EMIR Regulatory Return Guidance Note

Transcription

1 2015 EMIR Regulatory Return Guidance Note

2 1 Contents 1. Introduction 2 2. The EMIR Regulatory Return 2 3. Applicable Counterparties 2 4. Soft Copy of the ERR 3 5. Purpose of this Note 3 6. Timing of Submission 3 7. How to Submit 3 8. Reportable Fields 4 1

3 2 1. Introduction The European Markets Infrastructure Regulation ( EMIR ) 1 entered into force on 16 August 2012 and introduced new requirements to improve the transparency of and reduce risks associated with derivatives markets specifically by (i) requiring all details of derivative transactions concluded be reported to an ESMA registered or recognised trade repository ( TR ) and be accessible to supervisory authorities; (ii) imposing a clearing obligation on certain classes of over-the-counter ( OTC ) derivative contracts to be cleared through a central counterparty; and (iii) providing for risk mitigation for non-cleared OTC derivative contracts. In addition to increasing transparency and improving risk management for derivative users EMIR provides inter alia competent authorities with information regarding the extent of derivative trading to enable them to fulfil their mandates and responsibilities. EMIR applies to any counterparty established in the EU that enters into derivative contracts but distinguishes between Financial Counterparties ( FCs ) and Non- Financial Counterparties ( NFCs ). NFCs are further broken down into NFC+ and all other NFCs (often referred to as NFC-s) where an NFC+ is an NFC that holds positions in OTC derivative contracts for non-hedging purposes that exceed a certain level known as the clearing threshold 2. The Central Bank was appointed the National Competent Authority ( NCA ) for EMIR in the Irish State under S.I. No 443 of 2014, European Union (European Markets Infrastructure) Regulations The EMIR Regulatory Return (the ERR ) In order to fulfil its responsibilities under EMIR the Central Bank may require counterparties that have been identified by the Central Bank and are not exempt from the requirement to submit an ERR to complete an EMIR Regulatory Return ( ERR ). 3. Applicable counterparties A completed ERR is required in two instances: 1. An ERR, assessed by a third party, is required by the Central Bank on an exceptional basis primarily in cases of non-compliance. Relevant counterparties 1 Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July The Clearing Threshold is set at EUR 1 billion in gross notional value for OTC credit or equity derivative contracts or EUR 3 billion for OTC interest rate, foreign exchange, commodity or other derivative contracts. 2

4 3 will be advised directly by the Central Bank. 2. For the purpose of assessing compliance with EMIR an ERR, without the third party assessor regime, is required on an annual basis ( the Annual ERR ) from NFCs that have significant derivative positions. Relevant counterparties will be notified by the Central Bank on a bilateral basis by end September of the relevant year and will be required to complete the Annual ERR for that year and on an annual basis thereafter. 4. Soft Copy of the ERR A soft copy of the Annual ERR is available on the Central Bank s website at the following address: 5. Purpose of this Note This note provides guidance on how to complete the Annual ERR. 6. Timing of Submissions The submission date for the full ERR, assessed by a third party, will be advised to relevant counterparties on a bilateral basis. The Annual ERR is due for submission by end January of the year following the year in which a counterparty is advised that it is required to complete an Annual ERR and by the end of January on an annual basis thereafter. 7. How to Submit Counterparties are required to submit the ERR to the following address: EMIR Unit Securities & Markets Supervision Division Central Bank of Ireland Block D, Iveagh Court Harcourt Road Dublin 2 Alternatively counterparties may submit the Annual ERR to the following address: emir@centralbank.ie quoting ERR Submission and the counterparty s LEI number in the subject line. 3

5 4 8. Reportable Fields Guidelines The Annual ERR consists of 3 sections: Section One: Static Data gathers information about the NFC which will help to build and maintain a database of supervised NFCs and includes relevant contact details should the Central Bank need to follow up with the NFC about any aspect of the ERR. Section Two: Reporting Obligations specifically tests compliance with the reporting obligations under EMIR, by asking questions about the numbers of contracts and outstanding portfolio positions, and comparing these with TR data. Information is also sought on the nature of the derivative activity (speculative or to reduce risks) and the method used to measure how risks are reduced. Section Three: Supplementary Information & Director Declaration seeks information on the NFC itself, to help the Central Bank understand the nature of the NFC s business model and the nature of its derivative activity. Information is also sought as to whether the NFC clears or margins derivatives and whether it has entered into any ISDA agreements with counterparties. Directors are also required to sign a declaration that the information is complete and accurate to the best of their knowledge. 4

6 5 Section One: Static Data Non-Financial Counterparty (NFC) legal name: LEI code: NFC s Registered Address: NFC s address(s), at which derivative activity is carried out: NFC s EMIR classification: Reference start date of the Annual ERR: The EMIR contact in NFC: The EMIR contact e- mail: The EMIR contact telephone number: The EMIR contact normal business address: The Directors/ Partners who are signing this Annual ERR: Enter the legal name of the NFC used to enter into derivative contracts. This should be the same name as that used to obtain the LEI used for reporting purposes. Enter the identification code as used in the reports made to the relevant TR. This is expected to be the LEI code of the counterparty. Enter details of the NFC s registered office. This address should be the same as the registered office for CRO reporting purposes. If the derivative activity takes places at the NFCs registered address enter as above. Alternatively if the derivative activity takes place at a different address this/these address(es) should be entered here. Identify whether the counterparty is an NFC or a pension scheme arrangement as defined by EMIR. The annual ERR must be completed on an annual basis for the previous calendar year. This date should be entered in the format dd/mm/yyyy Enter the name and position of the main contact in the NFC who the Central Bank can contact in case of queries regarding the Annual ERR. Provide the address of the individual referenced in field Provide the telephone number, including the area code, of the individual referenced in field Provide the normal business address of the individual referenced in field Provide names and titles of the two directors who are signing this ERR. 5

7 6 Section Two: Reporting Obligations Table 2.1 Reporting Method Does the NFC delegate trade reporting? If so please provide the name of the entity/entities to which trade reporting is delegated and the relevant Trade Repository (TR) to which the entity reports. Indicate Yes or No. Provide a list of entities that report on behalf of the NFC and the TR(s) to which each entity reports. Table 2.2: Number of contracts/contracts reported to Trade Repository Derivative Class No. of contracts which have been concluded, modified or terminated by the NFC during the reference period for the Annual ERR No. of contracts which have been concluded, modified or terminated, and reported to a Trade Repository (TR), during the NFC's reference period of Annual ERR (confirm name of TR and numbers reported to TR) Difference Commodities Credit Foreign Exchange Equity Interest Rate Other Enter the number of derivative contracts, per asset class, that the counterparty has entered into, modified or terminated during the reference period for the ERR. Modifications refers to changes to the terms of the original contract such as early termination, roll over, For each asset class enter the number of derivative contracts that the counterparty has entered into, modified or terminated and reported to each TR indicating the relevant TR. Modifications refers to This column should contain the difference between Column 2 and Column 3. 6

8 7 Total Number of late reports compression, exercise of an option etc. and does not include lifecycle events or price changes. Where a contract has been modified several times during the reference period each modification should be counted as one contract. This information should be sourced from the counterparty s own internal systems. changes to the terms of the original contract such as early termination, roll over, compression, exercise of an option etc. and does not include lifecycle events or price changes. This information should be sourced from reports provided by TRs. Enter the number of reports made to TRs where the date of the report exceeds the trade date of the contract by more than one business day. Table 2.3 Details of outstanding contracts and trading volume Derivative Class No. of live derivative contracts as at the end date of Annual ERR Gross notional (in euros) of derivative contracts entered into during the reference period of the Annual ERR (flow) Gross notional (in euros) of derivative contracts outstanding as at the end date of Annual ERR (stock) Commodities Indicate the number of Credit contracts per asset class with maturity Foreign date greater than Exchange the Annual ERR Equity reference period end-date. Interest Rate Other This information should be sourced from the Enter the Euro equivalent total gross notional per asset class of derivative contracts entered into during the Annual ERR reference period. This information should be sourced from the Enter the Euro equivalent total gross notional per asset class of derivative contracts outstanding as at the reference period end-date. This information should be sourced 7

9 8 counterparty s own internal systems. counterparty s own internal systems. from the counterparty s own internal systems. Total Enter the sum of the above. Enter the sum of the above. Enter the sum of the above. Table 2.3 Hedging Method Are OTC derivative contracts primarily used to reduce risks directly relating to the commercial activity or treasury financing activity of the NFC or for speculative purposes? Please indicate whether the primary use of derivatives is for hedging or speculative purposes. Please indicate Hedging or Speculative. If applicable, please specify the method used to objectively measure how risks are reduced. Enter the type of model used to measure how risks are reduced e.g. Internal Model or IFRS. 8

10 9 Section 3 Supplementary Information & Director Declaration Please specify the legal structure of the NFC: The NFC/Group Website: The NFC s CRO number: Description of business activity of the NFC: The No. of employees in the NFC: The level of turnover as per the last set of signed Financial Statements: Which sector does the NFC fall into? Description of the NFC s use of derivative strategies: Indicate whether the counterparty is a limited company, unlimited company, partnership etc. Provide details of the counterparty s and/or group s website if available. Otherwise indicate N/A. Please provide details of the counterparty s CRO number. Set out a brief description of the counterparty s business activity. Indicate the number of employees in the counterparty. Please provide details of the counterparty s latest audited turnover as set out in the last set of signed financial statements. Please indicate the NACE 3 code applicable to the counterparty. Provide summary details of the counterparty s use of derivative strategies The parent: Group Please provide the name of the parent of the Group the counterparty belongs to or if not applicable please mark as N/A. Does the NFC currently clear derivatives? Indicate Yes or No. If yes please provide the name of the central counterparty, the type of contracts cleared and details of clearing brokers used

11 10 Does the NFC margin derivatives bilaterally with counterparties? Has the NFC entered into an ISDA agreement, with any of its counterparties? Does the NFC exchange margin directly with a counterparty with which it has entered into a derivative contract either at the start of the contract (initial margin) or during the lifetime of the contract (variation margin)? Indicate Yes - Initial, Yes Variation, Yes Both or No. If yes, please list the name of counterparties with which the NFC exchanges margin and the type of margin exchanged initial or variation. If applicable, please provide details, of the counterparties. If not please mark as N/A. Directors Declaration I declare that the information which has been detailed in this EMIR Regulatory Return is complete and accurate to the best of my knowledge. Signed by: Director of the NFC: Date: Director of the NFC: Date: Further Information Contact the EMIR Unit at emir@centralbank.ie 10

12 T emir@centralbank.ie Bosca PO 559, Sráid an Dáma, Baile Átha Cliath 2, Éire PO. Box No 559, Dame Street, Dublin 2, Ireland