1. The classes of over the counter (OTC) derivatives set out in Annex I shall be subject to the clearing obligation.
2. The classes of OTC derivatives set out in Annex I shall not include contracts concluded with covered bond issuers or with cover pools for covered bonds, provided those contracts satisfy all of the following conditions:
they are used only to hedge the interest rate or currency mismatches of the cover pool in relation with the covered bond;
they are registered or recorded in the cover pool of the covered bond in accordance with national covered bond legislation;
they are not terminated in case of resolution or insolvency of the covered bond issuer or the cover pool;
the counterparty to the OTC derivative concluded with covered bond issuers or with cover pools for covered bonds ranks at leastpari passuwith the covered bond holders except where the counterparty to the OTC derivative concluded with covered bond issuers or with cover pools for covered bonds is the defaulting or the affected party, or waives thepari passurank;
the covered bond meets the requirements of Article 129 of Regulation (EU) No 575/2013 of the European Parliament and of the Council3and is subject to a regulatory collateralisation requirement of at least 102 %.