a compression.
Open/close adjustments are not relevant for EMIR reporting, because they do not alter the trade quantity.
If the trade reversal is a direct deletion of the trade in the ex-
Trade Reversal
Cancel
change system it will be reported as a cancellation. Yet, if the
trade is reversed through an equivalent trade with different sign,
both trades will be reported as new trades.
ESMA guidance maintains that transaction should be reported in
their end-of-day state. Hence, the original trade that is separated
Trade Separation
New
has not been previously reported and the transactions resulting
from the separation are reported as new trades with separate
UTIs.
Position Lifecycle Events
Lifecycle Event
Action(s)
Comment
As positions will be reported per account, transfers across ac-
Account Transfer
New
counts will be reflected as a position modification on the originating
Modify
account and as either the initiation of a new or modification to an
existing position on the designated account.
The futures contract has expired and the booking of the underlying
Allocation
n/a
constitutes a spot market transaction not relevant for EMIR reporting.
For ECC’s European-styled options exercise and expiry occur on
Assignment / Exercise
New
Modify
the same day. The adjustment on the option position is thus covered by the expiry and does not have to be separately reported.
The assignment of the underlying is either reported as a new or a
modified position in the underlying.
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ECC Clearing Circular 01/2014 | 2014-01-09
ECC Reporting according to EMIR Article 9 and ECC EMIR Status
The futures contract has expired and is replaced by constituting
futures of shorter delivery period. The position adjustment of the
Cascade
New
cascading future is thus covered by the expiry and does not have
Modify
to be separately reported. The positions in the constituting futures
of shorter delivery period are either reported as new or modified
positions in said futures.
Collateral is calculated and pledged per portfolio such that any
Collateral
Update
position is associated with a collateral portfolio. Collateral is thus
reported with the initial position report and continuously modified
through collateral updates.
Contract expiry does not have to be separately reported, as expiry
information has been reported with the contract details in the initial
Expiry / Termination
n/a
Modify
position report.
Where a customer has either closed or flattened a position (termination), the position will be reported with a zero quantity rather
than cancelled, in order to carry the Unique Position Identifier
through the position lifecycle.
Positions are marked to market based on the daily settlement
Mark to Market
Update
prices. Mark to market is thus continuously reported through valuation updates. The Variation Margin constitutes the daily mark to
market valuation.
As positions will be reported per exchange member and account,
Position Transfer
New
Modify
position transfers will be reflected as a position modification on the
originating member’s account and as either the initiation of a new
or modification to an existing position on the designated member’s
account.
To reopen or close out a certain number of contracts does not alter
Reopen / Close-out
n/a
the net position and does thus not constitute a reportable position
lifecycle event.
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