Response to consultation on draft RTS amending Delegated Regulation (EU) 2016 2251 on risk-mitigation techniques for OTC-derivative contracts not cleared by a CCP

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Question 1: Do stakeholders agree with the amendments for Delegated Regulation (EU) No 2251/2016 suggested in this CP?

We do agree, subject to our answers below.
Furthermore we wonder whether the amendments are also applicable to transactions issued before 1 January 2019 that are considered STS under the Transitional provisions of Art 43 of Regulation (EU) 2017/2402. If not so, these transactions might become subject to the Financial Counterparty status as currently considered in the EMIR review, which would create a difficult situation, or best case be regarded as Non Financial Counterparties, which also could create problems for those groups exceeding the relevant thresholds.

Question 2: Are there any additional or alternative requirements for securitisations that stakeholders view should be introduced in Delegated Regulation (EU) No 2251/2016 following the amended mandate in Article 11(15) of EMIR?

Not that we are aware of.

Question 3: Do stakeholders consider that the condition in draft Article 30a(2)(a) results in a treatment consistent with that provided in Article 30(2)(b) of Delegated Regulation (EU) No 2251/2016?

Not really. Compensating recourse to the issuer by the disallowance of a waiver of the pari passu condition is not something that can be easily justified with any “hard numbers”.

Question 4: Do stakeholders consider that the non consideration of the waiver of the pari-passu rank, in conjuction with the minimum 2% credit enhancement, results in a similar protection of the OTC counterparty in the cases of STS securitisations as in the case of covered bonds? Or would it instead be necessary to retain the waiver currently available for covered bonds also for exceptional situations under STS securitisations?

The same problem applies as indicated in our answer on Q3. While the comparison of 2% overcollateralisation and 2% credit enhancement for senior notes certainly seems logic, comparing the waiver of the pari passu rank with any other kind of protection is not really a viable possibility.

Name of organisation

Dutch Securitisation Association