Transaction Reporting Service: EMIR. Reference Guide for validation changes release

Transcription

1 Transaction Reporting Service: EMIR Reference Guide for validation changes release ovember 2014

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3 Contents Index 1.0 Revision History Scope ESMA Validation Changes Other validation changes introduced by Unavista Trade Repository Delegated LEIs reporting 17

4 ovember Revision History Date Version Description Author 11 th ov Initial version of this document Borsa Italiana 4

5 ovember Scope This document describes the changes that will be introduced to the current EMIR Borsa Italiana Transaction Reporting Service with new version of the service. The service upgrade includes : ESMA updated validation changes adjustment Other validation changes introduced by Unavista Trade Repository Reporting via GUI for delegated LEIsand introduction of the reference data for delegated LEIs. 2.1 ESMA Validation Changes ESMA has requested all the TRs to change certain validations they are currently applying on the field that comprise a trade report. It s very basic validation on whether a field can be blank or A. Blanks signify field is not relevant for a given trade A signifies that the field is relevant but either there is: a) A legitimate reason why the field cannot be provided at the time the report is being submitted b) one of the possible values permitted apply to the specific trade Code ame Validation Can be Blank Can be A CP11 Beneficiary ID Mandatory where action type not E, V CP16 Above Clearing Can be blank if F or X for CP7 threshold Y : Above : Below can be blank for CPPs CP17 Mark to market Can be blank only for FC (i.e. if CP16 is ''). value UnaVista accepts blanks in this field where Action Type is not V Y Y (if CP16 = ) 5

6 ovember 2014 Code ame Validation Can be Blank Can be A CP18 Mark to Market Currency Can be blank only for FC (i.e. if CP16 is ''). UnaVista accepts blanks in this field where Action Type is not V CP19 Valuation Date Can be blank only for FC (i.e. if CP16 is ''). UnaVista accepts blanks in this field where Action Type is not V CP20 Valuation Time Can be blank only for FC (i.e. if CP16 is ''). UnaVista accepts blanks in this field where Action Type is not V CP21 Valuation Type Can be blank only for FC (i.e. if CP16 is ''). UnaVista accepts blanks in this field where Action Type is not V CP22 Collateral Type Can be blank only for FC (i.e. if CP16 is ''). UnaVista accepts blanks in this field where Action Type is not V CP23 Collateral Portfolio Can be blank only for FC (i.e. if CP16 is '' or if CP22 is 'U'). UnaVista accepts blanks in this field where Action Type is not V CP24 Collateral Portfolio Code Can be blank only for FC (i.e. if CP16 is '' or if CP22 is 'U'). UnaVista accepts blanks in this field where Action Type is not V CP25 Collateral Value Can be blank only for FC (i.e. if CP16 is '' or if CP22 is 'U'). CP26 Collateral Value Can be blank only for FC (i.e. if CP16 is '' or if Currency CP22 is 'U'). UnaVista accepts blanks in this field where Action Type is not V CD3 Product ID 2 Can be blank also Action Type not in (E, V) CD5 otional currency 1 Where action type not in (E,V) valid ISO Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (if CP16 = ) Y (Only for U) 6

7 ovember 2014 Code ame Validation Can be Blank Can be A 4217 currency code CD9 Transaction Mandatory where action type not in (E,V) reference number Can be 'A' if not available CD12 Price / rate Mandatory where action type not in (E,V). Where not available or not applicable use ' ' CD13 Price notation Mandatory where action type not in (E,V). Use 'A' if not applicable or not available CD14 otional Mandatory where action type not in (E,V) CD15 Price multiplier Mandatory where action type not in (E,V). Use 1 for instruments such as IRS, FX swaps and forwards CD16 Quantity Mandatory where action type not in (E,V). Use 1 for instruments such as IRS, FX swaps and forwards CD20 Effective date Enforce population where Action Type not in (E, V). Effective date is the date when obligations of the contract come into effect CD26 Confirmation timestamp Use T00:00:00Z for not available Enforce population where Action Type not in (E, V) CD27 Confirmation means CD28 Clearing obligation Must be with one of the values from the UV Guidance field Y (only if CD27 = ) Y Y T00:00:00Z X 7

8 ovember 2014 The described updated checks will not be applied by Borsa Transaction Reporting Service. In case of wrong data reported, a specific error will be received by Unavista (second validation level, *UVRes response files). Below a list of new error code introduced by UnaVista : Code Validation Check Above Clearing CP16 Above Clearing Threshold Threshold must be one of Y, if Clearing CD28 Clearing Obligation Obligation must be one of Y,, X Collateral CP24 Collateral Portfolio Code Portfolio Code if Collateral Portfolio = Y or = C Collateral Type CP22 Collateral Type if Collateral Value or Collateral Portfolio Code is Collateral Value CP25 Collateral Value if = C Collateral Value CP25 Collateral Value 0 or greater if Error Code Action Type Dependency Dependency Validation Dependencies 1076 ot E or V T [Action Type], 1124 ot E or V T [Action Type], 1217 ot E T or P or C [Action Type], [Collateral Portfolio], 1220 T or P [Action Type], [Collateral Portfolio Code], [Collateral Value], [Config TRCode], [Message Type] 1090 ot E C [Action Type], 1166 ot E T or P or C [Action Type], 8

9 ovember 2014 Code Validation Check Collateral Value CP25 Collateral Value if Collateral Value Currency is Collateral Value CP25 Collateral Value if Action Type is not E and Collateral Type is with a value other than U Collateral Value CP26 Collateral Value Currency Currency must be if Collateral Value is with a value greater than 0 Collateral Value CP26 Collateral Value Currency Currency must be an ISO 4217 currency code if Counterparty EEA Status CP14 Counterparty EEA Status Counterparty CP14 Counterparty EEA Status EEA Status one of Y, Execution CD19 Execution Timestamp Timestamp Error Code Action Type Dependency Dependency Validation Dependencies 1219 ot E T or P or C [Action Type], [Collateral Value Currency], [Message Type] 1222 T or P [Action Type], [Collateral Type], 1091 ot E T or P or C [Action Type], [Collateral Value], 1092 ot E T or P or C [Action Type], 1008 ot E or V T [Action Type],, [Reporting Jurisdiction] 1070 ot E or V T [Action Type], 1022 ot E or V T or P or L [Action Type], 9

10 ovember 2014 Code Validation Check Error Code Action Type Validation Dependencies Dependency Dependency Fund Manager ID CP27 Fund Manager ID valid BIC because Fund Manager ID Type 1153 ot E or Vo T or P or C [Action Type], [Fund Manager ID Type], [Message Type] specifies BIC Fund Manager ID CP27 Fund Manager ID valid LEI because Fund Manager ID Type 1167 ot E or Vo T or P or C [Action Type], [Fund Manager ID Type], [Message Type] specifies LEI Fund Manager ID CP27 Fund Manager ID if Fund Manager ID Type is 1168 ot E or Vo T or P or C [Action Type], [Fund Manager ID Type], [Message Type] Fund Manager ID Type CP27A Fund Manager ID Type one of L, B, I if 1154 ot E or Vo T or P or C [Action Type], Fund Manager ID Type CP27A Fund Manager ID Type if Fund Manager 1169 ot E or Vo T or P or C [Action Type], [Fund Manager ID], ID is Instrument ID CD02 Instrument ID 1010 ot E or V T [Action Type], Instrument ID CD02 Instrument ID valid format ISI because Instrument ID Taxonomy 1095 ot E or V T [Action Type], [Instrument ID Taxonomy], specifies ISI Instrument ID CD02 Instrument ID 1097 ot E or V T [Action Type], 10

11 ovember 2014 Code Validation Check one of CO, CR, CU, EQ, IR, OT, B because Instrument ID Taxonomy is E Instrument ID CD01 Instrument ID Taxonomy Taxonomy must be Instrument ID CD01 Instrument ID Taxonomy Taxonomy must be one of U, I, A, E, S, as permitted by the jurisdiction and repository Intragroup CD32 Intragroup must be where Venue ID is not XOFF or a valid MIC Master CD25 Master Agreement Agreement Version Version a valid year in the format YYYY. otional Currency 1 CD05 otional Currency 1 must be with a valid ISO 4217 currency code Other CP03 Other Counterparty ID Counterparty ID Error Code Action Type Dependency Dependency Validation Dependencies [Instrument ID Taxonomy], 1009 ot E or V T [Action Type], 1093 ot E or V T [Action Type],, [Reporting Jurisdiction] 1026 ot E or V T [Action Type],, [Reporting Jurisdiction], [Venue ID] 1225 ot E or V T [Action Type], 1157 ot E or V T or P [Action Type], 1003 V T [Action Type], [Mark to Market 11

12 ovember 2014 Code Validation Check Error Code Action Type Validation Dependencies Dependency Dependency Value], [Message Type] Other Counterparty ID Type CP03A Other Counterparty ID Type 1004 V T [Action Type], [Mark to Market Value], [Message Type] Reporting Firm Financial Status CP07 Reporting Firm Financial Status 1005 ot E or V T [Action Type],, [Reporting Jurisdiction] Reporting Firm Financial Status CP07 Reporting Firm Financial Status 1039 ot E or V T [Action Type], one of F,, X Reporting Firm CP02 Reporting Firm 1028 ID ID a valid LEI Underlying Instrument ID CD04 Underlying Instrument ID one of B, I, A because Underlying 1103 ot E or V T or P [Action Type],, [Underlying Instrument ID Type] Instrument ID Type = O Valuation Date CP19 Valuation Date if any Collateral or Valuation fields are 1080 ot E T or P or C [Action Type], [Collateral Portfolio], [Collateral Portfolio Code], [Collateral Type], [Collateral Value], [Collateral Value Currency], [Mark to Market Currency], [Mark to Market Value],, [Valuation Type] Valuation Date CP19 Valuation Date 1205 V T or P or C [Action Type], 12

13 ovember 2014 Code Validation Check Error Code Action Type Validation Dependencies Dependency Dependency because Action Type = V or [Collateral Value], [Mark to Market Value], [Message Type] = C Valuation Time CP20 Valuation Time if Mark to Market Value or 1081 ot E T or P or C [Action Type], [Collateral Value], [Mark to Market Value], [Message Type] Collateral Value are Valuation Time CP20 Valuation Time in the 1206 ot E T or P or C [Action Type], format HH:mm or HH:mm:ss if Venue ID CD10 Venue ID must be 1014 ot E or V T [Action Type],, [Reporting Jurisdiction] Venue ID CD10 Venue ID must be one of XXXX, XOFF or a valid ISO 1107 ot E or V T [Action Type], MIC Beneficiary ID CP11 Beneficiary ID 1231 ot E or V T [Action Type], if Action Type not E,V Cleared CD29 Cleared when Action Type not E,V 1239 ot E or V T or P [Action Type], Compression CD11 Compression 1233 ot E or V T [Action Type], 13

14 ovember 2014 Code Validation Check Error Code Action Type Validation Dependencies Dependency Dependency Exercise Exercise must be if Action Type not E,V Confirmation Type CD27 Confirmation Type if Action Type not 1238 ot E or V T [Action Type], E,V Effective Date CD20 Effective Date 1023 ot E or V T or P [Action Type], Maturity Date CD21 Maturity Date for Aii instruments 1230 ot E or V T or P [Action Type], [Instrument ID Taxonomy], MiFID Transaction CP9 MiFID Transaction 1232 ot E or V T [Action Type], Reference umber Reference umber must be if Action Type not E,V otional CD14 otional must be 1018 ot E or V T or P [Action Type], Other Counterparty ID CP03 Other Counterparty ID must contain an 1226 [Other Counterparty ID Type], [Reporting Firm ID] active LEI code when Other Counterparty ID Type specifies LEI Price / Rate CD12 Price / Rate 1234 ot E or V T [Action Type], 14

15 ovember 2014 Code Validation Check if Action Type not E,V Price Multiplier CD15 Price Multiplier greater than 0 Price otation CD13 Price otation if Action Type not E,V Price otation CD13 Price otation an PCT, A or an ISO 4217 currency code if Price otation CD15 Price Multiplier if Action Type not E,V Quantity CD16 Quantity must be Quantity CD16 Quantity must be greater than 0 Reporting Firm CP02 Reporting Firm ID ID must contain an active LEI code Valuation Date CP19 Valuation Date must not be a future date. Error Code Action Type Dependency Dependency Validation Dependencies 1228 T or P 1235 ot E or V T [Action Type], 1236 ot E or V T or P [Action Type], 1237 ot E or V T or P [Action Type], [Price Multiplier], 1020 ot E or V T or P [Action Type], 1229 ot C T or P [Action Type],

16 ovember Other validation changes introduced by Unavista Trade Repository The following changes will be introduced by Unavista Trade Repository together with the new validation changes release: - otional and otional Currency 1 should be mandatory for Trades: if currently not being as it is 0, then it should be reported as 0. Validation will be added to the otional and otional Currency fields to ensure that they are always. - Duplicate checking to move to Reporting Firm ID and UTI only: currently, UnaVista validates uniqueness of the UTI in combination with the Reporting Counterparty LEI and the Other Counterparty ID. This caters for situations where one counterparty is passed the same UTI for two different trades by two different counterparties. Given the low likelihood of this happening, and the complications that arise from this approach, UnaVista is to follow suit with the majority of other TRs and enforce UTI uniqueness at the Reporting Counterparty level. This will remove any confusion over what happens when the Other Counterparty ID is updated on an existing trade, as well as the implications of updating a dummy UTI and Other Counterparty ID on the same report. This change will impact any user who currently reports multiple trades with the same UTI, eg a clearing member reporting against the CCP and against their client. Those users will need to create and agree additional UTIs for one or both of these trades to ensure uniqueness of the UTI, in line with the EMIR standards and in line with other TRs. - Update to Master Agreement Version validation: currently UnaVista's validation of the Master Agreement Version field is incorrect as it is only applied when the Fund Manager ID field is. This will be corrected, such that the Master Agreement Version field will be checked at the time of loading data. The validation that will be applied is to check that where, Master Agreement Version a valid year in the format YYYY, e.g Correct error message on blank Collateral Value: to be updated from: Collateral Value must be if Action Type = 'V' and Collateral Type is to: Collateral Value if Action Type = 'V' and Collateral Type is with a value other than U. - Create validation rule to check for Valuation Date if any Collateral and Valuation fields are : currently the valuation date is not always checked and this will now be enforced for any data provided in the collateral and valuations fields. - Validation to prevent reporting of Valuations where the valuation date is in the future: valuations that are submitted with a valuation date in the future will now be rejected. 16

17 ovember Delegated LEIs reporting ew Borsa Italian Transaction Reporting GUI (2.2.1 version) allows the EMIR reporting for delegated LEIs. Transaction Reporting Client provides Borsa Italiana with its delegated firmids (LEIs), Corporate ame and Registered Office as per current process. This data will be automatically provided in Transaction Entry and Transaction Template windows by selecting the required LEI in Reporting Firm Id drop down menu. 17

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