France: Projet de RTS du 8 Septembre 2016 relatif à l'atténuation des risques des dérivés conclus de gré à gré non compensés par des contreparties centrales

Le projet de RTS du 8 septembre 20161 (ci-après le « Projet de RTS ») a précisé le cadre règlementaire des obligations relatives à l'application des marges qui s'imposent aux contreparties ainsi que les éventuelles exemptions auxquelles elles peuvent prétendre.

Les contreparties à un contrat de dérivé de gré à gré non compensé par une contrepartie centrale sont soumises à des obligations de marges afin de couvrir leurs expositions et de réduire l'impact systémique d'un défaut de contrepartie.

L'intérêt du Projet de RTS en application de l'article 11 du règlement n°648/2012 (ci-après « Règlement EMIR ») est donc de :

  • Protéger les contreparties contre le risque de défaut des contrats de dérivés de gré à gré non compensés par la collecte de marges,
  • Etablir des procédures de gestion des risques,
  • Définir des catégories de collatéral admissible
  • Calculer, poster et collecter les marges,
  • Définir un calendrier en fonction de la taxinomie des marges et des contreparties.

I – CHAMP D'APPLICATION

En vertu des articles 4 et 11(1) du Règlement EMIR, le Projet de RTS s'applique à toute contrepartie qui conclut un contrat de dérivé de gré à gré non compensé par une contrepartie centrale.

Les obligations de marges pour l'atténuation des risques concernent donc toute contrepartie, pour tout dérivé de gré à gré dès lors que celui-ci n'est pas expressément exclu par les RTS du 6 août 2015, du 1er mars 2016 et du 10 juin 2016 relatifs aux dérivés soumis compensation obligatoire (les projets de RTS ne dressent pas de liste exhaustive des dérivés de gré à gré concernés par l'appel de marge. Ainsi il n'est pas nécessaire qu'ils soient spécifiquement visés pour entrer dans leur champ d'application).

II – CONCLUSION D'UN CONTRAT DE COMPENSATION ET D'ECHANGE DE COLLATERAL ENTRE LES CONTREPARTIES (MASTER AGREEMENT ISDA, CSA, CSD etc. )2

Les contreparties doivent conclure, par écrit, un contrat de compensation et un contrat d'échange de collatéral avant de conclure un contrat de dérivé de gré à gré de gré à gré non compensé.

Le contrat de compensation et le contrat d'échange de collatéral doivent comprendre :

  1. toutes les obligations de paiement,
  2. la compensation des paiements,
  3. les cas de défaut ou d'autres événements de résiliation,
  4. les méthodes de calcul,
  5. toute compensation des obligations en cas de résiliation, le transfert des droits et obligations,
  6. la loi régissant les transactions.

Le contrat d'échange de collatéral doit, au surplus, inclure certaines caractéristiques :

  • Les montants et types de collatéral requis,
  • Les accords de ségrégation,
  • L'ensemble de compensation (netting set) auquel l'échange de collatéral se rapporte,
  • Les procédures de notification, de confirmation et de modification des appels de marge,
  • Les procédures, méthodes, délais et répartition des responsabilités relatives au calcul des marges et de valorisation du collatéral,
  • Les évènements considérés comme des cas de défaut,
  • La loi applicable à l'échange de collatéral.

De plus, les contreparties doivent réaliser un audit juridique indépendant relatif à l'exécution du contrat de compensation et du contrat d'échange de collatéral.

III – MISE EN OEUVRE DE PROCEDURES3

Dans le cadre de la gestion des risques, chaque contrepartie doit mettre en oeuvre des procédures spécifiques relatives à :

  • L'éligibilité du collatéral pour les dérivés de gré à gré non compensés,
  • Le calcul et la collecte du collatéral pour les dérivés de gré à gré non compensés,
  • La gestion et la ségrégation du collatéral pour les dérivés de gré à gré non compensés,
  • Le calcul de la valeur ajustée du collatéral,
  • L'échange d'informations entre contreparties et l'enregistrement de toutes les exceptions,
  • La déclaration de toutes les exceptions à la direction générale (senior management),
  • Les conditions de l'accord convenu entre les contreparties,
  • La vérification périodique de la liquidité du collatéral qui peut être échangé,
  • La réappropriation du collatéral en cas de défaut de la contrepartie débitrice,
  • La surveillance régulière des expositions sur les dérivés de gré à gré intragroupes et le dénouement rapide des obligations de ces contrats.

Les procédures doivent être testées, revues et mises à jour autant de fois que nécessaire, au minimum une fois par an tout au long de la vie des dits contrats.

Sur demande, les contreparties qui utilisent des modèles de Marge Initiale doivent pouvoir fournir aux autorités compétentes toute la documentation relative aux procédures de gestion des risques.

Les AES ont précisé que la procédure de gestion des risques doit veiller à ce qu'il existe des accords écrits de contrat de compensation et de contrat d'échange de collatéral avant de conclure et d'exécuter un contrat de dérivé de gré à gré de gré à gré non compensé.

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Footnotes

1 Le 8 mars 2016, les Autorités Européennes de Supervision « AES », i. e. ABE (Autorité Bancaire Européenne), AEMF (Autorité Européenne des Marchés Financiers) et AEAPP (Autorité Européenne des Assurances et des Pensions Professionnelles) ont publié un projet final de RTS relatif a l'attenuation des risques des dérivés conclus de gré a gré non compenses par des contreparties centrales. Le 28 juillet 2016, la Commission européenne a approuvé, avec modifications, ce projet de norme technique. Le 8 septembre 2016, les AES ont répondu à la Commission européenne en proposant de nouveaux amendements. Ce présent projet du 8 septembre 2016 modifie le projet de RTS daté du 28 juillet 2016.

2 Article 3 du Projet de RTS.

3 Article 2 du Projet de RTS.

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