The Delta Report – Derivatives Newsletter: July 2018

Read: CFTC Chairman Co-Authors White Paper on Swaps Regulation Version 2.0

• CFTC Chairman J. Christopher Giancarlo published a white paper, "Swaps Regulation Version 2.0: An Assessment of the Current Implementation of Reform and Proposals for Next Steps," co-authored with CFTC Chief Economist Bruce Tuckman. The White Paper is intended as an agenda for the CFTC's ongoing improvement of its regulatory framework and assesses the successes and deficiencies of swaps reform in five key areas: central counterparties; reporting rules; execution rules; swap dealer capital; and end-user exceptions.

Read: Prudential Regulation Authority (PRA) Consultation Paper CP12/18 of 22 May 2018: “Securitisation: The new EU framework and Significant Risk Transfer” (the CP)

• The PRA has published a new CP regarding (i) proposals on its approach to the European Union's Securitisation Regulation and certain aspects of the revised Capital Requirements Regulation banking securitisation capital framework and (ii) its expectations with regard to Significant Risk Transfer (relevant for PRA-authorised CRD IV firms only).

Read: Securitisation Derivatives and the Margin Exemption

• This article discusses the current works to expand the current margin exemption for covered bond issuers to certain derivatives entered into in the context of simple, transparent and standardised securitisations.

Read: US Resolution Stay Final Rules

• US Regulators have released final rules restricting the ability of parties to certain specified financial contracts (including derivatives, repos, and securities lending and borrowing transactions) from exercising specific insolvency-related default rights against their counterparties that have been designated as a global systemically important banking organisation. The final rules achieve this by requiring the insertion of restrictions and prohibitions directly into such financial contracts.

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