EBA欧洲银行-JC-2018-76-28Final-draft-RTS-on-the-amendments-to-the-clearing-obligation-under-the-Securitisation-Regulation29_21页_810kb

Summary of the Final Report: Amendments to the EMIR Clearing Obligation under the Securitisation Regulation

Core Content

This report outlines the amendments to the European Market Infrastructures Regulation (EMIR) introduced by the Securitisation Regulation (EU) 2017/2402, focusing on the clearing obligation for OTC derivatives associated with covered bonds and securitisation. The objective is to ensure a level playing field between these two regimes in terms of counterparty risk mitigation and clearing obligations.

Main Points

1. Clearing Obligation and Securitisation Regulation

• Securitisation Special Purpose Entities (SSPEs): SSPEs are classified as Non-Financial Counterparties (NFCs) under EMIR and are subject to the clearing obligation if they exceed the clearing threshold.
• Exemption Regime: The Securitisation Regulation introduces an exemption regime for OTC derivatives related to covered bonds and securitisations, provided certain conditions are met.
• Regulatory Technical Standards (RTS): ESMA is tasked with developing draft RTS to specify the conditions under which arrangements in covered bonds or securitisations can be considered as adequate counterparty risk mitigation.
• Consultation Feedback: Stakeholders were generally supportive of the proposed RTS, with few specific comments. No significant changes were made to the draft RTS based on these comments.

2. Clearing Obligation and Covered Bonds

• Covered Bonds Definition: Covered bonds are defined as debt instruments secured by a cover pool of assets, including mortgages and public sector debt.
• Hedging Arrangements: Covered bond issuers use OTC derivatives to hedge mismatches between the cover pool and the bond payments (interest rate and currency mismatches).
• Existing Conditions: Conditions for exemption from the clearing obligation were already in place in the Delegated Regulations and are now partially integrated into EMIR.
• Conditions to be Migrated: Two conditions from the Delegated Regulations have been incorporated into EMIR:
  • Derivatives used to hedge interest rate or currency mismatches (now in Article 4(5)(b) of EMIR).
  • Covered bonds meeting Article 129 of Regulation (EU) No 575/2013 (now in Article 2(30) of EMIR).
• Pari Passu Ranking: The condition that the OTC derivative counterparty must rank at least pari passu with the investors is relevant to securitisations, but the ESAs suggest a clarification that the counterparty must rank pari passu with the most senior investors.
• Credit Enhancement: A 2% credit enhancement is proposed for securitisations to mirror the 2% requirement for covered bonds.

3. Clearing Obligation and Securitisation

• No Specific Recital for Securitisation: Unlike covered bonds, there is no equivalent recital in EMIR for securitisation, but the ESAs propose to base the conditions on those for covered bonds.
• Relevant Conditions for Securitisations:
  • Pari passu ranking with the most senior note.
  • Derivatives used only to hedge interest rate or currency mismatches.
  • Minimum credit enhancement of 2% for the most senior securitisation tranche.
• Waiver Consideration: The ESAs suggest that the "or waivers the pari passu rank" clause should be deleted for securitisations to avoid inadequate credit risk mitigation.
• Collateral Requirements: The Securitisation Regulation also mandates the ESAs to determine the level and type of collateral for OTC derivatives not cleared by CCPs, taking into account existing arrangements.

Key Information

• RTS Development: ESMA is responsible for drafting the technical standards to specify the conditions for exemption from the clearing obligation.
• Implementation Timetable: The draft RTS will be submitted to the European Commission for endorsement within six months of the Securitisation Regulation's entry into force.
• Public Register: The details of the clearing obligation, including the classes of OTC derivatives and the categories of counterparties, are maintained in the Public Register.
• Consultation Process: A consultation paper was published on 4 May 2018, followed by an open hearing on 31 May 2018. Six respondents provided feedback, and the ESAs considered these in finalizing the draft RTS.

Structure of the Report

• Introduction: Explains the purpose and objectives of the clearing obligation under EMIR.
• Main Sections:
  • The clearing obligation in relation to the Securitisation Regulation.
  • The clearing obligation in relation to Covered Bonds.
  • The clearing obligation in relation to Securitisation.
• Annexes:
  • Annex I: Extract from the Securitisation Regulation amending EMIR.
  • Annex II: Article 1(2) of the Delegated Regulations on the clearing obligation.
  • Annex III: Draft Regulatory Technical Standards on the Clearing Obligation.
  • Annex IV: Impact assessment of the proposed changes.

Next Steps

• The final report is submitted to the European Commission for endorsement of the draft RTS.
• The Commission is expected to make a decision within three months of the submission date.
• The draft RTS is in Annex III and will be endorsed if approved.

Conclusion

The amendments aim to ensure that both covered bonds and securitisations are treated consistently regarding the clearing obligation and counterparty risk mitigation. The ESAs have considered stakeholder feedback and have finalized the draft RTS, which will be submitted for endorsement. The conditions for exemption are based on the existing framework and are aligned to maintain a level playing field and consistent application across both regimes.