Disclosure Pricing Document for OTC Derivatives Clearing Services

Transcription

1 EMIR BANCA IMI S.P.A Disclosure Pricing Document for OTC Derivatives Clearing Services July 2017 BANCA IMI

2 Contents Background... 2 General Pricing Consideration... 3 Additional Costs associated with Segregation... 4 Pricing Structure for OTC

3 Background The European Market Infrastructure Regulation (EMIR) of the European Parliament and of The Council of 4 July 2012 on OTC derivatives, central counterparties (CCPs) and Trade Repositories entered into force on 16 August Some EMIR provisions effect changes in the legal and regulatory landscape for central counterparties in the EU (CCPs) and clearing members of such CCPs, in relation to both listed and OTC derivatives. As part of our obligations under EMIR, Banca IMI S.p.A. ( Banca IMI ), as a clearing member at certain CCPs, is required to: publicly disclose the prices and fees associated with the clearing services we provide (including any discounts and rebates and the conditions to benefit from those reductions) (EMIR Article 38(1)); offer our clients a choice between omnibus client segregation and individual client segregation account types (EMIR Article 39(5)); and publicly disclose the levels of protection we offer to clients, in respect of account types, the corresponding degrees of segregation and the associated costs (EMIR Article 39(7)). This document sets out Banca IMI s indicative pricing for providing clearing services on such CCPs and forms the basis for specific discussions between you and your Banca IMI client representative(s) regarding the costs involved in clearing OTC derivatives and selecting omnibus client segregation or individual client segregation. Banca IMI s charges may vary from CCP to CCP depending on the account structures, level of risk associated with such account structures, products, and services offered. This Pricing Schedule should be read in conjunction with Banca IMI s EMIR Article 39(7) Clearing Member Disclosure Document ( Disclosure Document ) which contains further information regarding the levels of protection that Banca IMI offers clients in connection with clearing services. 2

4 General Pricing Consideration Banca IMI s charges set out below are indicative of the highest charge applied to the stand-alone provision of clearing services before applying any discount or reduction. The charges are in addition to any fees or charges applied by each relevant CCP or third party for the provision of clearing services, subject to the discussion on available discounts or reductions below. Banca IMI S.p.A is currently a member of five central counterparties. Each CCP will provide details on its website of the charges for each account type and the provision of its clearing services. Banca IMI s charges for the provision of clearing services to a specific client are calculated based on a number of variable factors. A client may receive a discount or a reduction from the maximum charges depending on key factors (see table below) and their application to that client, which may include consideration of a client s wider relationship within the ISP Group (e.g: a client s credit rating, overall revenue opportunity, capital requirements for banks, or the structure and complexity of clearing service requirements for that CCP). For any particular CCP service, clients may choose between an Client or an Client offered by Banca IMI. Due to the increased operational complexity and funding implications generally required to support Client s, it is likely that the range of available discounts will be higher for Client s than for Client s. In addition to Banca IMI s fees, Banca IMI S.p.A will require clients to pay third party fees incurred in relation to a client s cleared transactions. Such third party fees will generally include clearing house fees (e.g.: including fees imposed by clearing houses for holding non-cash collateral or upon request by CCP to Banca IMI of any eventual additional margin amount as a consequence of specific Stress Test carried out by the former one, Banca IMI will apply an additional clearing fee which will cover the funding cost generated by the exposure of client s portfolio), commissions on brokerage due to intermediary (including introducing) clearing brokers on markets where Banca IMI S.p.A is not a member (e.g: regulatory levies, taxes or other charges or costs that may be imposed on or 3

5 collectible from the clearing brokers on behalf of the clearing house, third party brokers, third party vendors, regulators or tax authorities). Clearing house fees are available on the websites of the relevant clearing houses and can be subject to changes. Additional Costs associated with Segregation As per Article 39(5) and 39(7) of EMIR, a clearing member shall offer its clients, at least, the choice between omnibus client segregation and individual client segregation and inform them of the costs and level of protection associated with each option. Different account structures at different CCPs may result in varying costs and varying levels of risk associated with a default of the clearing member or another client, the ability for portability, capital requirements for banks, operational complexity and consequently the associated cost to clients. In this regard, please note Banca IMI Clearing Member Disclosure Document ( Disclosure Document ) which contains further information regarding the levels of protection that Banca IMI offers clients in connection with clearing services. The cost for clearing on an omnibus basis is determined by way of application of the factors set out above. Opting for individual client segregation for all or some of your clearing business with Banca IMI may involve additional charges, which will be in addition to fees for omnibus clearing. These consist of: One off charge of EUR 10,000 to open a new individual account or convert an existing account to the individual account structure - Charge for cash payments or receipts on behalf of the client to or from the clearing house of EUR 100 per movement, - Charge for movement of non-cash collateral on behalf of the client to or from the clearing house of EUR 250 per movement Any account maintenance charge applied by the Clearing House will be passed through and charged to the client. Credit or debit interest (including if the Clearing House applies negative interest rates) arising on the individually segregated account balance will be passed through without adjustment. 4

6 Apart from negative interest rates, these charges are specific to individually segregated accounts. There are no equivalent charges applicable to omnibus segregated accounts. Pricing Structure for OTC Type of Fees Features Type Fees Transaction Clearing Fee* It is in addition to any exchange, CCP or other third party fees associated with the execution or clearing of the transaction, and is applicable to Client s, Client and Sponsored Sponsored 500 EUR 500 EUR 500 EUR Maintenance Fee Monthly basis The structure of Client s may not be the same across all CCPs, which may result in variable Maintenance Fees for the provision of these services Sponsored 20 EUR per trade 20 EUR per trade 40 EUR per trade 25 BPS Initial Margin Fee It will be applied on the amount of IM requested by CCP (for each ) 25 BPS Sponsored 70 BPS 5

7 Type of Fees Features Type Fees Additional Margin Fee Minimum Fee Monthly basis Upon request by CCP to Banca IMI of any eventual additional margin amount as a consequence of specific Stress Test carried out by the former one, Banca IMI will apply an additional clearing fee which will cover the funding cost generated by the exposure of client s portfolio It is in addition to any applicable CCP fees or charges, which the CCP requires for set up or maintenance of an Client and a separate charge may be applied for collateral movements Due to the additional operational complexity required to maintain an Client, Banca IMI will apply a different fee per account, to cover the additional operational support and resources required to maintain each account It is in addition to any applicable CCP fees or charges (for each ) Sponsored 100 BPS 100 BPS EUR EUR EUR Please note that pricing and charges are indicative and subject to change or amendment from time to time, as Banca IMI S.p.A comes into possession of information from CCPs regarding their costs account types and other relevant information. Please note that other add-on services may incur additional fees. *Please refer to the following website for the Clearing Fees on LCH Clearnet Ltd 6

8 *Please refer to the following website for the Clearing Fees on ICE Clear Europe ** Securities Clearing Fees are subject to change accordingly to the market conditions. These Clearing Fees applicable, should the client use securities to cover the Initial Margin requested by the Clearing House, are calculated daily upon the basis of the rates shown above and invoiced to the client on a monthly basis. Banca IMI S.p.A will apply the charges applied by the Clearing House, Exchange or other third party on exercises or assignments of options or for physical or cash settlement of futures Disclaimer Whilst this document will be helpful to you when making a decision about clearing services, this document does not constitute legal or any other form of advice and must not be relied on as such. This document is intended for discussion purposes only and does not create any legally binding obligations on the part of Banca IMI. This document provides a high level overview of pricing for clearing services. It does not provide all the information you may need to make your decision on which account type or level of segregation is suitable for you or what the precise charges will be to provide such levels of segregation to you. Please refer to your local sales contact at Banca IMI S.p.A for further information. 7