This is surprising because securitisation derivatives already contain features to mitigate counterparty credit risk. Moreover, the nature of the securitisation derivatives makes it difficult to comply with the margining or clearing obligation. How can an SPV put down margining as it only has by definition control over its underlying portfolio? How can it post collateral?
The STS Regulation exempts STS SSPEs from the clearing obligation, provided that counterparty credit risk is adequately mitigated. Further clarity on this is needed as many European securitisation transactions use derivatives for genuine hedging purposes. Second, the revision of capital charges for STS securitisations in Solvency II is essential for the recovery of the investor base.