25 June 2012 | ESMA/2012/379
Consultation Paper
Draft Technical Standards for the Regulation on OTC Derivatives, CCPs andTrade Repositories
2
Responding to this paper
ESMA invites comments on all matters in this paper. Comments are most helpful if they:
•
contain a clear rationale;
•
include quantitative elements to support any concern; and
•
describe any alternatives ESMA should consider, including alternative drafts.ESMA will consider all comments received by
5 August
2012
. All contributions should be submitted online at www.esma.europa.euunder the heading ‘Consultations’.
Publication of responses
All contributions received will be published following the close of the consultation period, unless yourequest otherwise. Please clearly and prominently indicate in your submission any part you do not wish to be publically disclosed. A standard confidentiality statement in an email message will not be treated as arequest for non-disclosure. A confidential response may be requested from us in accordance with ESMA’srules on access to documents. We may consult you if we receive such a request. Any decision we make isreviewable by ESMA’s Board of Appeal and the European Ombudsman.
Data protection
Information on data protection can be found at www.esma.europa.euunder the heading ‘Disclaimer’.
Who should read this paper
All interested stakeholders are invited to respond to this consultation paper. In particular, responses aresought from financial and non-financial counterparties of OTC derivatives transactions, centralcounterparties (CCPs) and trade repositories (TRs).
Date: 25 June 2012ESMA/2012/379
3
Table of Contents
I.
Executive Summary _______________________________________________________ 5
II.
Introduction ____________________________________________________________ 6
III.
OTC Derivatives __________________________________________________________ 7
III.I
Clearing obligation __________________________________________________ 8
III.II
Clearing obligation procedure __________________________________________ 9
III.III
Public register _____________________________________________________ 12
III.IV
Access to a trading venue _____________________________________________ 13
III.V
Non-financial counterparties ___________________________________________ 14
III.VI
Risk mitigation for OTC derivative contracts not cleared by a CCP _________________ 16 IV.
CCP Requirements _______________________________________________________ 23
IV.I
College _________________________________________________________ 23
IV.II
Recognition of a CCP _______________________________________________ 24
IV.III
Organisational requirements ___________________________________________ 25
IV.IV
Record keeping ___________________________________________________ 28
IV.V
Business continuity ________________________________________________ 29
IV.VI
Margins ________________________________________________________ 29
IV.VII
Default fund ______________________________________________________33
IV.VIII
Liquidity risk controls ______________________________________________ 34
IV.IX
Default waterfall ___________________________________________________ 35
IV.X
Collateral requirements _____________________________________________ 36
IV.XI
Investment policy _________________________________________________ 38
IV.XII
Review of models, stress testing and back testing ____________________________ 40 V.
Trade Repositories _______________________________________________________ 43
V.I
Reporting obligation _______________________________________________ 44
V.II
Application for registration ____________________________________________ 51
V.III
Transparency and data availability _______________________________________ 53 ANNEX I - Legislative mandate to develop draft technical standards .......................................................... 58
ANNEX II - Draft regulatory technical standards on OTC derivatives .......................................................... 62
ANNEX III - Draft regulatory technical standards on CCP requirements ..................................................... 79
ANNEX IV - Draft implementing technical standards on record keeping requirements for CCPs............ 128
ANNEX V - Draft regulatory technical standards on trade repositories ....................................................... 137
ANNEX VI - Draft implementing technical standards on trade repositories ............................................... 167
ANNEX VII - Impact Assessment .................................................................................................................. 178
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