EMIR REFIT Reconcilable Fields & ESMA Data Quality Report

From a data quality perspective, one of the big changes arriving with the EMIR REFIT in 2024 is an expansion of reconcilable fields between counterparties from 53 to 149 fields including valuation details. To view breaks between themselves and counterparties, traderepositories (TR) are providing downloadable post-submission pairing and matching reports that will include the additional fields. Other requirements of data reviews for firms under EMIR REFIT are covered in detail in section 4.29 of ESMA's Final EMIR REFIT Guidelines paper that was published in December 2022 (more on this here).

EMIR, SFTR & MIFIR Data Quality Report

Data quality was also a theme of Q2 as during the quarter, ESMA published the '2022 Report on Quality and Use of Transaction Data' which covers EMIR, SFTR and MIFIR submissions. The report provides information on how ESMA and EU NCA's are using submissions for their supervisory work and data quality issues they focus on. This information is useful for creating internal reviews of submissions and improving data quality of the reports. Some of the problems highlighted by ESMA include:

• Mismatch of open UTIs between counterparties: With the requirement of dual-sided reporting, one of the key indicators reviewed by ESMA and NCAs are mismatches of open positions between counterparties. This occurs when only one side has reported a trade or one side has terminated a position before the other. According to ESMA's data, while there have been improvements in the percentage of mismatches from a peak of 26.1% in 2021, they still ended 2022 at around 15%.
• Abnormal maturities: In their 2021 report, ESMA explained that they had implemented a checker for abnormal values being reported. The 2022 report yielded that focusing on abnormal values allowed them to discover cases where firms were reporting higher than expected maturity dates on their submissions, with a single firm the culprit for a large portion of the abnormal values.
• Total notional values: ESMA also explained that they have a monthly calculation of total notional amounts of open UTIs. Reviewing month to month changes they have spotted cases where firms have incorrectly reported inflated figures or left open positions that should have been terminated.

Overall, the ESMA report and others like it are useful for understanding how submission data is being reviewed in order to better prepare for improving a firm's data quality. On a separate note, Euronext Paris SA has announced that effective December 31, 2023, they will be concluding their role as a Data Reporting Services Provider (DRSP) and ceasing to provide APA/ARM Services within the EU and the UK.

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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.