EMIR Supervision by DNB Points of interest and highlights Mieke Wennekes, 24 november 2015 1 Agenda Why EMIR EMIR Supervisory requirements Whom does this concern What can you expect from DNB What will DNB expect from you 2 1
Why EMIR G20 Pittsburgh 2009: All standardised OTC derivative contracts should be traded on exchanges or electronic trading platforms, where appropriate, and cleared through central counterparties by end 2012 at the latest. OTC derivative contracts should be reported to trade repositories. Non-centrally cleared contracts should be subject to higher capital requirements. EU: European Markets Infrastructure Regulation (EMIR) 2012 Aim: More transparency Less systemic risk Pillars: Reporting to TR Central clearing (including supervision on CCPs) Riskmitigation techniques (at non-central clearing) 3 EMIR: Supervisory requirements 4 2
EMIR Timelines Clearing and reporting Central clearing will be phased in per product and per client category: first obligations IRS expected to come into force May 2016 Reporting requirements 5 EMIR Timelines- risk mitigation techniques Exchange of margin(initial and variation) (tbd) Dispute resolution Procedures (15 September 2013) Timely confirmation 15 March 2013 Non-centrally cleared OTC-derivative transactions Daily valuation mark-to market (15 March 2013) Portfolio Compression (15 September 2013) Portfolio reconciliation (15 September 2013) 6 3
EMIR: whom does it concern? FC Banks Insurers Pension funds Investment companies(bo and BI) DNB (AFM for BO and AIFM) NFC+ Non-financial counterparties above the threshold AFM NFC- Non-financial counterparties below the threshold AFM 7 EMIR Steps taken by DNB Set up a project team Brainstorm with supervisors Design supervisory templates EMIR as Supervisory theme 20165 Embedding supervision in On-site and banking expertise (OSBE) Approval by DNB Supervisory Council 8 4
EMIR: what can you expect from DNB? Supervisory theme in 2016: 1) Impact on liquidity 2) Compliance with reporting obligation and requirements 3) Compliance with clearing obligation (temporary exemption for pension funds) 4) Compliance with risk mitigation techniques 9 EMIR: what can you expect from DNB? 1) Impact on liquidity through separate research project (October 2015-March 2016) consequences for the collateral available Scope includes pension funds,insurers and banks DNB acknowledges different issues in each area 2) Reporting requirements DNB will use data from TR, analyse this data and use it in ongoing supervision DNB will use the outcome of ESMA Level 1 and Level 2 validations to check for completeness and consistency of data reported 10 5
EMIR: what can you expect from DNB? 3 and 4) Compliance with clearing obligation and risk mitigation techniques: Using self-assessments; periodic meetings; on-site inspections and theme based assessments Besides: Assessing requests for exemptions IGT for clearing and/or margining (form downloadable via Open Boek) No LEI No Trade Enforcement - (inter)national coordination 11 Check whether your institution falls within the scope of the IRS Clearing obligations. If so: In which category and; Is frontloading applicable and; Is all the necessary documentation in place (for example agreements with CCP and/or CM) and; Does your institution have sufficient ( highly liquid) collateral? 12 6
Check whether your institution falls within the scope of the IRS Clearing obligations. If so: In which category and; Is frontloading applicable and; Is all the necessary documentation in place (for example agreements with CCP and/or CM) and; Does your institution have sufficient ( highly liquid) collateral? Pension fund Buy/sell IRS Bank Clearing member Central counterparty (CCP) Clearing member 13 Check whether your institution complies with the reporting requirements including frontloading 14 7
Check whether your institution complies with the reporting requirements - including frontloading Pension fund Buy/sell IRS Bank Clearing member Central counterparty (CCP) Clearing member Trade repository 15 Check whether your institution qualifies for exemption(s) of the clearing and/or margin obligation for intragroup transactions (IGT) Please note: notifications for IGT are only possible when the first clearing obligation comes into force, a pro forma notification is possible nonetheless) 16 8
Check whether your institution qualifies for exemption(s) of the clearing and/or margin obligation for intragroup transactions (IGT) Bank Daughter company Central counterparty (CCP) 17 Check whether your institution complies with the requirements for risk mitigation techniques for non-centrally cleared transactions Exchange of margin(initial and variation) (tbd) Dispute resolution Procedures (15 September 2013) Timely confirmation 15 March 2013 Non-centrally cleared OTC-derivative transactions Daily valuation mark-to market (15 March 2013) Portfolio Compression (15 September 2013) Portfolio reconciliation (15 September 2013) 18 9
Thank you! emir@dnb.nl 19 10