EMIR – Implementering og påvirkning for køber

Anders Møller Hakala & Nicolai Birch Lakjer

Student thesis: Diploma thesis


In the aftermath of the latest financial crises, the policymakers sought out to increase the transparency and reduce the counterparty risk on the over-the-counter (OTC) derivatives market. By August 2012 the European Market Infrastructure Regulation entered into force and mandated a central clearing process for all qualified OTC derivatives, such as interest rate swaps (IRS). While it is not yet mandated to clear non-deliverable forwards (NDF), there has been discussions about making it mandated for institutions to clear NDF. This thesis seeks out to discuss the economical and administrative consequences of the EMIR regulation and how they affect pension and investment funds with the origin of Nordea Liv og Pension and Nordea Invest. Furthermore, the thesis examines whether the institutions should clear their NDF contracts or not. Due to the regulations the funds have been required to develop dual systems for both trades made bilateral and through central clearing. In addition to this the funds have experienced increased costs to legal and personnel costs since they have to review and process the documents. All the above increases the administrative costs for the funds. The regulations also require the posting of collateral in form of variation margin and initial margin for both bilateral and cleared contracts. Since both funds aims to be as fully invested as possible, the regulation has required them to have more cash available for the posting of variation margin. In the case on how EMIR have affected the IRS, the thesis calculated the credit value adjustment for a bilateral trade and a cleared trade. The result showed that JPMorgan had to reserve a slightly higher amount for the bilateral trade to meet the capital requirement. This amount has to been included in the spread on the bilateral trade. The dissertation did analyse the spread on IRS contracts before and after mandatory clearing on IRS entered into force. It could not be concluded if there was a clear trend in the development on the spread. Since it is not mandatory to clear an NDF contract, the thesis analysed the fees on a bilateral and cleared NDF contract. The analysis led to two results. EMIR is not fully implemented yet and with the current regulations, the bilateral contract was the cheapest. However, when EMIR is fully implemented the results showed that the cleared contract would be the cheapest. This is due to the higher initial margin claims on the bilateral trade. The dissertation

EducationsGraduate Diploma in Accounting and Financial Management, (Diploma Programme) Final Thesis
Publication date2018
Number of pages101