Reporting of exposures under the EMIR Regulation

Article 3 of the Commission Delegated Regulation No 148/2013 as amended by the Commission Delegated Regulation of 19.10.2016 

Version applying as from 1 November 2017

Article 3 


Reporting of exposures

1. The data on collateral required in accordance with Table 1 of the Annex shall include all posted and received collateral in accordance with fields 21 to 35 in Table 1 of the Annex.

2. Where a counterparty does not collateralise on a transaction level basis, counterparties shall report to a trade repository collateral posted and received on a portfolio basis in accordance with fields 21 to 35 in Table 1 of the Annex.

3. Where the collateral related to a contract is reported on a portfolio basis, the reporting counterparty shall report to the trade repository a code identifying the portfolio related to the reported contract in accordance with field 23 in Table 1 of the Annex.

4. Non-financial counterparties other than those referred to in Article 10 of Regulation (EU) No 648/2012 shall not be required to report collateral, mark-to-market, or mark-to-model valuations of the contracts set out in Table 1 of the Annex to this Regulation.

5. For contracts cleared by a CCP, the counterparty shall report the valuation of the contract provided by the CCP in accordance with fields 17 to 20 in Table 1 of the Annex.

6. For contracts not cleared by a CCP, the counterparty shall report, in accordance with fields 17 to 20 in Table 1 of the Annex to this Regulation, the valuation of the contract performed in accordance with the methodology defined in International Financial Reporting Standard 13 Fair Value Measurement as adopted by the Union and referred to in the Annex to Commission Regulation (EC) No 1126/2008.

"52. Current Table 1 Field 25 "Value of collateral" field currently includes the value of all collateral and is therefore populated with the sum of any initial margin and any variation margin posted as specified in the ESMA "Q&A TR Answer 3a". Considering that the exchange of both initial and variation margins are required under EMIR, initial margin and variation margin shall indeed be reported. It is nonetheless proposed to differentiate between the two since they mitigate risks of different nature; the distinction between initial and variation margin would indeed allow for better monitoring of the different risks linked to derivatives exposures. To this purpose it is proposed to replace the "value of collateral field" with two fields for the "initial margin posted" and the "variation margin posted".

53. Furthermore, discussions with prudential regulators show that information on collateral received is crucial to ensure the proper monitoring of exposures. To this purpose it is proposed to introduce two additional fields for the "initial margin received" and the "variation margin received".

54. In the context of reporting, variation margin means margins collected or paid out to reflect current exposures resulting from actual changes in market price. Initial margin means margins collected by the counterparty to cover potential future exposure to the other counterparty providing the margin in the interval between the last margin collection and the liquidation of positions following a default of the other counterparty."

ESMA's Consultation Document, Review of the technical standards on reporting under Article 9 of EMIR of 10 November 2014 (ESMA/2014/1352), p. 13

ESMA EMIR Q&As

TR Question 3a – Amended version. This version shall apply from 1 November 2017.

Article 9 of EMIR – Reporting of collateral

(a) How should information on collateral be reported to TRs?

(a1)  Is there a need to specify the type of collateral?

(a2)  should a collateral portfolio with multiple currency values be normalised to base currency or reported in multiple currency values?

(a4)  How should counterparties report the collateral amount where the collateral agreement allows the covering of exposures in transactions that are not to be reported under EMIR?

(a5) When should collateral be reported for types of collateral (such as securities) where settlement of the movement could take place after the collateral movement was initiated?

Shall change in the amount of collateral be reported as modification (M) or as valuation update (V) in Table 2 field No. 58?

(b) (a3)  How should non-cash collateral be reported?

(c) In the case where the Counterparty 2 returns part of the variation margin initially posted by the Counterparty 1, shall this margin be reported by Counterparty 1 as a reduction of the margin initially posted or shall be reported as margin received?

(d) How counterparty should report the VM amount that is not transferred, because it is below the agreed Minimum Transfer Amount (MTA)? Should it be reported as excess collateral?

TR Answer 3a

(a) As specified in Article 3 of Commission Delegated Regulation (EU) No 2017/148, collateral can be reported on a portfolio basis. This means the reporting of each single executed transaction should not include all the fields related to collateral, to the extent that each single transaction is assigned to a specific portfolio and the relevant information on the portfolio is reported on a daily basis (end of day).

The collateral should be reported at the total market value that has been posted by the Counterparty responsible for the report. Therefore any haircuts or similar used by the receiver of the collateral and any fees or similar amounts should all be ignored.
(a1) The reporting of collateral information is first split into (i) collateral posted and (ii) collateral received and secondly into (i) initial margin, (ii) variation margin and (iii) excess collateral. Therefore the relevant field should correspond to the type and currency of collateral posted or received (Table 1 Fields 24 to 35).

(a2) There is only one collateral currency field associated with a collateral type on a report by a Counterparty. Therefore all collateral for a single portfolio collateral type should be reported in one single currency value for the corresponding collateral type. The reporting counterparty is free to decide which currency should be used as base currency as long as the base currency chosen is one of the major currencies which represents the greatest weight in the pool and is used consistently for the purpose of collateral reporting for a given portfolio.

(a3) Non-cash collateral should be reported as its current cash equivalent as evaluated at the moment of posting/receiving the collateral.

(a4) The collateral reported should be just the collateral that covers the exposure related to the reports made under EMIR. If it is impossible to distinguish within a pool of collateral the amount which relates to derivatives reportable under EMIR from the amount which relates to other transactions the collateral reported can be the actual collateral posted covering a wider set of transactions.

(a5) The collateral should be reported as the total market value that has been posted or received by the counterparty responsible for the report. The fact that certain types of collateral might take a couple of days to reach the other counterparty should be ignored.

(b) Valuation update (V) in Field 93 of Table 2 refers to any change in fields 17 to 35 of Table 1. Therefore, changes in the amount of collateral should be reported as a (V) in Field 93 of Table 2.

(c) Counterparty 1 should report in this case decreased variation margin posted, rather than separate variation margin received.

(d) Excess collateral should capture only additional collateral that is posted or received sepa- rately and independently from the initial and variation margin. Therefore, any collateral posted or received under the concept of variation margin, should be reported as such, rather than as excess collateral. If the variation margin amount does not exceed the MTA and therefore it is not posted, it should not be reported as VM posted. [...]