On 18 December 2019, the Council of the EU published a final draft of the Commission Delegated Regulation amending Delegated Regulation (EU) 2016/2251 as regards the specification of the treatment of over-the-counter (OTC) derivatives in connection with certain simple, transparent and standardised securitisations for hedging purposes.
Article 11 of the European Market Infrastructure Regulation (EMIR) requires counterparties to OTC derivative contracts that are not cleared by a central counterparty (CCP) to have risk-mitigation techniques. Commission Delegated Regulation (EU) 2016/2251 specifies further these risk-management techniques.
The draft Delegated Regulation proposes that Securitisation Special Purpose Entities (SSPEs) for OTC derivatives in connection with securitisations that meet the requirements to be classified as simple, transparent and standardised (STS), would be exempted from posting and collecting initial margins and from posting variation margins in the way already implemented for covered bonds.
The Delegated Regulation will enter into force 20 days after publication in the OJ subject to consideration by the Council of the EU and the European Parliament.