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Reporting by financial and non-financial counterparties upon exceeding certain clearing thresholds or when they no longer exceed them

Pursuant to Article 4(a) EMIR, Spanish financial counterparties exceeding any of the clearing thresholds laid down in Article 11 of Delegated Regulation (EU) 149/2013 and all non-financial counterparties that do not calculate their positions shall notify the CNMV and ESMA immediately, indicating, where appropriate, the time frame used to calculate positions.

Likewise, Article 10 EMIR provides that when a non-financial counterparty holds positions in OTC derivatives contracts exceeding the clearing thresholds detailed in the regulatory technical standards or does not calculate its positions in OTC derivatives contracts, it shall immediately report this circumstance to its Competent Authority (see the forms).

It is considered that the clearing threshold has been exceeded when the gross notional value of the positions in OTC derivatives contracts exceeds any of the following amounts laid down in Article 11 of Delegated Regulation (EU) 149/2013:

  • €1 billion for credit derivatives;
  • €1 billion for equity derivatives;
  • €3 billion for interest rate derivatives;
  • €3 billion for currency derivatives;
  • €3 billion for commodity derivatives and other underlying assets not mentioned above.

Entities may calculate their positions every twelve months, taking into account their aggregate month-end average position for the preceding twelve months.

When calculating its positions, a financial counterparty shall include all OTC derivatives contracts executed by it or by other entities belonging to its group.

Conversely, a non-financial counterparty shall include all OTC derivatives contracts executed by it or by non-financial institutions belonging to its group which are not used to mitigate business risk or treasury finance activities of said counterparty or of its group.

Financial and non-financial counterparties may also inform the CNMV that their aggregate month-end average position for the preceding twelve months does not exceed a certain clearing threshold.

Forms

These forms shall be forwarded:

  • In electronic format, the form in Excel format being duly completed and a copy thereof in pdf format with the relevant signatures, to the email address: notificaciones.emir@cnmv.es
  • Indicating in the SUBJECT line of the email the following text, as applicable: REPORTING HAVING EXCEEDED THE THRESHOLDS OF [FIRM NAME] or REPORTING NOT HAVING EXCEEDED THE THRESHOLDS OF [FIRM NAME]
  • In addition, a letter enclosing a hard copy of the original document submitted in pdf format shall be forwarded to the following address:

Secondary Market Department

EMIR reporting

c/ Edison 4

28006 Madrid (Spain)

Contracts pending confirmation and disputes for amounts in excess of 15 million euros

Communication of disputes between counterparties

From 15 September 2013, Spanish financial counterparties are required to inform the CNMV of any dispute related to an OTC derivatives contract, its valuation or the exchange of collateral for an amount or valued in excess of 15 million euros, which has been pending resolution for a least 15 business days.

The amount or the value of the dispute pending resolution shall be calculated and reported, where possible, on the basis of each transaction. However, the figure may be calculated at portfolio level if the valuation or the collateral in dispute, for example, the initial margin, is calculated at portfolio level.

The communication to the CNMV shall be carried out within the business day following the initial 15 business days of the date of the dispute. Upon communicating the dispute, a further notification shall be sent by the entity to the CNMV no later than five business days after its resolution. Entities with pending disputes which have been reported to the CNMV shall inform the latter of the status of such disputes within the first five days of each month.

Reporting of disputes

Financial counterparties shall use the following form: Form for Disputes EMIR CNMV

and send it to the following email address: notificaciones.emir@cnmv.es

To report the status of pending disputes, which were previously reported to the CNMV, entities shall send an email to notificaciones.emir@cnmv.es detailing the list of pending disputes, their status on the email date, and the estimated date for resolution.

In all cases, indicating in the SUBJECT line of the email the following text: REPORTING OF DISPUTES [FIRM NAME]

Timely confirmation

The procedure to be followed for financial counterparty reporting shall be indicated in due course, detailing the number of transactions whose confirmation has been pending for more than five business days.

Procedure for requesting exemption from the clearing, exchange of collateral and reporting obligations

Exemption from centralised clearing obligations

Article 4 EMIR provides that counterparties shall clear all OTC derivatives contracts pertaining to a class of OTC derivatives that has been declared subject to the clearing obligation if such contracts fulfil certain conditions.

In accordance with Article 88 EMIR, ESMA has a trade repository indicating the contracts which are subject to centralised clearing obligations within the European Union (See link: ESMA clearing obligations).

Article 4(2) EMIR provides that OTC derivatives contracts which are intragroup transactions as described in Article 3 EMIR shall not be subject to the clearing obligation. This exemption shall only apply if the counterparties have previously notified their respective competent authorities in writing that they intend to make use of the exemption for the OTC derivatives contracts concluded between each other.

In order to send such notification, the CNMV has published a document containing the instructions for reporting intragroup exemptions.

Exemption from exchange of collateral obligations

Article 11(3) EMIR provides that financial and non-financial counterparties with positions exceeding the clearing threshold shall have risk-management procedures that require the timely, accurate and appropriately segregated exchange of collateral with respect to OTC derivatives contracts that are not executed through a CCP.

Pursuant to Articles 11(6), 11(7), 11(8), 11(9) and 11(10) contracts concluded between entities belonging to the same group shall not be subject to this obligation if such entities have requested or communicated the use of the exemption to their competent authority, and the conditions laid down in these articles are fulfilled.

The entities concerned may send their notifications or requests by downloading the forms and following the instructions below:

Exemption from reporting obligations

Article 9(1) EMIR provides that counterparties and CCPs shall ensure that the details of any derivatives contract they have concluded and of any modification or termination of the contract are reported to a trade repository authorised or recognised by ESMA. The details shall be reported no later than the business day following the conclusion, modification or termination of the contract.

Notwithstanding this, the regulation also provides that the reporting obligation shall not be applicable to intragroup OTC derivatives contracts when at least one of the counterparties is a non-financial counterparty, or if it were established in the European Union, it would have been considered as a non-financial counterparty, provided that:

  • both counterparties are fully included in the same scope of consolidation.;
  • both counterparties are subject to appropriate centralised risk evaluation, measurement and control procedures;
  • the parent undertaking is not a financial counterparty.

The counterparties shall communicate their intention to apply the exemption to their competent authorities. The exemption shall be valid unless either of the notified competent authorities indicate, within three months of the date of notification, that they consider that the conditions referred to in subparagraph three are not fulfilled.

The CNMV is the authority responsible for the receipt and evaluation of the requests submitted by all Spanish counterparties.

The entities concerned may send their notifications or requests by downloading the forms and following the instructions below: