Die ESMA hat Standards zur Umsetzung der EMIR Vorgaben veröffentlicht (Level II Massnahmen). Die darin beschriebenen Verfahren zur Implementierung einer zentralen Gegenstelle (CCPs) und eines Geschäfts-Verzeichnisses (trade repository) mit dem Ziel der Risikominderung und Transparenzerhöhung haben durchaus auch Einfluss auf die Prozesse bei der Verwaltung und Verwahrung von Sondervermögen. Hier müssen insbesondere die Berücksichtigung von Sicherheiten für Derivategeschäfte bei Berechnung von Exposures sowie deren Verwahrung und Bewertung, auch im Hinblick auf Regelungen im geplanten KAGB, auf möglichen Anpassungsbedarf hin analysiert werden.
“The European Securities and Markets Authority (ESMA) has today published its technical standards on the Regulation on OTC derivatives, central counterparties and trade repositories (EMIR), which set out the specific details of how EMIR’s requirements are to be implemented. The EMIR framework aims to improve the functioning of OTC derivatives markets in the European Union (EU), by reducing risks via the use of central clearing and risk mitigation techniques, increasing transparency via trade repositories, and ensuring sound and resilient central counterparties (CCPs).
New EU regulatory framework
ESMA’s standards on EMIR set out in detail the new regulatory framework for derivatives in the EU. Set out below under each overarching objective are the key changes ESMA introduced following the consultation process:
Increased transparency and supervision by:
Defining the details of derivatives transactions that need to be reported to trade repositories, including the information to be provided to ESMA for the authorisation and supervision of trade repositories and the data to be made available to relevant authorities and the public:
- ESMA has clarified that reporting of collateral can be done on a portfolio basis and that reporting of mark to market values is only applicable to those counterparties under the obligation to calculate those on a daily basis (which does not include non-financials under the threshold
- ESMA extended the provisions on access by the relevant authorities to ensure that they will be able to fulfil their mandates.
Setting out how the clearing thresholds will operate:
- In its standards, ESMA clarifies that employee’s benefits (such as stock options) and acquisitions would be covered by the hedging definition.
- The values of the level of the threshold (from €1bn to €3bn depending on the asset class) and the way to calculate the non-hedging positions (gross notional value) has been kept mostly unchanged compared to the consultation paper.
The reduction of counterparty risks by:
Setting out the risk mitigation techniques for OTC derivatives that are not centrally cleared, such as timely confirmation, portfolio compression and reconciliation
- ESMA has introduced phase-in periods for all requirements and adjusted the frequency of reconciliation;
- The requirements for clearing members under an indirect clearing arrangement have been substantially modified, but still ensuring equivalent protection to indirect clients.
Ensuring sound and resilient CCPs by:
Defining a set of organisational, conduct of business and prudential requirements for CCPs including margin requirements, default fund, default waterfall, liquidity risk management, and investment policy of CCPs, as well as stress and back tests:
- ESMA has maintained the 99.5% minimum confidence interval for OTC derivatives, but clarifying that a lower percentage can be used for products similar to exchange traded ones
- The calculation of the look-back period has been substantially redesigned, going towards a period of at least one year including stressed market conditions and procyclicality addressed in a different and more flexible manner;
- The two-day minimum liquidation period for margin calculation has been maintained;
- More flexibility has been introduced for the models applicable to portfolio margining;
- The skin in the game, as a percentage of the minimum capital, has been reduced to 25% from the initial 50%; and
- The conditions for the backing of bank guarantees has been revised and a delayed date of application introduced for energy markets.
ESMA held two rounds of public consultations in developing these standards, receiving 165 responses which contributed to shaping the final standards published today. The final standards have been sent today to the European Commission for their adoption as EU Regulations that will be directly applicable throughout the EU.”
Das Dokument zum download: ESMA level II on EMIR 2012-600_0