27.3.

2020 EN Official Journal of the European Union L 94/5

COMMISSION DELEGATED REGULATION (EU) 2020/447

of 16 December 2019
supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with
regard to regulatory technical standards on the specification of criteria for establishing the
arrangements to adequately mitigate counterparty credit risk associated with covered bonds and
securitisations, and amending Delegated Regulations (EU) 2015/2205 and (EU) 2016/1178

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC
derivatives, central counterparties and trade repositories (1), and in particular Article 4(6) thereof,

Whereas:

(1) Regulation (EU) 2017/2402 of the European Parliament and the Council (2) amended Regulation (EU) No 648/2012
to insert into that Regulation certain conditions under which OTC derivative contracts concluded by covered bond
entities in connection with covered bonds, and OTC derivative contracts concluded by securitisation special
purpose entities in connection with securitisations, can be exempted from the clearing obligation.

(2) Commission Delegated Regulations (EU) 2015/2205 (3) and 2016/1178 (4) already contain a number of conditions
under which OTC derivative contracts concluded by a covered bond entity in connection with a covered bond can
be excluded from the clearing obligation.

(3) There is a degree of substitutability between OTC derivative contracts concluded by covered bond entities in
connection with covered bonds, on the one hand, and OTC derivative contracts concluded by securitisation special
purpose entities in connection with securitisations, on the other hand. In order to avoid potential distortion or
arbitrage, their treatment toward the clearing obligation should be consistent.

(4) It is therefore appropriate, also in the light of the amendment to Regulation (EU) No 648/2012 by Regulation (EU)
2017/2402, to remove from Delegated Regulations (EU) 2015/2205 and (EU) 2016/1178 all conditions under
which OTC derivative contracts concluded by a covered bond entity in connection with a covered bond can be
excluded from the clearing obligation, and to insert those conditions in a new Delegated Regulation which also
contains conditions under which OTC derivative contracts concluded by a securitisation special purpose entity in
connection with a securitisation can be excluded from that clearing obligation.

(5) Delegated Regulation (EU) 2015/2205 and Delegated Regulation (EU) 2016/1178 should therefore be amended
accordingly.

(1) OJ L 201, 27.7.2012, p. 1.

(2) Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for
securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives
2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).
(3) Commission Delegated Regulation (EU) 2015/2205 of 6 August 2015 supplementing Regulation (EU) No 648/2012 of the European
Parliament and of the Council with regard to regulatory technical standards on the clearing obligation (OJ L 314, 1.12.2015, p. 13.).
(4) Commission Delegated Regulation (EU) 2016/1178 of 10 June 2016 supplementing Regulation (EU) No 648/2012 of the European
Parliament and of the Council with regard to regulatory technical standards on the clearing obligation (OJ L 195, 20.7.2016, p. 3.)
L 94/6 EN Official Journal of the European Union 27.3.2020

(6) This Regulation is based on the draft regulatory technical standards submitted by the European Banking Authority,
the European Insurance and Occupational Pensions Authority and the European Securities and Markets Authority
to the European Commission.

(7) The European Banking Authority, the European Insurance and Occupational Pensions Authority and the European
Securities and Markets Authority have conducted open public consultations on the draft regulatory technical
standards on which this Regulation is based and have analysed the potential related costs and benefits. The
European Supervisory Authorities have also requested the opinion of the Banking Stakeholder Group established in
accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (5), the
opinion of the Insurance and Reinsurance Stakeholder Group and the Occupational Pensions Stakeholder Group
established in accordance with Article 37 of Regulation (EU) No 1094/2010 of the European Parliament and of the
Council (6), and the opinion of the Securities and Markets Stakeholder Group established in accordance with
Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (7),

HAS ADOPTED THIS REGULATION:

Article 1

Criteria to determine which arrangements under covered bonds mitigate counterparty credit risk

Arrangements under covered bonds shall be considered to adequately mitigate counterparty credit risk, where OTC
derivative contracts concluded by covered bond entities in connection with covered bonds comply with all of the
following criteria:
(a) those contracts are registered or recorded in the cover pool of the covered bond in accordance with national legislation
on covered bonds;
(b) those contracts are not terminated in case of resolution or insolvency of the covered bond issuer or the cover pool;
(c) the counterparty to the OTC derivative contract 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
contract 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;
(d) the covered bond is subject to a regulatory collateralisation requirement of at least 102 %.

Article 2

Criteria to determine which arrangements under securitisations mitigate counterparty credit risk

Arrangements under securitisations shall be considered to adequately mitigate counterparty credit risk where OTC
derivative contracts concluded by securitisation special purpose entities in connection with securitisations satisfy all of the
following criteria:
(a) the counterparty to the OTC derivative concluded with the securitisation special purpose entity in connection with the
securitisation ranks at least pari passu with the holders of the most senior securitisation tranche except where the
counterparty to the OTC derivative concluded with the securitisation special purpose entity in connection to the
securitisation is the defaulting or the affected party;
(b) the securitisation special purpose entity in connection with the securitisation with which the OTC derivatives contract
is associated is subject, on an ongoing basis, to a level of credit enhancement of the most senior securitisation note of at
least 2 % of the outstanding notes.

(5) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European
Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision
2009/78/EC (OJ L 331, 15.12.2010, p. 12).
(6) Regulation (EU) No 1094/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European
Supervisory Authority (European Insurance and Occupational Pensions Authority), amending Decision No 716/2009/EC and
repealing Commission Decision 2009/79/EC (OJ L 331, 15.12.2010, p. 48).
(7) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European
Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission
Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
27.3.2020 EN Official Journal of the European Union L 94/7

Article 3

Amendment to Delegated Regulation (EU) 2015/2205

Article 1(2) of Delegated Regulation (EU) 2015/2205 is deleted.

Article 4

Amendment to Delegated Regulation (EU) 2016/1178

Article 1(2) of Delegated Regulation (EU) 2016/1178 is deleted.

Article 5

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the
European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States;

Done at Brussels, 16 December 2019.

For the Commission

The President
Ursula VON DER LEYEN