ECC Clearing Circular 30/2015 2015-09-04 News EMIR Trade Reporting Introduction of Level 2 Validations This document informs about the implementation of ESMA s Level 2 Validations in ECC s EMIR Art. 9 reporting. This information is relevant for members that use a proprietary reporting solution. First reporting day of Level 2 Validations is November 2 nd. Please find additional information on the following pages. Physical Settlement Financial Settlement Risk Management Information Technology Contact Clearing & Settlement Phone: +49 341 24680-444 E-mail: clearing@ecc.de
General information This document informs about the implementation of ESMA s Level 2 Validations ECC s EMIR reporting in accordance to EMIR Art. 9. ECC will start reporting according to Level 2 Validations on November 2 nd. Due to t+1 reporting this will include trade data from October 30 th. As a consequence of the new validations the population of several fields will be modified. Since common data needs to be identical between ECC and Members that use a proprietary reporting solution please find below changes in ECC s reporting methods due to the new validations. Taxonomy Regulated markets will be required to report Taxonomy I. Therefore, ECC reports Taxonomy I as of the introduction of Level 2 Validations instead of the formerly used Taxonomy E. The use of Taxonomy I approves to report several fields blank which were formerly reported by ECC to specify the energy-related products. Product ID 1 / Product ID 2 After Level 2 Validations come into force, ECC will identify the fields Product ID 1 and Product ID 2 with the ISIN code and CFI code of the respective contract. Please find the construction method of the CFI code on page 5 of this document. The ISIN Codes are published in ECC s Clearing Specifications document which can be found on the website via the following link http://www.ecc.de/ecc-en/member-section/product-specification-files. A detailed overview of the population of common data fields can be found below and is also available on the website http://www.ecc.de/ecc-en/risk-management/emir/trade-reporting Page 2 5
Reporting of Common Data Fields with Level 2 Validations Reporting Field Field Interpretation Format Taxonomy Used Product ID 1 Product ID 2 Underlying I ISIN code CFI code Futures: ISIN of Future Options: ISIN of Underlying Future Notional Currency 1 Currency of Contract ISO 4217 Currency Code Notional Currency 2 Deliverable Currency Trade ID Transaction Reference Number Trades: Unique Trade Identifier (UTI) Positions: Position UTI Trades: Transaction Reference Number Positions: 48 alphanumeric digits 52 alphanumeric digits 21 alphanumeric digits Venue of Execution MIC of Partner Exchange ISO 10383 Market Identifier Code Compression Price / Rate Trades: N Positions: Y Trades: Trade Price Positions: Settlement Price Price Notation Notional Currency 1 ISO 4217 Currency Code Notional Amount Price Multiplier Quantity Up-Front Payment Delivery Type Execution Timestamp Price/Rate * Price Multiplier * Quantity Volume of one contract Trades: traded number of contracts Positions: number of contracts in Net Position C = Cash or P = Physical Trades: Clearing Timestamp Positions: Clearing Timestamp Effective Date Execution Date ISO 8601 date format Termination Date Maturity Date Expiry Date of Contract 1 ISO 8601 date format Settlement Date Maturity Date ISO 8601 date format 1 For CEGH Natural Gas Month Futures and EEX NBP Natural Gas Month Futures, the Maturity Date and Settlement Date will be populated with the Last Delivery Date. Page 3 5
Master Agreement Type Master Agreement Version Confirmation Timestamp Trades: Clearing Timestamp Confirmation Means Clearing Obligation Cleared Clearing Timestamp Positions: Clearing Timestamp E = Electronically confirmed N = No Y = Yes Trades: Confirmation Timestamp CCP Intragroup Commodity Base Commodity Details Delivery Point or Zone Interconnection Point Load Type Delivery Start Date and Time Delivery End and Time Contract Capacity Quantity Unit Price Time Interval Quantities Option Type Option Style (Exercise) Strike Price Positions: Confirmation Timestamp ECC s LEI Y = Yes or N = No Futures: Options: C = Call or P = Put Futures: Options: E = European Futures: Options: Strike Price Page 4 5
CFI Construction Futures Future Type Underlying Asset Delivery Standardized Not used F = Future C = Commodity E = Extraction Resources for Coal, Natural Gas, Electricity, Environmental for Emission, GoOs A = Agriculture for Butter, Fertilizer, Hogs, Milk Powder, Piglets, Potatoes, Whey Powder S = Services for Freights for Dry Bulk Freight C = Cash P = Physical S = Standard X Options Option Type of Scheme Type Underlying Asset Delivery Standardized O = Option E = European C = Call P = Put T = Commodities P = Physical C = Cash S = Standardized Page 5 5