10 June 2016

European Commission: Adoption of a delegated regulation on central clearing for interest rate derivatives

Article 1- Classes of OTC derivatives subject to the clearing obligation

1. The classes of over the counter (OTC) derivatives set out in Annex I shall be subject to the clearing obligation.

2. The classes of OTC derivatives set out in Annex I shall not include contracts concluded with covered bond issuers or with cover pools for covered bonds, provided those contracts satisfy all of the following conditions:

(a) they are used only to hedge the interest rate or currency mismatches of the cover pool in relation with the covered bond;

(b) they are registered or recorded in the cover pool of the covered bond in accordance with national covered bond legislation;

(c) they are not terminated in case of resolution or insolvency of the covered bond issuer or the cover pool;

(d) the counterparty to the OTC derivative concluded with covered bond issuers or with cover pools for covered bonds ranks at least pari-passu with the covered bond holders except where the counterparty to the OTC derivative concluded with covered bond issuers or with cover pools for covered bonds is the defaulting or the affected party, or waives the pari-passu rank;

(e) the covered bond meets the requirements of Article 129 of Regulation (EU) No 575/2013 and is subject to a regulatory collateralisation requirement of at least 102%. 

Article 2- Categories of counterparties

1. For the purposes of Articles 3 and 4, the counterparties subject to the clearing obligation shall be divided in the following categories:

(a) Category 1, comprising counterparties which, on the date of entry into force of this Regulation, are clearing members, within the meaning of Article 2(14) of Regulation (EU) No 648/2012, for at least one of the classes of OTC derivatives set out in Annex I of this Regulation or in Annex I of [Regulation (EU) …/… Please insert the reference of the Delegated Regulation establishing the clearing obligation for interest rate swaps denominated in EUR, GBP, JPY and USD], of at least one of the CCPs authorised or recognised before that date to clear at least one of those classes;

(b) Category 2, comprising counterparties not belonging to Category 1 which belong to a group whose aggregate month-end average of outstanding gross notional amount of non-centrally cleared derivatives for [OP Please insert months; each of the three months which are included in Article 2(1)(b) of Regulation (EU) …/… establishing the clearing obligation for interest rate swaps denominated in EUR, GBP, JPY and USD] is above EUR 8 billion and which are any of the following: (i) financial counterparties; (ii) alternative investment funds as defined in Article 4(1)(a) of Directive 2011/61/EU that are non-financial counterparties;

(c) Category 3, comprising counterparties not belonging to Category 1 or Category 2 which are any of the following: (i) financial counterparties; (ii) alternative investment funds as defined in Article 4(1)(a) of Directive 2011/61/EU that are non-financial counterparties;

(d) Category 4, comprising non-financial counterparties that do not belong to Category 1, Category 2 or Category 3.

2. For the purposes of calculating the group aggregate month-end average of outstanding gross notional amount referred to in point (b) of paragraph 1, all of the group’s non-centrally cleared derivatives, including foreign exchange forwards, swaps and currency swaps, shall be included.

3. Where counterparties are alternative investment funds as defined in Article 4(1)(a) of Directive 2011/61/EU or undertakings for collective investment in transferable securities as defined in Article 1(2) of Directive 2009/65/EC, the EUR 8 billion threshold referred to in point (b) of paragraph 1 of this Article shall apply individually at fund level.

Article 4 – Minimum remaining maturity

1. For financial counterparties in Category 1, the minimum remaining maturity referred to in point (ii) of Article 4(1)(b) of Regulation (EU) No 648/2012, at the date the clearing obligation takes effect, shall be:

(a) 15 years for contracts entered into or novated before [OP please insert date: two months after the date of entry into force of this Regulation] that belong to the classes in Table 1 set out in Annex I;

(b) 3 years for contracts entered into or novated before [OP please insert date: two months after the date of entry into force of this Regulation] that belong to the classes in Table 2 set out in Annex I;

(c) 6 months for contracts entered into or novated on or after [OP please insert date: two months after the date of entry into force of this Regulation] that belong to the classes in Table 1 or Table 2 set out in Annex I.

2. For financial counterparties in Category 2, the minimum remaining maturity referred to in point (ii) of Article 4(1)(b) of Regulation (EU) No 648/2012, at the date the clearing obligation takes effect, shall be:

(a) 15 years for contracts entered into or novated before [OP please insert date: two months after the date of entry into force of this Regulation] that belong to the classes in Table 1 set out in Annex I;

(b) 3 years for contracts entered into or novated before [OP please insert date: two months after the date of entry into force of this Regulation] that belong to the classes in Table 2 set out in Annex I;

(c) 6 months for contracts entered into or novated on or after [OP please insert date: two months after the date of entry into force of this Regulation] that belong to the classes in Table 1 or Table 2 set out in Annex I.

3. For financial counterparties in Category 3 and for transactions referred to in Article 3(2) of this Regulation concluded between financial counterparties, the minimum remaining maturity referred to in point (ii) of Article 4(1)(b) of Regulation (EU) No 648/2012, at the date the clearing obligation takes effect, shall be:

(a) 15 years for contracts that belong to the classes in Table 1 set out in Annex I;

(b) 3 years for contracts that belong to the classes in Table 2 set out in Annex I.

4. Where a contract is concluded between two financial counterparties belonging to different categories or between two financial counterparties involved in transactions referred to in Article 3(2), the minimum remaining maturity to be taken into account for the purposes of this Article shall be the longer remaining maturity applicable.

Delegated Regulation

© European Commission