Rules of reporting by IRGiT to the repository of KDPW S.A.

Transcription

1 Attachment No 1 to the Resolution No. 187/72/10/2015 adopted by the Management Board of Warsaw Commodity Clearing House dated on the day of October the 5 th 2015 Rules of reporting by IRGiT to the repository of KDPW S.A.

2 1. The reporting obligation The Regulation (EU) No 648/2012 of the European Parliament and of the Council (referred to as the Regulation hereinafter) on OTC derivatives, central counterparties and trade repositories (EMIR) burdens the central counterparties (CCP) clearing houses and counterparties being a party of trading in derivatives not only in an organized trading system (ETD), but in OTC trading system as well with specified reporting obligations. The obligation of reporting all classes of derivatives came into being on the day of February the 12 th Delegating the obligation to report information regarding transactions 2.1. Izba Rozliczeniowa Giełd Towarowych S.A. (IRGIT) provides the service of reporting information about transactions, the financial instrument being quoted on the Polish Power Exchange (POLPX) are subject of which, pursuant to the Regulations of Trading on the Financial Instruments Market (FIM); the information is reported to the Transactions Repository being run by the Krajowy Depozyt Papierów Wartościowych S.A. (National Depository of Securities Joint Stock Company) (referred to as the Repository hereinafter) At present IRGIT does not have the CCP status (in meaning of EMIR), but for purpose of reporting to the Repository it acts within the CCP scheme The reporting obligation is delegated on the grounds of a written statement according to appropriate order of Clearing Participants as well as their clients, through the agency of the Clearing Participant. The fore-mentioned entities are obliged to submit the statements, prepared according to the model specified by IRGIT. In the statement the entities may indicate IRGIT as an entity that will submit the reports to the Repository, if such obligation to submit the reports to the repository results from relevant law regulations. The statement model has been presented on IRGIT web site ( In order to avoid reporting transactions twice, the delegation of obligation to report information about transactions to IRGIT shall be assure, that the entity delegating the reporting obligation to IRGIT shall not report the transactions to the transaction Repository in its own All the fees reckoned by the Repository and regarding LEI codes of the Clearing Participants and their clients shall be re-invoiced to the Clearing Participants. The re-invoice shall be issued in breakdown into LEI codes of the entities, the fees concern which IRGIT sends the transaction reports to the Repository on the working day following the day of concluding given transaction Access to the information, being passed by IRGIT within the framework of the reporting agency service, shall be possible through access to the TR system of KDPW, only the Repository Participants have access to which. Information pieces regarding terms of participation in the Transaction Repository run by KDPW have been presented on web site with the following address

3 3. LEI Codes 3.1. Legal Entity Identifier (LEI) is a unique number identifying entities, which are parties of transactions being entered into on financial markets In accordance with provisions of the regulations delegated on the grounds of the Union EMIR Regulation, having an appropriate number identifying given entity is indispensable for needs of passing the information, regarding the concluded derivatives contracts, to the Transaction Repository. In this connection all the Clearing Participants as well as their clients are obliged to pass their LEI or pre- LEI codes to IRGIT Information regarding the LEI code or the pre-lei code is passed only once in the statement about delegating the reporting obligation The LEI code given by KDPW for IRGIT is as follows: XUEWROVM8SP More information regarding LEI codes given by KDPW is accessible on the web site 4. TRN transaction code 4.1. All the transactions being reported to the Repository shall be marked with a unique identifier TRN (Transaction Reference Number). According to relevant requirements the TRN identifier shall include no more than 40 characters. Table 1. The algorithm of creation of the TRN identifier. Fields No Length Description Value Characters E02 E IRGIT identifying code (LEI) XUEWROVM8SP Date of entering into the transaction Date format: YYMMDD Transaction No The unique transaction number given by IRGIT 40 1 The tag O for original transaction K if the transaction has been entered into in result of breakdown operation (cascading) T if the transaction has been entered into in result of transfer P for creation of positions 5. UTI code and the reporting chain 5.1. UTI code (Unique Trade Identifier) is designed for identification of a pair of reports. In accordance with relevant regulations the code shall include up to 52 characters. The UTI code shall come into being after adding additional characters to the TRN code; the additional characters shall be designed for mirroring the report location in the reporting chain. The algorithm of creation of the code has been presented in Table 2 as well as Table The document Questions and Answers, Implementation of the Regulation (EU) No 648/2012 on OTC derivatives, central counterparties and trade repositories (EMIR)

4 (Q&A), published by the European Securities and Markets Authority (ESMA), includes scenarios related to the procedure of reporting transactions to the Transaction Repository. In case of transactions, which are entered into on the Financial Instrument Market, the clearing model adopted by IRGIT shall specify that the transactions shall be created according to the scenario, in which investment company is not a counterparty and it is entering into the transaction on account of and in behalf of the client. Client* Investment* company* Clearing* Participant* 5.3. If a Clearing Participant acts in transactions as a client (concludes transaction on its own account) the reporting scenario shall take only CCP and the Clearing Participant into consideration. Table 2. The algorithm of creation of UTI code. Fields No Length Description Value The transaction identifier TRN Max 12 UTI code extension 00X 5.4. Depending on the reporting chain, appropriate extension of the UTI code shall be prepared in accordance with Table 3. Table 3. The algorithm of creation of the UTI code extension, depending on position in the reporting chain. The entity obliged to report Clearing Participant IRGIT Clearing Participant Client Clearing Participant The counterparty of the party obliged to report UTI code extension UTI code IRGIT 001 TRN TRN TRN002 Clearing Participant Client 002 TRN002 Client IRGIT 003 TRN003 IRGIT Client 003 TRN003

5 In case of reports creating positions at level of individual instruments the UTI code extension shall assume shape of Information from Clearing Participants 6.1. In case when the counterparty, which is not a financial counterparty in the meaning of Article 2 paragraph 8 and paragraph 9 of the Regulation, exceeds the threshold referred to in Article 10 paragraph 2 of the Regulation, the Clearing Participant of the House of that counterparty (that client) shall be obliged to send information about exceeding the threshold through electronic mail at the following address repozytorium@irgit.pl In order to assure proper reporting resulting from delegating it to IRGIT, the Clearing Participants shall be obliged to submit information regarding collaterals lodged by their clients The fore-mentioned information is submitted through sending the file in.xlsx file format by electronic mail at the following address repozytorium@irgit.pl. The file should include information about the collaterals lodged by the clients of given Clearing Participant, in breakdown into clearing account codes of those clients The value of the fore-mentioned collaterals is calculated as a sum of all pecuniary- and non-pecuniary resources lodged by the client to the Clearing Participant in order to meet the margin-related requirements for the positions, which remained opened on T day IRGIT passes the reports to the Repository on condition that relevant information is submitted till a.m. on working day following the day, given transaction was entered into on which (T+1 day) The model of the.xlsx file regarding the collaterals lodged by clients of Clearing Participants has been presented on IRGIT web site ( 7. Reporting pricing and collaterals 7.1. The collaterals, submitted by the Clearing Participant or by the client of the Clearing Participant on the margin accounts, shall be reported by IRGIT on the portfolio level The pricing shall be reported by IRGIT for the series of the instrument being quoted on the FIM run by POLPX. 8. Reporting transactions, which come into being in result of cascading 8.1. The transactions, which come into being in result of cascading of year or quarter contract positions shall be reported as new transactions. At the same time all the transactions, which have been entered into on contracts, which were subject to the cascading, shall be automatically terminated in the Repository If the cascading operation takes place on a non-session day, the transaction, which have come into being in result of the cascading shall be reported to the Repository on the first working day following the day of the cascading.

6 9. The netting of positions in the Repository 9.1. On the grounds of IRGIT reports total or partial netting of the positions is carried out in the Repository In case, when the position on given clearing account for given series of the instrument is equal to 0 in particular in result of recording the opposite position IRGIT shall carry out the total netting of the position in the Repository The netting of the position shall be also carried out up to the balance amount other than 0 the partial netting of the position shall concern all the opposite positions. The document revision table No Description 1 Version No 1 October the 5 th 2015