EMIR-European Market Infrastructure Regulation

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Anders Hermansson
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1 EMIR-European Market Infrastructure Regulation Omfattande regelverk kring derivat Hur påverkas Ni? 1. Rapporteringsskyldighet 2. Portföljavstämning 3. Tvistelösning 4. Timely confirmations

2 Rapporteringsskyldighet Många frågor Vad ska man rapportera? Lika många svar Alla derivat Vem ska man rapportera till? Trade Repository Vad ska man rapportera? Se nästa sida Vem har ansvaret? Har finans en lösning? Ni själva Finans kommer sköta bolagens rapportering

Trade Repository Vad ska man rapportera?

3 Processen Finans Bolag A Bank A Finans Trade Repository ESMA

ESMA Requirements- TR Table of fields : Table 1 Counterparty Table 1- Counterparty Party data Reporting timestamp Counterparty ID ID of the other counterparty Name of the counterparty Domicile of the

4 ESMA Requirements- TR Table of fields : Table 1 Counterparty Table 1- Counterparty Party data Reporting timestamp Counterparty ID ID of the other counterparty Name of the counterparty Domicile of the counterparty Corporate sector of the counterparty Financial or non-financial nature of the counterparty Broker ID Reporting entity ID Clearing member ID Beneficiary ID Trading capacity Counterparty side Contract with non-eea counterparty Directly linked to commercial activity or treasury financing Clearing threshold Mark to market value of contract Currency of mark to market value of the contract Valuation date Valuation time Valuation type Collateralisation Collateral portfolio Collateral portfolio code Value of the collateral Currency of the collateral value Counterparty Data is only proprietary for the Red Fields. Counterparty Data in the Green could be defaulted from the LEI or other CP static. For the remaining Black fields the data is normally known by both parties. Data fields based on ESMA Final Draft technical standards for the regulation on OTC Derivatives, CCPs and Trade Repositories, June data fields is a subset of the core 125 PET fields that has already being built in the GTR solution to support Dodd Frank requirement. 90% of ESMA fields are common to the current ODRF/DF/JFSA requirements

side Contract with non-eea counterparty Directly linked to commercial activity or treasury financing Clearing threshold Mark to market value of contract Currency of mark to market value of the

ESMA Requirements- TR Table of fields Table 2 Common Data Table 2 - Common Data Taxonomy used Product ID 1 Product ID 2 Underlying Notional currency 1 Notional currency 2 Deliverable currency Section

5 ESMA Requirements- TR Table of fields Table 2 Common Data Table 2 - Common Data Taxonomy used Product ID 1 Product ID 2 Underlying Notional currency 1 Notional currency 2 Deliverable currency Section 2b - Details on the transaction Trade ID Transaction reference number Venue of execution Compression Price / rate Price notation Notional amount Price multiplier Quantity Up-front payment Delivery type Execution timestamp Effective date Maturity date Termination date Date of Settlement Master Agreement type Master Agreement version Section 2c - Risk mitigation /Reporting Confirmation timestamp Confirmation means Section 2d Clearing Clearing obligation Cleared Clearing timestamp CCP Intragroup Section 2e Interest Rates Fixed rate of leg 1 Fixed rate of leg 2 Fixed rate day count Fixed leg payment frequency Floating rate payment frequency Floating rate reset frequency Floating rate of leg 1 Floating rate of leg 2 Section 2f Foreign Exchange Currency 2 Exchange rate 1 Forward exchange rate Exchange rate basis Section 2g - Commodities General Commodity base Commodity details Energy Delivery point or zone Interconnection Point Load type Delivery start date and time Delivery end date and time Contract capacity Quantity Unit Price/time interval quantities Section 2h - Options Option type Option style (exercise) Strike price (cap/floor rate) Section 2i - Modifications to the report Action type Details of action type

type Execution timestamp Effective date Maturity date Termination date Date of Settlement Master Agreement type Master Agreement version Section 2c - Risk mitigation /Reporting Confirmation timestamp

6 Portföljavstämning & tvistelösning Portföljavstämning: Avstämning av portfölj (portfolio reconiciliation) för en icke-finansiell motpart som inte kommer upp i Esmas clearingtröskel skall genomföras tillsammans med motparten; Portföljavstämning: En gång per år om man har mindre än 100 utestående derivat med motparten. Tvistelösning: Rutiner och förfaranden för att lösa tvister som kan uppstå med portföljavstämninegen

genomföras tillsammans med motparten; Portföljavstämning: En gång per år om man har mindre än 100

7 Timely Confirmations Villkorsgodkännande (timely confirmation) skall om möjligt ske på elektronisk väg (Art 11 p 1 (a)). Detta krav gäller från den 21 mars Kraven skärps stegvis, högsta krav är för närvarande är second business day following execution. Konsekvensen är att bekräftelser från Er måste inkomma till oss mycket snabbare jämfört med idag

Kraven skärps stegvis, högsta krav är för närvarande är second business day following

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PROMEMORIA Datum 2006-10-13 Senast uppdaterat 2011-03-30 Finansinspektionen P.O. Box 7821 SE-103 97 Stockholm [Brunnsgatan 3] Tel +46 8 787 80 00 Fax +46 8 24 13 35 finansinspektionen@fi.se www.fi.se Transaktionsrapportering