EUROPEAN UNION: European Securities and Markets Authority Consults on Technical Standard No 4 on Central Clearing of Interest Rate Swaps

Tuesday May 12 2015

The European Securities and Markets Authority (ESMA) has opened a consultation seeking stakeholders’ views on proposed regulatory technical standards on the clearing obligation under Regulation (EU) No 648/2012 of the European Parliament and Council on OTC derivatives, central counterparties and trade repositories (EMIR).

The paper follows the publication of three consultation papers on the clearing obligation on interest rate derivative classes, credit derivative classes , foreign-exchange non-deliverable forward classes , as well as the publication of a final report on the clearing obligation on interest rate derivative classes , and a feedback statement on non-deliverable forward classes.

The Consultation Paper provides explanations on the draft regulatory technical standards establishing a clearing obligation on additional classes of OTC interest rate derivatives that were not included in the first RTS on the clearing obligation for interest rate swaps. The addition consists of the following classes: fixed-to-float interest rate swaps denominated in CZK, DKK, HUF, NOK, SEK and PLN as well as forward rate agreements denominated in NOK, SEK and PLN.

The structure of this paper is the following:

• Section 3 provides an overview of the clearing obligation procedure. 
• Section 4 provides clarifications on the structure of the classes of OTC interest rate derivatives that are proposed for the clearing obligation. 
• Section 5 includes the determination of the classes of OTC derivatives that should be subject to mandatory clearing with an analysis of the relevant criteria. 
• Section 6 presents the approach for the definition of the categories of counterparties, and the proposals related to the dates from which the clearing obligation should apply per category of counterparties. 
• Section 7 provides explanations on the definition of the minimum remaining maturities for the application of frontloading.

Click on the link above for further details.