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EMIR Risk Mitigation Measures

The risk mitigation measures apply to parties who entered into OTC derivatives contracts, which are not cleared via a central clearing counterparty. The obligations apply depending on the qualification of the counterparties (FC+, FC-, NFC+ or NFC-) and are further described below.

Daily MTM valuation

FCs and NFCs+ are required to mark to market (MTM) their derivative portfolio on a daily basis. When a mark to market valuation is not possible, reliable and prudent marking-to-model shall be used instead.

This obligation came into force on 15 March 2013.

Timely confirmation

OTC derivative contracts must be confirmed within pre-defined timelines. EMIR specifies these timelines between 1 to 2 business days for most transactions. The number of days depends on the classification as an FC, NFC- or NFC+.

This obligation came into force on 15 March 2013.

Portfolio reconciliation and compression

Every involved party has a portfolio reconciliation obligation with respect to OTC traded derivatives which are not cleared. Counterparties are obliged to agree, before entering into an OTC derivative contract, the arrangements under which portfolios shall be reconciled.

Portfolio reconciliation is the process used to ensure that key transaction terms of transactions in a derivative portfolio between two counterparties are in agreement. Parties shall agree on the arrangements under which the portfolios shall be reconciled.

Reconciliation frequency:

For FC (both FC- and FC+) and NFC+:

Daily if ≥ 500 contracts;

Weekly if 51 ≤ contracts ≤ 499;

Quarterly if ≤ 50 contracts.

For NFC-:

Quarterly if > 100 contracts;

Yearly if ≤ 100 contracts.

FCs and NFCs which have more than 500 non-centrally cleared OTC derivative contracts outstanding must have procedures in place to analyze the possibility to conduct a portfolio compression exercise at least twice a year.

For any further questions with regard to portfolio reconciliation, please contact.

These obligations came into force on 15 September 2013.

Email to regulatoryvaluations@rabobank.com

Dispute resolution

Parties are obliged to agree on detailed procedures to identify, record and resolve disputes. Via these procedures the length of time for hich the dispute remains outstanding, the counterparty and the amount which is disputed must be recorded. A specific process must be in place for resolving disputes that have been outstanding for more than five business days.

Financial counterparties shall report to their competent authority any disputes between counterparties relating to an OTC derivative contract, its valuation or the exchange of collateral for an amount or a value higher than EUR 15mln and outstanding for at least 15 business days.

This obligation came into force on 15 September 2013.

Margin requirements

FCs and NFCs+ will in principle fall under the margin requirements (exchange of Initial and Variation Margin) under EMIR.

This obligation will be phased in with a final deadline of September 2022.

Subject to certain conditions being met, intragroup transactions are exempt from this obligation.

For more information about EMIR Risk Mitigation Measures, please visit the Q&A section.

Exemption for the intragroup exchange of margin

In accordance with article 11 EMIR, on 17 February 2022, De Nederlandsche Bank (DNB) has granted Coöperatieve Rabobank U.A. a full exemption for the intragroup exchange of variation margin and initial margin for interest rate, commodity and foreign exchange OTC derivatives between Coöperatieve Rabobank U.A. (LEI: DG3RU1DBUFHT4ZF9WN62) and its subsidiary Rabobank Australia Limited (LEI: YD1UKK50ZKDG6RHUUW75).

Coöperatieve Rabobank U.A. is the parent company of Rabobank Australia Limited, Rabobank Australia Limited services clients based in Australia.

The notional aggregate amount of the OTC derivative contracts to which the exemption applies was around EUR 4,5 billion at the time of the application for the exemption, this amount may vary over time.

This disclosure is made in accordance with article 20 of Commission Delegated Regulation (EU) No. 149/2013. No rights can be derived from this disclosure.

Overview of the Risk Mitigation Measures

Requirement	Date of application	FC (both FC+ and FC-)	NFC+	NFC-
Daily mark-to-market	15/03/2013	Yes	Yes	No
Timely confirmation	15/03/2013	T + 1	T + 1	T + 2
Portfolio reconciliation	15/09/2013	Every day, week, or quarter depending on portfolio size		Every quarter or year depending on portfolio size
Portfolio compression	15/09/2013	Applicable if > 500 contracts outstanding
Dispute resolution	15/09/2013	Procedures in place + reporting to competent authority	Procedures in place	-
Exchange of collateral (IM and VM)	Phase in, final deadline sept 2022	Yes	Yes	No