[ParlTrack]

Proposal for a regulation
Article 2 – paragraph 2 – point a

(a) the members of the ESCB and other Member States’ bodies performing similar functions and other Union public bodies charged with or intervening in the management of the public debt, with the exception of the requirement to supply the data referred to in Article 16a;

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 13 – title

~~Investment fund's t~~Transparency in periodical reports

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 13 – paragraph 1 – introductory part

1. Management companies of UCITS, UCITS investment companies and AIFMs shall inform their investors on their use ~~they make of SFTs as well as~~of SFTs and their re-use of collateral in SFTs by disclosing all of othe~~r financing structures~~ information listed in Section A of the Annex to this Regulation:

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 13 – paragraph 1 a (new)

1a. Credit institutions established in a Member State and authorised in accordance with Directive 2013/36/EC shall inform their shareholders bi- annually, where applicable as part of their half-yearly and annual corporate report, of their use of SFTs and their re-use of collateral in SFTs by disclosing all of the information listed in Section A of the Annex to this Regulation.

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 13 – paragraph 1 b (new)

1b. Undertakings admitted to trading on a regulated market or on a multilateral trading facility shall inform their shareholders bi-annually, where applicable as part of their half-yearly and annual corporate report, of their use of SFTs and their re-use of collateral in SFTs by disclosing all of the information listed in Section A of the Annex to this Regulation.

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 13 – paragraph 3 – subparagraph 1a (new)

The Commission shall be empowered to adopt implementing acts to ensure uniformity in the disclosure of the information referred to in paragraphs 1, 1a and 1b.

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Chapter 5 – title

Transparency of rehypothecation and minimum standards for collateral management

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 15 a (new)

Article 15a Minimum Standards for Collateral Haircuts 1. Counterparties shall implement methodologies for the calculation of collateral haircuts on an individual asset basis or on a consolidated portfolio basis, depending on the nature of their trading activities. 2. In order to ensure the consistent application of paragraph 1, ESMA, in close cooperation with the European System of Central Banks (ESCB) and taking into account international regulatory developments, shall develop draft regulatory technical standards specifying the methodologies to be used by counterparties to determine: (a) the appropriate calculation method (individual asset basis or on a consolidated portfolio basis), depending on the type of counterparty and of its trading activities; (b) the appropriate degree of variation of haircuts to prevent procyclicality; (c) the minimum time period for historical data to take as reference in calculating haircuts; (d) the liquidation risk when liquidating large concentrated positions; (e) the "wrong-way" risk when the exposure to a single counterparty and the probability of default of the issuer of the collateral are positively correlated; (f) portfolio margin requirements and stress testing of these requirements. 3. Credit institutions which engage in non-centrally cleared SFTs with other counterparties that are not credit institutions against collateral other than government securities shall apply minimum numerical haircuts to the collateral received or collect minimum excess margin amounts consistent with the minimum numerical haircuts. 4. Institutions other than credit institutions which engage in SFTs with other counterparties that are not credit institutions shall apply minimum numerical haircuts to the collateral received. 5. In order to ensure the consistent application of paragraphs 3 and 4, ESMA, in close cooperation with the ESCB and EBA and taking into account international regulatory developments and the need for an harmonised international approach, shall develop draft regulatory technical standards specifying: (a) the haircut levels for corporate and other issuers and for securitised products, depending on the residual maturity of the collateral; (b) the conditions for exempting cash- collateralised securities lending from the haircut levels; (c) the conditions for exempting "collateral upgrade" transactions from the haircut levels; (d) the approach of a competent authority in a Member State to implement these haircut levels, whether at product level or at entity level; (e) the liquidation risk when liquidating large concentrated positions; (f) the "wrong-way" risk when the exposure to a single counterparty and the probability of default of the issuer of the collateral are positively correlated; (g) portfolio margin requirements and stress testing of these requirements. 6. The technical standards referred to in paragraphs 2 and 5 shall take into account the technical specificities of different counterparties and portfolios. They shall ensure compliance with the most recent internationally agreed standards. ESMA shall submit those draft regulatory technical standards to the Commission by ...* . Power is delegated to the Commission to adopt the regulatory technical standards referred to in Article 15(3b) and (3e) of this Regulation in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010. ______________ * OJ: please insert a date: 6 months from the date of entry into force of this Regulation.

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 15 b (new)

Article 15b Collateral Stress Tests 1. A counterparty shall subject its collateral management for SFTs to rigorous and frequent stress tests to assess its ability to meet foreseeable and unexpected calls for the return of cash collateral on an ongoing basis and in extreme but plausible market conditions and shall perform back tests to assess the reliability of the methodology adopted. These stress tests shall include an assessment of the lender’s ability to liquidate part or the entire reinvestment portfolio under a range of stressed market scenarios, including interest rate changes, higher cash collateral recalls from securities borrowers, higher redemptions by investors in the funds being lent, and changes in the credit quality of the portfolio. Counterparties shall obtain independent validation of such stress tests, shall inform their competent authority and ESMA of the results of the tests performed and shall obtain their validation before adopting any significant change to the models and parameters. 2. Counterparties shall publicly disclose key information on their collateral risk- management model and assumptions adopted to perform the stress tests referred to in paragraph 1. 3. In order to ensure consistent application of this Article, ESMA shall, after consulting EBA, other relevant competent authorities and the members of the ESCB, develop draft regulatory technical standards specifying: (a) the type of tests to be undertaken for different classes of financial instruments and portfolios; (b) the frequency of the tests; (c) the time horizons of the tests; (d) the key information referred to in paragraph 2. ESMA shall submit those draft regulatory technical standards to the Commission by ...*. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph, in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010. _________________ * OJ: please insert a date: 6 months from the date of entry into force of this Regulation.

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 16 a (new)

Article 16a Aggregate Reporting of SFT 1. ESMA shall produce an annual report on aggregate SFT volumes by type of counterparty and transaction based on data reported in accordance with and aggregate data supplied by the entities referred to in Article 2 (2)(a). 2. Aggregated repo data to be reported shall include: range of repo rates, size of market activity, currency breakdown of market activity (both cash and collateral), tenor composition of market activity (total or by collateral asset class), collateral composition by asset class and by quality, haircut ranges (total or by collateral asset class), market concentration metrics, and market segment (e.g. bilateral, centrally- cleared or tri-party). 3. Aggregated securities lending data to be reported may include: range of lending rates, volume and value of securities on loan, breakdown of activity by currency, tenor, collateral quality, collateral and/or counterparty type and beneficial owner type as well as the type of security lent and the asset type and maturity in which cash collateral is reinvested. 4. ESMA shall, by ...* define the format in which the entities referred to in Article 2 (2)(a) shall supply the data referred to in paragraph 1. ________________ * OJ: please insert date: 6 months from the date of entry into force of this Regulation.

2015/02/04
Committee: ECON

Eva JOLY

Proposal for a regulation
Article 26 – paragraph 1a (new)

1a. Two years after the entry into force of this Regulation, the Commission shall, after consulting ESMA, report on the feasibility and potential benefits and costs in terms of systemic stability of : (a) an harmonised regime for insolvency with regard to SFT and, in particular, repo transactions to facilitate insolvency or resolution proceedings; (b) a specific framework for the resolution of failed SFT counterparties, with an emphasis on repo transactions, including the possibility of a "repo resolution authority", to ensure the orderly resolution of SFT portfolios and prevent procyclical firesales of collateral.

2015/02/04
Committee: ECON

11 Amendments of Eva JOLY related to 2014/0017(COD)

ParlTrack - 2011-2024