ICE Link Regulatory Reporting

for EMIR January 2014

EMIR Regulatory Reporting Mandate - Background

Article 9 of the of the European Market Infrastructure Regulation (EMIR) mandates reporting of all derivative contracts to a Trade Repository (TR) that is monitored and

regulated by the European Securities and Markets Authority (ESMA)

EMIR rules apply to any entity established in the EU that is a legal counterparty to a derivative contract, even when trading with a non-EU counterparty

All derivative trade details that have concluded, modified, or terminated1 must be reported to a TR by all trade counterparties by the end of T+1

Mark-to-market is to be reported daily2 on all open positions, and if cleared, are the values provided by the Clearing House

All counterparties must agree to a common Unique Trade Identifier (UTI) when reporting trade details to a TR, typically the agreed identifier from middleware3 platforms like ICE Link

ESMA defined reporting standards dictates required reporting details such as: standard trade economic fields, registered Legal Entity Identifiers (LEI), standard contract product

taxonomies, counterparty types4 (Financial/Non-financial), hedging, and principal role

Reporting to a TR may be delegated to ICE Link to report on behalf of a trade party for cleared or non-cleared trades

1. Article 9 of EMIR regulation No. 648/2012 (see paragraph 14), mandated derivative contract types are defined in Article 4 & 9

2. Daily Mark-to-Market and Collateral reporting per paragraph 16, required 6 months post mandate start date, excludes trades that are no longer live

3. See the ISDA Unique Trade Identifier (UTI): Generation, Communication, and Matching practices guide, 4 September 2013

4. See Article 2 (sections 8 & 9), Financial or Qualifying Non-Financial Entity, or Non-Financial Entity

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EMIR Regulatory Reporting Mandate - Timeline

FEB 12 MAY 12 AUG 12 FEB 12 NOV 7

Trade Reporting

Mandate Effective1

ESMA Adoption of

Trade Repository

Registration

Backload of Pre-Mandate

Open Positions traded

before 16 AUG 2012

2013 2017 2014

Daily Collateral and

Mark-to-Market

Reporting Mandate

Backload of All2

Pre-Mandate Positions

traded between 16 AUG

2013 and 12 FEB 2014

Mandate for all EU trade counterparties to report all derivative trades to a Trade Repository is effective1 on February 12, 2014

Pre-mandate open trade positions are mandated to be backloaded to a Trade Repository on May 12, 2014, and all positions 3 years after the initial

reporting mandate2

Daily reporting of collateral and mark-to-market of open positions is mandated on August 12, 2014

1. Mandate effective 5 working days + 90 days post TR Registration Adoption

2. Article 3 of Regulation (EU) 148/2013

EMIR Offering

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ICE Link Uniquely Positioned for EMIR Reporting

* Bilateral: Includes both direct and Prime Broker Intermediated trades

** Daily MTM and Collateral reporting start date 6 months post EMIR TR reporting start date

Cleared or

Bilateral*Reportable Events

Event

Initiator

Event

Available in

ICE Link

Event

Available in

Confirm

System

UTI Generation UTI CommunicationICE Link TR

SubmissionSupported TR

NEW TRADE-UNALLOCATED BLOCK Dealer Y N Dealer/ICE Link ICE Link Y DTCC Europe

NEW TRADE-ALLOCATION Client Y Y ICE Link ICE Link Y DTCC Europe

NOVATION Client Y Y ICE Link ICE Link Y DTCC Europe

TERMINATION Client Y Y Dealer/ICE Link ICE Link Y DTCC Europe

SEF SEF Y Y SEF ICE Link Y DTCC Europe

AMENDMENT Dealer Y Y Dealer/ICE Link ICE Link Y DTCC Europe

CREDIT & SUCCESSION EVENT TIW Y Y N/A ICE Link Y DTCC Europe

NEW TRADE-UNALLOCATED BLOCK Dealer Y N Dealer/ICE Link ICE Link Y TV Europe

CLEARED TRADE (BETA/GAMMA) CCP Y N CCP ICE Link Y TV Europe

SEF SEF Y N SEF ICE Link Y TV Europe

DAILY MTM & COLLATERAL VALUATION** CCP Y N CCP ICE Link Y TV Europe

NETTING CCP Y N CCP ICE Link Y TV Europe

TRANSFER CCP Y N CCP ICE Link Y TV Europe

CREDIT & SUCCESSION EVENT CCP Y N CCP ICE Link Y TV Europe

Bilateral

ICE Cleared

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EMIR Regulatory Reporting Mandate ICE Link Offering

ICE Link offers market participants a regulatory reporting compliance solution

Satisfies ESMA requirements for EMIR Trade Reporting to a Trade Repository

Determines which workflows and events are reportable

Stores all required static data relevant to regulatory reporting

Trade Repository report generated and submitted upon ICE Link affirmation1

Communicates and generates UTI per ISDA UTI guidelines2

API and web GUI regulatory reporting functionality

Supported for all CDS products and workflows in ICE Link

Cleared Trades: Self Clearing and Clearing Brokered

Non-Cleared, Bilateral and PB: New Trades, Novations, and Terminations

SEF and Off-facility Trade reporting

Minimal effort to adopt, no change to existing ICE Link workflows

Introduced in ICE Link 5.9

Provide ESMA reporting submission capabilities for the February 12th compliance date

Support for dual jurisdiction reporting (e.g. CFTC and ESMA) for trade parties

Incorporate UTI Generating Party logic per ISDA guidelines

Automatic enrichment of ESMA defined required static in reports (i.e. ESMA product taxonomies, LEI/Namespace, Financial Entity, Clearing Thresholds, etc.)

ICE clearing houses report ESMA jurisdiction cleared trades to ICE Trade Vault Europe

2. See the ISDA Unique Trade Identifier (UTI): Generation, Communication, and Matching practices guide, 15 July 2013

1. ICE Link offers an exception process to allow for a regulatory report submission for pending (i.e. non-affirmed) transactions that have reached the T+1 end of day report deadline

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EMIR Specific Reporting Data, Logic, Static Support

Key Reporting Data Attributes

Trade Economics

Execution/Clearing Date & Time

ESMA Product Taxonomy

Legal Entity Identifier (LEI) Mapping

UTI & Namespace/LEI prefix

Reporting Jurisdiction

Principal/Agent Trading Capacity

Beneficiary

Treasury/Commercial Activity

Collateral / MTM valuation

Collateral Portfolio Code

TR Counterparty Name Disclosure

TR Destination and Submission Time

Key Reporting Logic and Static

All reporting fields can be sourced from existing workflow, static values and

defaults

UTI generation and communication logic per ISDA guidelines

Reporting based on jurisdiction of entities in trade / allocations

Entity Static Corporate Sector Financial/Non-Financial Domicile/Jurisdiction Clearing Threshold (above/below)

Default Values Treasury/Commercial Activity Principal/Agent Trading Capacity Beneficiary Collateralization

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EMIR Regulatory Reporting Mandate ICE Cleared Trade Reporting

ICE Clear Credit and ICE Clear Europe (CCP) report all cleared trades for all trade parties to an SDR for CFTC jurisdiction entities

ICE Clear Credit and ICE Clear Europe (CCP) will provide a delegated reporting model that provides reporting submissions on behalf of Clients and Clearing Members (CM) that are

ESMA jurisdiction entities

CH provides USI/UTI for all cleared trades

CCP vs. CM report

CM vs. Client report

Reports are submitted to the Trade Repository upon clearing acceptance

Aside of new cleared trades, the CH reports post clearing events including:

Netting/Compression Events

MTM and Collateral Valuations

Transfers

Succession & Credit Events

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EMIR Regulatory Reporting Mandate UTI Generating Party

ICE Link in role of middleware always communicates the Unique Trade Identifier (UTI) for all bilateral and cleared workflows

For Cleared trades, the ICE clearing house is always the UTI Generating Party (GP)

Two UTIs are generated for Client cleared trades: CCP-CM and CM-Client

For Non-Cleared trades, ICE Link calculates which trade counterparty is the UTI GP per ISDA best practices guidelines

USI as UTI logic for trades that fall under dual jurisdiction (CFTC,ESMA) reporting

If the counterparty is not under CFTC or ESMA jurisdiction, the party under ESMA jurisdiction is the UTI GP

Protection (Floating Rate) Seller is the UTI GP per tie-breaker logic

ICE Link will be the UTI Generating Party if neither trade party provides a UTI

Is CFTC

Eligible?

# of Trade Parties

providing a value

# of Trade Parties under

ESMA Jurisdiction

UTI

Y 0 Either one or both Validation error, RCP is required to provide

Y Either one or both Either one or both Always the USI of the party that is the RCP

N 0 Either one or both ICE Link-generated value

N 1 Either one or both Value provided by party

N 2 1 Value provided by EMIR party

N 2 2 Value provided by Seller

UTI Generating Party Logic

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Workflows

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EMIR Regulatory Reporting Mandate Clearing Workflow

1. Swap Dealer alleges trade to Buy-side

client who designates their Clearing Broker

(CB)

2. Buy-side client affirms block details and

provides allocations with a designated

Clearing Broker (CB)

3. Buy-side client allocations routed to CBs

for clearing consent, upon consent to clear

the trade, the trades are submitted to the

Clearing House (CCP)

4. Clearing House (CCP) provides the

cleared and confirmed status to all parties

5. ICE Link reports the bilateral (alpha) trade

between the Dealer and Buy-side to the

TR and the Clearing House (CCP) reports

the below to the ICE TR

CCP vs. Dealer CB

Dealer CB vs. Dealer

CCP vs. Buyside CB

Buyside CB vs. Buyside

6. Post clearing reporting, the Clearing

House reports the daily MTM and collateral

calculations for cleared trades

Post Clearing Note: The clearing house also regulatory reports Netting, Transfer, Succession/Credit Event Updates

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EMIR Regulatory Reporting Mandate Bilateral Workflow

1. Swap Dealer alleges trade to Buy-side

client

2. Buy-side client affirms block details and

provides allocations

3. ICE Link designates the trade as

Affirmed and provides the block and the

allocation UTI/details; ICE Link submits

the block trade and the allocations to

the Trade Repository

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EMIR Regulatory Reporting Mandate Novation Consent

1. Buy-side client alleges Novation to

Transferee Dealer

2. The Transferee Dealer affirms the

novation trade

3. The Remaining Party Dealer affirms to

consent to the novation trade

4. ICE Link designates the trade as

Affirmed and reports a termination of the

original Buy-side vs. Dealer trade and

reports the new Remaining Party vs.

Transferee Dealer trade to the Trade

Repository

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EMIR Regulatory Reporting Mandate Advantages of Using ICE Link

Satisfies all reporting requirements using existing workflow event details, static data, and entity defaults, providing a no-work solution for clients

Eliminates the need to develop complex UTI generating and communication logic per ISDA guidelines

Provides the connectivity and automatic reporting of trades to Trade Repositories (TR), reducing the need to build out added complex system integrations

ICE Link already submits for almost all clients to MarkitSERV DSMatch for Confirmation reporting of bilateral trades

Removes the extremely difficult task of the need to track various data sources and TRs for each lifecycle workflow

No additional ICE Link fees

Additional Documentation, Client Support, Questions

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To access additional documents such as the ICE Link EMIR Regulatory Reporting Concepts document, the ICE Link EMIR Reporting API Guide, or

the ICE Link EMIR Reporting Data Elements, please go to the ICE Link

community page at www.theice.com/community

ICE OTC Sales Contact Details

North America +1 212 323 6020

Europe/Asia/Australia +44(0)20 7429 4500

Email: ICEsales.OTCFinancial@theice.com

API Integrated Users: Integrate Support Portal at www.theice.com/integrate