Deutsche Börse AG TREMIR Reporting Service - Eurex Clearing

Deutsche Börse AG TREMIR Reporting Service
EMIR Article 9 Transaction Reporting
June 2013

Why use Deutsche Börse Reporting Services?
Over 17 years experience with our MiFID reporting service TRICE
Transaction reports and valuations will be generated based on comprehensive data available
from Eurex, Eurex Clearing and MarkitWire
Consistency with Central Counterparty (CCP) reporting guaranteed by using the same
reference data and reporting architecture
Full service coverage including continuous monitoring of regulatory developments
Reliable and highly secure IT infrastructure
1

Agenda
EMIR Regulation Update
Reporting obligation according to EMIR Article 9
TREMIR and TREMIR+ Offering
2

European Markets and Infrastructure Regulation (EMIR)
Timeline 1)
A: Application of TRs
B: Registration of TR (A+65
working days)
C: Reporting start date
Interest/ credit derivatives
(B+90 calendar days)
Reporting start date all
other asset classes
Reporting of trades
outstanding on 16th
August 2012 and still
outstanding at C
Reporting of trades no more
outstanding at C (within C+3
years)
Reporting of collateral and
mtm (C+180 calendar days)
Mar [ … ] Aug Sep Oct Nov Dec 2014
15.03
not before
August 2)
not before
November
1) See http://www.esma.europa.eu/page/European-Market-Infrastructure-Regulation-EMIR
2) Best estimate according to ESMA
01.01
Within 90 days
Within 3 years
May .
3

Key EMIR transaction reporting requirements
Counterparties and CCPs have to report the conclusion, modification and termination of any
derivative contract latest by T+1 to a registered trade repository
Collateral and mark-to-market (MtM) updates have to be reported daily
Reporting of MtM for cleared contracts using values provided by the CCP
Counterparties to be identified using pre-Legal Entity Identifier (LEI); registration of pre-LEI
mandatory
Counterparties need to agree on common data, e.g. unique trade identifier (UTI)
No reporting of collateral and MtM necessary for backloaded transactions
Reporting may be delegated
4

European Securities and Markets Authority (ESMA) provided
Q&A list, however some key issues are not yet being clarified
Some key issues still need to be clarified; expectation that ESMA will update the Q&A list 1) to
provide further guidance, e.g.
Clarification of reporting obligation for clearing broker and CCP within different trading
scenarios
Reporting of exchange-traded derivatives (ETD) positions vs. transaction reporting
Position reporting for backloaded transactions
Reporting of give-ups
1) http://www.esma.europa.eu/system/files/2013-685_qa_ii_on_emir_implementation_final_for_publication_20130604.pdf; last updated 6 th June 2013
5

Next steps – Clarify open topics and provide guidance to
clearing members
Deutsche Börse Group participates in major EMIR reporting working groups in order to reach
consensus within the industry and clarify open topics with ESMA
EACH – European association of CCP Clearing Houses
FOA – Futures and Options Association
Deutsche Kreditwirtschaft/BaFin – German banking association with German supervisory
authority
Eurex Clearing will inform its members via circular about its reporting approach and details of
reporting (e.g. UTI and unique product identifier (UPI) generation, reporting of life-cycle
events)
6

Agenda
EMIR Regulation Update
Reporting obligation according to EMIR Article 9
TREMIR and TREMIR+ Offering
7

Case 1a – Exchange traded Derivatives
NCM A (proprietary order) and NCM B (client order = Mr. Miller) executing on a regulated market (e.g. Eurex) with a
central counterparty (CCP)
NCM
A
CM-A
Regulated
Market
Sell
CCP
3 4
Who and how to report transactions?
Action
Type
1
NCM
B
CM-B
Cpty Buy/Sell Other Cpty Beneficiary P/A UTI Clrd MtM Col
Reporting by Non-Clearing Member (NCM)
New NCM A Buy CM-A P 1 Yes Yes Yes
New NCM B Sell CM-B Client = Mr. Miller
(to be populated pursuant
national law
Reporting by CCP
Account =
Principal
Buy
A 2 Yes Yes Yes
New CCP Sell CM-A - P 3 Yes Yes Yes
New CCP Buy CM-B - P 4 Yes Yes Yes
Reporting by Clearing Member (CM)
Account =
Agent
New CM-A Buy CCP NCM A A 3 Yes Yes Yes
New CM-A Sell NCM A - A 1 Yes Yes Yes
New CM-B Sell CCP NCM B A 4 Yes Yes Yes
New CM-B Buy NCM B - A 2 Yes Yes Yes
Cpty = Counterparty; P/A = Trading Capacity; UTI = Unique Trade ID; Clrd =Cleared; MtM = Mark to Market reporting; Col = Collateral reporting;
2
8

Case 1b – Exchange traded Derivatives
NCM A (proprietary order) and NCM B (client order = Mr. Miller) executing on a regulated market (e.g. Eurex) with a
central counterparty (CCP)
Regulated
Market
CCP
Who and how to report transactions?
Action
Type
NCM
A
CM-A
Sell
NCM
B
CM-B
Cpty Buy/Sell Other Cpty Beneficiary P/A UTI Clrd MtM Col
Reporting by Non-Clearing Member (NCM)
New NCM A Buy CCP P 1 Yes Yes Yes
New NCM B Sell CCP Client = Mr. Miller
(to be populated pursuant
national law
Reporting by CCP
Account =
Principal
Buy
Account =
Agent
1 2
A 2 Yes Yes Yes
New CCP Sell NCM-A - P 1 Yes Yes Yes
New CCP Buy NCM-B - P 2 Yes Yes Yes
Cpty = Counterparty; P/A = Trading Capacity; UTI = Unique Trade ID; Clrd =Cleared; MtM = Mark to Market reporting; Col = Collateral reporting;
Currently in
discussion at
ESMA
9

Case 2 – Exchange traded Derivatives
NCM A and Direct Cleraring Member (DCM) B (Agent Account -> Bank C)
executing on a regulated market (e.g. Eurex) with a central counterparty (CCP)
NCM
A
Regulated
Market
2 3
CM-A CCP
Who and how to report transactions?
Action
Type
1
Agent DCM
Direct
Sell
B
Market
Access
Cpty Buy/Sell Other Cpty Beneficiary P/A UTI Clrd MtM Col
Reporting by Non-Clearing Member (NCM)
New NCM A Buy CM-A P 1 Yes Yes Yes
Reporting by CCP
Account =
Principal
Buy
New CCP Sell CM-A - P 2 Yes Yes Yes
New CCP Buy DCM-B - P 3 Yes Yes Yes
Reporting by Clearing Member/DCM
Account =
New CM-A Buy CCP NCM A A 2 Yes Yes Yes
New CM-A Sell NCM A - A 1 Yes Yes Yes
New DCM-B Sell CCP Bank C
(BIC or LEI)
Cpty = Counterparty; P/A = Trading Capacity; UTI = Unique Trade ID; Clrd =Cleared; MtM = Mark to Market reporting; Col = Collateral reporting;
10
A 3 Yes Yes Yes

Case 3 – OTC Derivatives
Registered Customer (RC) A sells protection (e.g. CDS) to client B
RC A
Sell
CM-A
Trade 1
Not cleared
Trade 2 Trade 3
CCP
Client B
Buy
CM-B
Trade 4 Trade 5
11

Case 3 – OTC Derivatives
Registered Customer (RC) A sells protection (e.g. CDS) to client B
Who and how to report transactions?
Action
Type
Cpty
Reporting by RC A and by Client B (not cleared status)
Other Cpty Beneficiary
P/A UTI Clrd MtM Col
New RC A Client B - P 1 No Yes 1) Yes 1)
New Cient B RC A - P 1 No Yes 1) Yes 1)
Reporting by RC A and by Client B (cleared status)
Modify RC A Client B - P 1 Yes Yes No
New RC A CM A - P 2 Yes Yes Yes
Modify Client B RC A - P 1 Yes Yes No
New Client B CM B - P 3 Yes Yes Yes
Reporting by CCP
New CCP CM A - P 4 Yes Yes Yes
New CCP CM B - P 5 Yes Yes Yes
Reporting by Clearing Member (CM)
New CM A CCP - P 4 Yes Yes Yes
New CM A RC A - P 2 Yes Yes Yes
New CM B CCP - P 5 Yes Yes Yes
New CM B Client B - P 3 Yes Yes Yes
Cpty = Counterparty; P/A = Trading Capacity; UTI = Unique Trade ID; Clrd =Cleared; MtM = Mark to Market reporting; Col = Collateral reporting;
1) No MtM and collateral reporting in case of same-day Clearing.
12

Agenda
EMIR Regulation Update
Reporting obligation according to EMIR Article 9
TREMIR and TREMIR+ Offering
13

DBAG can report on behalf of Clearing Members and NCMs/RCs
Listed Derivatives
Reporting
NCM/RC 1) Clearer
Reporting on behalf
Subject to reporting requirements
Cleared by Eurex Clearing/ECC 1) Not cleared by Eurex Clearing/ECC
TREMIR reporting service
OTC Derivatives
Reporting
NCM/RC 1) Clearer
Reporting on behalf
TREMIR + reporting service 2)
Listed Derivatives
OTC Derivatives
Reporting Reporting
NCM/RC Clearer
Reporting on behalf
1) ECC = European Commodity Clearing AG; RC = Registered Customer
2) File feed with comprehensive transaction information needs to be provided to the TREMIR + reporting service; the file may contain the trades
which are cleared at Eurex Clearing and ECC as well, alternatively the report generation of the TREMIR service can be used
NCM
Reporting on behalf
Clearer
14

TREMIR service covers reporting of derivatives cleared at
Eurex Clearing and ECC
Generation of transaction report based on trades cleared at Eurex Clearing on-exchange,
wholesale or OTC (trades must be cleared at t+0)
File interface for enrichment of trade beneficiary and for daily feed of collateral values
Reporting of life cycle events
Daily reporting of mark-to-market
Transfer to trade repositories REGIS-TR or DTCC GTR
Reconciliation reports
Optional: reporting of back-to-back trades for clients of TREMIR customers (additional file
interface)
15

With TREMIR + customers can send reporting records from any
market
TREMIR +
Customer
Reporting
Systems
TREMIR + users
Clients of
TREMIR +
customer
XML/FPML
export via
existing
member
connections
Data
Validation
Format
validation
Completeness
checks
Reference
data checks
- LEI
- AII
- BIC
- ISIN
- CFI
Check against
Eurex CCP
reports
(optional )
Data
Enrichment
T.b.d.
e.g. CFI-code
T.b.d.
e.g. Legal
residence
Data
Mapping
Map to format
of requested
trade
repository
Transaction Report
Processor
Error reporting / status feedback
Archiving / Audit trail
Web portal (optional)
Data
Transfer
Transfer to
trade
repositories
REGIS-
TR
DTCC
GTR
16

TREMIR and TREMIR+ Timeline
Draft TREMIR service
specification
ESMA clarification of open
topics
Final TREMIR and TREMIR+
service specification
Specification and Development
phase
Internal acceptance test
Customer set-up
Customer simulation test
Reporting start date
May Jun Jul Aug Sep Oct Nov Dec
?
+30 days
17

Pricing Scheme for reporting via REGIS-TR
TREMIR ETD OTC
Transaction fee (per record) 0.02 € 0.10 €
Maintenance fee (per month) 300 € 500 €
TREMIR+ ETD and / or OTC
Transaction fee (per record) 0.01 €
Maintenance fee (per month) 800 €
The fees will be calculated and charged on a monthly basis
TREMIR and TREMIR+ customers do NOT have to conclude a separate contract with
REGIS-TR
The TREMIR and TREMIR+ fees above cover the fee for REGIS-TR
Each transaction results in one reporting record; at the end of the day one additional
record per position is required by the regulation and is charged on top
18

Next steps for interested customers
Select the service
TREMIR
On-exchange
Principal
Agent
Reporting on behalf of
TREMIR customer’s clients
► Check the need for a beneficiary feed (for agent trades)
► Check data provision for the collateral feed
TREMIR+
Select the trade repository
REGIS-TR
Wholesale
DTCC GTR (currently not available)
Principal
Agent
Reporting on behalf of
TREMIR customer’s clients
OTC
Principal
19
Reporting on behalf of
TREMIR customer’s clients

Contact
Deutsche Börse AG
Market Data + Services
Regulatory + Compliance Services
Steffi Eimer Hubert Kretschmer
Phone +49-(0) 69-2 11-1 5840 Phone +49-(0) 69-2 11-1 5164
June 2013
E-Mail Steffi.Eimer@deutsche-boerse.com E-Mail Hubert.Kretschmer@deutsche-boerse.com