Table of Contents
Guidelines for reporting under EMIR (ESMA74-362-2281)1 Legislative references, abbreviations and definitions1 Scope (paras. 1-3)2 Purpose (para. 4)3 General Principles (paras. 5-403)3.1 Transition to reporting under the RTS and ITS on reporting (paras. 5-18)3.2 Determining the number of reportable derivatives (paras. 19-55)3.2.1 Reportable products (paras. 19-32)3.2.2 Reporting obligation with regards to the parties involved in the trade (paras. 33-44)3.2.3 Reportability in specific scenarios (paras. 45-55)3.3 Intragroup exemption from reporting (paras. 56-70)3.4 Allocation of responsibility for reporting (paras. 71-90)3.4.1 General clarifications (para. 71)3.4.2 FC trading with NFC (paras. 72-84)3.4.3 CCP (para. 85)3.4.4 Funds (UCITS, AIF and IORP that, in accordance with national law, does not have legal personality) (paras. 86-90)3.5 Delegation of reporting (paras. 91-97)3.6 Reporting of lifecycle events (paras. 99-129)3.6.1 Action types (paras.99-118)3.6.2 Action types and event types combinations (paras. 119-124)3.6.3 Lifecycle events and use of linking IDs (Prior UTI, PTRR ID, Subsequent position UTI) (paras. 125-129)3.7 Reporting at position level (paras. 130-152)3.8 Reporting of on-venue derivatives (paras. 153-167)3.9 Timely reporting of conclusion, modification and termination of a derivative (paras. 168-187)3.9.1 Conclusion of a derivative (paras. 169-172)3.9.2 Modification or correction of a derivative (paras. 173-176)3.9.3 Reporting of margin and valuation updates (paras. 177-180)3.9.4 Termination of a derivative (paras. 181-187)3.10 Mapping business events to action types and levels (paras. 188-191)3.11 UTI generation (paras. 192-198)3.12 Determining counterparty side (paras. 199-206)3.13 Identification of counterparties (paras. 207-222)3.14 Procedure when a counterparty undergoes a corporate action (paras. 223-239)3.15 Identification and classification of products (paras. 240-245)3.16 Identification of underlying (paras. 246-248)3.17 Price, notional and quantity fields (paras. 249-271)3.18 Reporting of valuations (paras. 272-289)3.19 Reporting of margins (paras. 290-315)3.20 Identification of the trading venue (paras. 316-325)3.21 Fields related to clearing (paras. 326-334)3.22 Fields related to confirmation (paras. 335-339)3.23 Fields related to settlement (paras. 340-342)3.24 Reporting of regular payments (paras. 343-347)3.25 Reporting of other payments (paras. 348-354)3.26 Dates and timestamps fields (paras. 355-367)3.27 Reporting of derivatives on crypto-assets (paras. 368-371)3.28 Reporting of complex products (paras. 372-379)3.29 Ensuring data quality by counterparties (paras. 380-403)4 Reporting per product type (paras. 404-482)4.1 Reporting of IRS (paras. 407-410)4.2 Reporting of swaptions (paras. 411-413)4.2.1 Swaption on a fixed-to-floating IRS (para. 414)4.3 Reporting of other IR products (paras. 415-420)4.4 Reporting of FX swaps and forwards (paras. 421-423)4.4.1 FX swaps (spot-forward and forward-forward) (paras. 424-425)4.4.2 Compression of the near leg of the FX swap (426-429)4.4.3 FX option (paras. 430-431)4.4.4 Additional considerations on the reporting of currencies (para. 432)4.5 Reporting of NDFs (para. 433)4.5.1 NDF (paras. 434-437)4.6 Reporting of CFDs (paras. 438-444)4.6.1 CFD (para. 445)4.7 Reporting of equity derivatives (paras. 446-454)4.7.1 Dividend swap (paras. 455-456)4.8 Reporting of credit derivatives (paras. 457-474)4.8.1 CDS (para. 475)4.9 Reporting of commodity derivatives (paras. 476-481)4.9.1 Electricity future (para. 482)5 EMIR Tables of fields (paras. 483-551)5.1 Table 1 Counterparty data (paras. 487-490)5.1.1 Cleared Option between FCs (ETD) (paras. 491-492)5.1.2 Cleared Option between FCs with voluntary delegation agreement (ETD) (paras. 493-495)5.1.3 Non-Cleared Option between FCs (para. 496)5.1.4 OTC Option between NFC - and FC (para. 497)5.1.5 OTC Option between NFC - and NFC + (para. 498)5.1.6 OTC Contract type which requires the population of fields 'Direction of Leg 1' and 'Direction of Leg 2' between FCs (para. 499)5.2 Table 2 Common data (paras. 500-501)5.2.1 Reporting of action types at trade and position level (paras. 502-520)5.2.2 Other reportable details (paras. 521-546)5.3 Table 3 Margin data (paras. 547-551)5.3.1 Reporting of margin update for a new uncollateralised derivative (para. 549)5.3.2 Reporting of margin for a new derivative collateralized at portfolio level (para. 550)5.3.3 Reporting of margin update at an individual transaction level for an uncleared derivative (para. 551)6 Guidelines on derivatives data management (paras. 552-687)6.1 Trade State Report (paras. 552-590)6.1.1 Introduction (paras. 552-557)6.1.2 Treatment of event date (paras. 558-565)6.1.3 Uniqueness of derivatives and special fields (paras. 566-570)6.1.4 Treatment of action type 'Revive'. (paras. 571-577)6.1.5 Reporting with action type 'EROR' and 'REVI' (paras. 578-579)6.1.6 Inclusion in the TSR of schedule information (paras. 580-585)6.1.7 Dead derivatives (paras. 586-590)6.2 Reconciliation (paras. 591-604)6.2.1 Scope of data subject to reconciliation (paras. 591-594)6.2.2 Position-level vs trade-level reconciliation (para. 595)6.2.3 Reconciliation of valuation (paras. 598-601)6.2.4 Derivatives with two legs (paras. 602-603)6.2.5 Reconciliation of schedule information (para. 604)6.3 Data Quality feedback (paras. 605-662)6.3.1 Rejection feedback (paras. 605-624)6.3.2 Warnings feedback (paras. 625-650)6.3.3 Reconciliation feedback (paras. 651-662)6.4 Data access (paras. 663-687)6.4.1 Operational aspects (paras. 663-678)6.4.2 Template form for data access (paras. 679-686)6.4.3 EMIR fields for data filtering (para. 687)
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Published date: 23 October 2023
