As part of the EMIR reporting requirements that have been in effect since 12 February 2014, from 11 August 2014 EU established financial counterparties (FC), including brokers and AIFs and non-financial counterparties (NFC+s that exceed the €1bn or €3bn clearing threshold), are expected to comply with further obligations, including providing daily collateral and valuation reports of any OTC or exchange-traded derivatives trades.
The information must be reported to a trade repository following the execution of a trade and thereafter, any modifications of the value or the termination of the trade must also be reported. In practice, this means that if the value of a trade changes daily, then the relevant information must be reported daily.
For the reporting of collateral, this must refer to the total market value that has been posted by the counterparty responsible for the report, on a portfolio basis rather than on single transactions, including initial margin.
For valuation reporting, EMIR requires the notional amount of the contract cleared by a CCP to be reported, at the mark-to-market or mark-to-model value. The value is based on the end-of-day settlement price of the market (or the valuation of the CCP) from which the prices are taken as reference, or otherwise on the closing mid-price of the market concerned.
The backloading reporting requirement for trades has also been extended to collateral and valuation reporting from 11 August 2014:
- for trades entered into on or after 16 August 2012 that are outstanding on 11 August 2014, valuation and collateral arrangements must be reported by 12 August 2014;
- for trades entered into before 16 August 2012 that are outstanding on 11 August 2014, valuation and collateral information must be reported within 90 days after 11 August 2014;
- for trades which were entered into before or after 16 August 2012 and that are not outstanding on or after the 11 August 2014 shall be reported to a TR within three years of the reporting start date.
The reporting obligations can be delegated to a third party, as long as the contents of the information is agreed with the other party and conforms to the EMIR reporting requirements including timing and monitoring of the accuracy.