Temenos Transact
R24 AMR | Min(s) read

Introduction to EMIR

European Market Infrastructure Regulation (EMIR) is a European Union approach to increase efficiency and transparency of financial markets. It requires counterparties for OTC derivatives to report transaction data to competent trade repositories. EMIR phase 1 in Temenos Transact (since 2015) performs the OC reporting for the Treasury modules (Foreign Exchange, Swaps, Forward Rate Agreements and Derivatives).

The recent regulations amendment has significant operational changes in the life cycle of OTC derivatives transaction. To support these changes, the OTC derivatives operational workflows in Temenos Transact is enhanced to help banks to comply with their local regulatory norms in terms of reporting and clearing OTC trades.

Configuring EMIR

The user needs to configure the following requirements to enable reporting in European Market Infrastructure Regulation (EMIR) II regulation:

Installing OC Product

To install OC module in Temenos Transact, the user needs to ensure the following:

  • OC product is added to System Property File (SPF).
  • Company records have the OC application.

Setting Up Static Parameters

The parameter tables are mandatory to enable the OTC reporting functionality. In the below screenshot, the Corporate Sector field (in a record for the bank) is mapped to reporting data.

Setting Up PGM.FILE Record for Mapping Routines

The user needs to configure the following records in PGM.FILE (Type as ‘S’ and Product as ‘OC’), which supports EMIR reporting:

Record Screenshot

OC.UPD.CPARTY.CORP.SECTOR

OC.UPD.OTHER.CPARTY.ID

OC.UPD.OTH.CPARTY.ID.TYPE

OC.UPD.ID.TYPE.BENEFICIARY

OC.UPD.PROD.TYPE

OC.UPD.PRICE.CURRENCY

OC.UPD.LEVEL

OC.UPD.VAL.DATE.TIME

OC.UPD.FIXED.LEG2.RATE.DAY.COUNT

OC.UPD.FIXED.LEG.PAYMENT.MULT

OC.UPD.FIXED.LEG2.PAYMENT.FREQ

 

OC.UPD.FLOAT.LEG.PAYMENT.MULT

OC.UPD.FLOAT.LEG2.PAYMENT.FREQ

OC.UPD.FLOAT.LEG2.PAYMENT.MULT

OC.UPD.FLOAT.RR.MULT.LEG1

OC.UPD.FLOAT.RR.FREQ.LEG

OC.UPD.FLOAT.RR.MULT.LEG2

OC.UPD.STRIKE.PRICE.NOTATION

The record from OC.UPD.FIXED.LEG2.RATE.DAY.COUNT to OC.UPD.FLOAT.RR.MULT.LEG2 are applicable only for the Swap, whereas OC.UPD.STRIKE.PRICE.NOTATION record is applicable only for DX.TRADE.

Creating Database and Mapping Fields

The following records are required to create a database and map the fields:

If the reporting database file name is OC.TRADE.DATA, then ID of PARMS record needs to have the database name (that is, OC.TRADE.DATA). The user needs to enter the required values in the following fields:

  • Field Name.1
  • Field Fmt.1
  • Fld Val Rtn.1

The following fields are introduced in TX.TXN.BASE.PARMS to support EMIR II reporting:

  • PRICE.CURRENCY
  • OTHER.CPARTY.ID.TYPE
  • ID.TYPE.BENEFICIARY
  • PROD.CLASSIFICATION.TYPE
  • PROD.CLASSIFICATION
  • PROD.IDEN.TYPE
  • PROD.IDENTIFICATION
  • LEVEL
  • FIXED.LEG2.RATE.DAY.COUNT
  • FIXED.LEG.PAYMENT.MULT
  • FIXED.LEG2.PAYMENT.FREQ
  • FIXED.LEG2.PAYMENT.MULT
  • FLOAT.LEG.PAYMENT.MULT
  • FLOAT.LEG2.PAYMENT.FREQ
  • FLOAT.LEG2.PAYMENT.MULT
  • FLOAT.RR.MULT.LEG1
  • FLOAT.RR.FREQ.LEG
  • FLOAT.RR.MULT.LEG2
  • STRIKE.PRICE.NOTATION
  • MAT.DATE.UNDERLYING
  • COMPLEX.TRADE.ID
  • The FIXED.LEG2.RATE.DAY.COUNT to FLOAT.RR.MULT.LEG2 fields are applicable only for the Swap reporting.
  • The STRIKE.PRICE.NOTATION, MAT.DATE.UNDERLYING, and COMPLEX.TRADE.ID fields are applicable only for DX.TRADE.
  • The Complex Trade ID field is applicable for Foreign Exchange (FX) and DX.TRADE.

A sample TX.TXN.BASE.PARMS record for OC.TRADE.DATA is shown in the below screenshot.

Once the record is authorised, the user cannot:
  • Remove the field added in the database
  • Add new fields in between existing fields (but can add it at the end)

If the reporting database file name is  OC.VAL.COLL.DATA, then ID of PARMS record needs to have the database name (that is, OC.VAL.COLL.DATA). The user needs to enter the required values in the following fields:

  • Field Name.1
  • Field Fmt.1
  • Fld Val Rtn.1

The following new fields are introduced in the TX.TXN.BASE.PARMS to support the EMIR II reporting:

  • VAL.DATE.TIME
  • INITIAL.MARGIN.POSTED
  • CCY.IN.MAR.POSTED
  • VARIATION.MARGIN.POSTED
  • INITIAL.MARGIN.RECEIVED
  • CCY.IN.MAR.RECEIVED
  • VARIATION.MARGIN.RECEIVED
  • EXCESS.COLL.POSTED
  • CCY.EXC.COLL.POS
  • EXCESS.COLL.RECEIVED
  • CCY.EXC.COLL.REC
  • CCY.VAR.MAR.POSTED
  • CCY.VAR.MAR.REC

A sample screenshot of TX.TXN.BASE.PARMS record for OC.VAL.COLL.DATA is shown in the below screenshots.

This application enables the user to map the fields. The ID of the record needs to be in the following format: APPLICATION*OC.TRADE.DATA.

The following are sample record IDs:
  • FRA.DEAL*OC.TRADE.DATA
  • ND.DEAL*OC.TRADE.DATA
  • SWAP*OC.TRADE.DATA
  • DX.TRADE*OC.TRADE.DATA
  • FOREX*OC.TRADE.DATA

Although, transaction reporting database (OC.TRADE.DATA) is the same for all OTC applications, the user have to define the mapping record for every OTC application that needs to be reported. The following is the list of field mapping routines released under core:

CPARTY
OC.TRADE.DATA Field Forward Rate Agreements (FRA) Non-Deliverable Forward (NDF) Swaps (SW) DX.TRADE Foreign Exchange (Forex or FX)
CPARTY.CORP.SECTOR OC.UPD.CPARTY.CORP.SECTOR OC.UPD.CPARTY.CORP.SECTOR OC.UPD.CPARTY.CORP.SECTOR OC.UPD.CPARTY.CORP.SECTOR OC.UPD.CPARTY.CORP.SECTOR
OTHER.CPARTY.ID OC.UPD.OTHER.CPARTY.ID OC.UPD.OTHER.CPARTY.ID OC.UPD.OTHER.CPARTY.ID OC.UPD.OTHER.CPARTY.ID OC.UPD.OTHER.CPARTY.ID
PRICE.NOTATION OC.UPD.PRICE.NOTATION OC.UPD.PRICE.NOTATION OC.UPD.PRICE.NOTATION OC.UPD.PRICE.NOTATION OC.UPD.PRICE.NOTATION
 
New Field Changes
OC.TRADE.DATA FieldFRANDFSWDX.TRADEFX
PRICE.CURRENCYNANAOC.UPD.PRICE.CURRENCYNAOC.UPD.PRICE.CURRENCY
OTHER.CPARTY.ID.TYPEOC.UPD.OTH.CPARTY.ID.TYPEOC.UPD.OTH.CPARTY.ID.TYPEOC.UPD.OTH.CPARTY.ID.TYPEOC.UPD.OTH.CPARTY.ID.TYPEOC.UPD.OTH.CPARTY.ID.TYPE
ID.TYPE.BENEFICIARYOC.UPD.ID.TYPE.BENEFICIARYOC.UPD.ID.TYPE.BENEFICIARYOC.UPD.ID.TYPE.BENEFICIARYOC.UPD.ID.TYPE.BENEFICIARYOC.UPD.ID.TYPE.BENEFICIARY
PROD.CLASSIFICATION.TYPEOC.UPD.PROD.TYPEOC.UPD.PROD.TYPEOC.UPD.PROD.TYPEOC.UPD.PROD.TYPEOC.UPD.PROD.TYPE
PROD.CLASSIFICATIONLINEARLINEARLINEARLINEARLINEAR
PROD.IDEN.TYPELINEARLINEARLINEARLINEARLINEAR
PROD.IDENTIFICATIONLINEARLINEARLINEARLINEARLINEAR
LEVELOC.UPD.LEVELOC.UPD.LEVELOC.UPD.LEVELOC.UPD.LEVELOC.UPD.LEVEL
FIXED.LEG2.RATE.DAY.COUNTNANAOC.UPD.FIXED.LEG2.RATE.DAY.COUNTNANA
FIXED.LEG.PAYMENT.MULTNANAOC.UPD.FIXED.LEG.PAYMENT.MULTNANA
FIXED.LEG2.PAYMENT.FREQNANAOC.UPD.FIXED.LEG2.PAYMENT.FREQNANA
FIXED.LEG2.PAYMENT.MULTNANAOC.UPD.FIXED.LEG2.PAYMENT.MULTNANA
FLOAT.LEG.PAYMENT.MULTNANAOC.UPD.FLOAT.LEG.PAYMENT.MULTNANA
FLOAT.LEG2.PAYMENT.FREQNANAOC.UPD.FLOAT.LEG2.PAYMENT.FREQNANA
FLOAT.LEG2.PAYMENT.MULTNANAOC.UPD.FLOAT.LEG2.PAYMENT.MULTNANA
FLOAT.RR.MULT.LEG1NANAOC.UPD.FLOAT.RR.MULT.LEG1NANA
FLOAT.RR.FREQ.LEGNANAOC.UPD.FLOAT.RR.FREQ.LEGNANA
FLOAT.RR.MULT.LEG2NANAOC.UPD.FLOAT.RR.MULT.LEG2NANA
STRIKE.PRICE.NOTATIONNANANAOC.UPD.STRIKE.PRICE.NOTATIONNA
MAT.DATE.UNDERLYINGNANANAOC.UPD.MAT.DATE.UNDERLYINGNA
COMPLEX.TRADE.IDNANANASY.DX.REFERENCESY.DX.REFERENCE

The following are the existing field changes for FRA, ND.DEAL, DX.TRADE, FX and Swaps:

FieldExisting MappingNew Mapping

OTHER. CPARTY. ID

  1. Remove the values in Txn Appln and Appl Record ID fields.
  2. Change the value in Txn Appl Field.
  3. Add the new routine OC.UPD.OTHER.CPARTY.ID with prefix as @ in the Link Data field.

PRICE. NOTATION (only for NDF)

 

  1. Remove the values in Txn Appln and Appl Record ID fields.
  2. Change the value in Txn Appl Field.
  3. Add the new routine OC.UPD.OTHER.CPARTY.ID with prefix as @ in the Link Data field.
 
FieldProcedure

CPARTY.CORP.SECTOR

  1. Add the new field ‘CPARTY.CORP.SECTOR’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.CPARTY.CORP.SECTOR’ with prefix as @ in the Link Data field.

OTHER.CPARTY.ID.TYPE

  1. Add the new field ‘OTHER.CPARTY.ID.TYPE’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.OTH.CPARTY.ID.TYPE’ with prefix as @ in the Link Data field.

ID.TYPE.BENEFICIARY

  1. Add the new field ‘ID.TYPE.BENEFICARY’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.ID.TYPE.BENEFICIARY’ with prefix as @ in the Link Data field.

PROD.CLASSIFICATION.TYPE

  1. Add the new field ‘PROD.CLASSIFICATION.TYPE’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.PROD.TYPE’ with prefix as @ in the Link Data field.

PRICE.NOTATION

  1. Add the new field ‘PRICE.NOTATION’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.PRICE.NOTATION’ with prefix as @ in the Link Data field.

LEVEL

  1. Add the new field ‘LEVEL’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.LEVEL’ with prefix as @ in the Link Data field.

PROD.CLASSIFICATION

  1. Add the new field ‘PROD.CLASSIFICATION’ in Txn Base Field.
  2. Enter UNIQUE.PROD.ID in Txn Appl Field.

PROD.IDEN.TYPE

  1. Add the new field ‘PROD.IDEN.TYPE’ in Txn Base Field.
  2. Enter PROD.ID.TYPE in Txn Appl Field.

PROD.IDENTIFICATION

  1. Add the new field ‘PROD.IDENTIFICATION’ in Txn Base Field.
  2. Enter PROD.CLASS.ID in Txn Appl Field.

The following fields are applicable only for Swaps:

  

FIXED.LEG2.RATE.DAY.COUNT

  1. Add the new field ‘FIXED.LEG2.RATE.DAY.COUNT’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FIXED.LEG2.RATE.DAY.COUNT’ with prefix as @ in the Link Data field.

FIXED.LEG.PAYMENT.MULT

  1. Add the new field ‘FIXED.LEG.PAYMENT.MULT’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FIXED.LEG.PAYMENT.MULT’ with prefix as @ in the Link Data field.

FIXED.LEG2.PAYMENT.FREQ

  1. Add the new field ‘FIXED.LEG2.PAYMENT.FREQ’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FIXED.LEG2.PAYMENT.FREQ’ with prefix as @ in the Link Data field.

FIXED.LEG2.PAYMENT.MULT

  1. Add the new field ‘FIXED.LEG2.PAYMENT.MULT’ in Txn Base Field..
  2. Add the new field ‘FIXED.LEG2.PAYMENT.MULT’ in Txn Base Field..
  3. Add the new routine ‘OC.UPD.FIXED.LEG2.PAYMENT.MULT’ with prefix as @ in the Link Data field.

FLOAT.LEG.PAYMENT.MULT

  1. Add the new field ‘FLOAT.LEG.PAYMENT.MULT’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FLOAT.LEG.PAYMENT.MULT’ with prefix as @ in the Link Data field.

FLOAT.LEG2.PAYMENT.FREQ

  1. Add the new field ‘FLOAT.LEG2.PAYMENT.FREQ’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FLOAT.LEG2.PAYMENT.FREQ’ with prefix as @ in the Link Data field.

FLOAT.LEG2.PAYMENT.MULT

  1. Add the new field ‘FLOAT.LEG2.PAYMENT.MULT’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FLOAT.LEG2.PAYMENT.MULT’ with prefix as @ in the Link Data field.

FLOAT.RR.MULT.LEG1

  1. Add the new field ‘FLOAT.RR.MULT.LEG1’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FLOAT.RR.MULT.LEG1’ with prefix as @ in the Link Data field.

FLOAT.RR.FREQ.LEG

  1. Add the new field ‘FLOAT.RR.FREQ.LEG’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FLOAT.RR.FREQ.LEG’ with prefix as @ in the Link Data field.

FLOAT.RR.MULT.LEG2

  1. Add the new field ‘FLOAT.RR.MULT.LEG2’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.FLOAT.RR.MULT.LEG2’ with prefix as @ in the Link Data field.

STRIKE.PRICE.NOTATION

  1. Add the new field ‘STRIKE.PRICE.NOTATION’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD. STRIKE.PRICE.NOTATION’ with prefix as @ in the Link Data field.

MAT.DATE.UNDERLYING

  1. Add the new field ‘MAT.DATE.UNDERLYING’ in Txn Base Field.
  2. Enter SWAP.MAT.DATE in Txn Appl Field.

COMPLEX.TRADE.ID

  1. Add the new field ‘COMPLEX.TRADE.ID’ in Txn Base Field.
  2. Enter SY.DX.REFERENCE in Txn Appl Field.

This application enables the user to map the fields. The ID of the record needs to be in the following format: APPLICATION*OC.VAL.COLL.DATA.

The following are sample record IDs:
  • FRA.DEAL*OC.VAL.COLL.DATA
  • ND.DEAL*OC.VAL.COLL.DATA
  • SWAP*OC.VAL.COLL.DATA
  • DX.TRADE*OC.VAL.COLL.DATA
  • FOREX*OC.VAL.COLL.DATA

The following is the list of field mapping routines released under core:

SWAP DX.TRADE FOREX
OC.UPD.VAL.DATE.TIME OC.UPD.VAL.DATE.TIME OC.UPD.VAL.DATE.TIME
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR LINEAR LINEAR
LINEAR, MARGIN.POSTED.CCY LINEAR, MARGIN.POSTED.CCY LINEAR, MARGIN.POSTED.CCY
LINEAR, MARGIN.REC.CCY LINEAR, MARGIN.REC.CCY LINEAR, MARGIN.REC.CCY

The following are the new fields introduced for FRA, NDF, DX.TRADE, FX and Swap:

Field Procedure

VAL.DATE.TIME

 
  1. Add the new field ‘VAL.DATE.TIME’ in Txn Base Field.
  2. Enter the value in Txn Appl Field as shown in the below screenshot.
  3. Add the new routine ‘OC.UPD.VAL.DATE.TIME’ with prefix as @ in the Link Data field.

INITIAL.MARGIN.POSTED
  1. Add the new field ‘INITIAL.MARGIN.POSTED’ in Txn Base Field.
  2. Enter INITIAL.MARGIN.POSTED (FRA field) in Txn Appl Field.

CCY.IN.MAR.POSTED
  1. Add the new field ‘CCY.IN.MAR.POSTED’ in the Txn Base Field.
  2. Enter MARGIN.POSTED.CCY (FRA field) in Txn Appl Field.

VARIATION.MARGIN.POSTED
  1. Add the new field ‘VARIATION.MARGIN.POSTED’ in Txn Base Field.
  2. Enter the VARIATION.MARGIN.POSTED (FRA field) in Txn Appl Field.

INITIAL.MARGIN.RECEIVED
  1. Add the new field ‘INITIAL.MARGIN.RECEIVED’ in Txn Base Field.
  2. Enter INITIAL.MARGIN.RECEIVED (FRA field) in Txn Appl Field.

CCY.IN.MAR.RECEIVED
  1. Add the new field ‘CCY.IN.MAR.RECEIVED’ in Txn Base Field.
  2. Enter MARGIN.REC.CCY (FRA field) in Txn Appl Field.

VARIATION.MARGIN.REC
  1. Add the new field ‘VARIATION.MARGIN.REC’ in Txn Base Field.
  2. Enter VARIATION.MARGIN.REC (FRA field) in Txn Appl Field.

EXCESS.COLL.POSTED
  1. Add the new field ‘EXCESS.COLL.POSTED’ in Txn Base Field.
  2. Enter EXCESS.COLL.POSTED (FRA field) in Txn Appl Field.

CCY.EXC.COLL.POS
  1. Add the new field ‘CCY.EXC.COLL.POS’ in Txn Base Field.
  2. Enter CCY.EXC.COLL.POS (FRA field) in Txn Appl Field.

EXCESS.COLL.RECEIVED
  1. Add the new field ‘EXCESS.COLL.RECEIVED’ in Txn Base Field.
  2. Enter EXCESS.COLL.RECEIVED (FRA field) in Txn Appl Field.

CCY.EXC.COLL.REC
  1. Add the new field CCY.EXC.COLL.REC in the field Txn Base Field.
  2. Enter CCY.EXC.COLL.REC (FRA field) in Txn Appl Field.

Copyright © 2020- Temenos Headquarters SA

Contact Us

knowledge@temenos.com

Published on :
Tuesday, May 28, 2024 5:47:46 PM IST