Derivative transactions eligible for cover

(1) Derivative transactions eligible for cover ("derivative transactions") are derivatives within the meaning of section 1(11), sixth sentence, no. 1 of the Banking Act combined separately for each Pfandbrief class under a standardised master agreement, including the collateral annexes and further agreements concluded under the master agreement. All the derivatives included must be structured as firm transactions and must serve to hedge individual other cover assets or Pfandbrief liabilities, or a totality of cover assets or Pfandbrief liabilities, against a general interest-rate risk, a specific interest-related price risk, a currency risk, or a combination of these. It must also be ensured, for the master agreement, that the claims of the Pfandbrief bank under the master agreement cannot be impaired, in the event of either the insolvency of the Pfandbrief bank or the ordering of resolution measures within the meaning of section 2(3) no. 5 of the Recovery and Resolution Act or Article 3(1) no. 10 of Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1; L 101, 18.4.2015, p. 62), as last amended by Regulation (EU) 2021/23 (OJ L 22, 22.1.2021, p. 1), against the Pfandbrief bank, nor by insolvency proceedings over the assets of the Pfandbrief bank with limited business activity of other Pfandbrief classes. Derivative transactions and any legal opinions on their enforceability must be adequately documented, regularly reviewed, updated as needed and kept available. The existence of a hedge under the second sentence must be documented in the same way.
(2) A derivative as a rule serves as a hedge within the meaning of subsection (1), second sentence where the statutory requirements for the accounting treatment of a hedging relationship are satisfied. Where repayments or removals from cover of cover assets, or repayments of Pfandbrief liabilities, each standing in a hedging relationship with a derivative, result in the hedging relationship of a derivative no longer continuing to the extent required under the first sentence, the Pfandbrief bank must, while maintaining its obligations under the master agreement, restore the necessary extent of the hedging relationship.
(3) The net-present-value-determined share of all liabilities of the Pfandbrief bank from derivative transactions of a Pfandbrief class in the total amount of the outstanding Pfandbriefe of that class, plus the liabilities from those derivative transactions, may not exceed 12 per cent. Liabilities of the Pfandbrief bank from derivative transactions serving exclusively to hedge a currency risk of cover assets or Pfandbrief liabilities are not taken into account for this purpose.
(4) Derivative transactions may be concluded with 1. the Federation, 2. a Land, 3. a credit institution within the meaning of section 4(1), third sentence, no. 3, or 4. another suitable credit institution under a general ruling of BaFin under subsection (5), provided adequate collateralisation by the counterparty exists for the Pfandbrief bank's claims from the derivative transaction.
(5) BaFin may, on the application of at least one Pfandbrief bank, after hearing the European Banking Authority, order by general ruling that derivative transactions may also be used for cover with suitable credit institutions with their seat in one of the states named in section 4(1), third sentence, no. 1, to which a risk weight corresponding to credit quality step 3 has been assigned under Table 3 of Article 120(1) of Regulation (EU) No 575/2013 and that satisfy the conditions of section 4(1), third sentence, no. 3(a) and (c), provided that limiting to credit quality step 1 or 2 would give rise to the risk of a material concentration of debtors. In the application under the first sentence, the Pfandbrief bank must set out the circumstances giving rise to the risk of a material concentration of debtors, in particular insofar as this arises from the unwillingness of credit institutions satisfying the conditions of section 4(1), third sentence, no. 3 to conclude derivative transactions. The circumstances set out in the application must be current as at the time the application is made. The general ruling must be published on BaFin's website and in the Federal Gazette.
(6) The general ruling must be revoked one year after its publication in the Federal Gazette, unless, by the expiry of the tenth month after publication of the general ruling in the Federal Gazette, at least one Pfandbrief bank has made an application, satisfying the requirements of subsection (5), second sentence, for the extension of the general ruling. An application for extension may be made at the earliest after the expiry of the seventh month after publication of the general ruling in the Federal Gazette. Subsection (5), fourth sentence applies accordingly to the revocation and extension of the general ruling. Derivative transactions used for cover at the time the revocation of the general ruling is published in the Federal Gazette, whose eligibility for cover is based on the general ruling, remain eligible for cover after the revocation of the general ruling until the complete wind-down of the derivatives included at that time, provided the requirements of the revoked general ruling continue to be satisfied.