the composition, role and responsibilities of the board and any board committees;

the roles and responsibilities of the management;

the senior management structure;

the reporting lines between the senior management and the board;

the procedures for the appointment of board members and senior management;

the design of the risk management, compliance and internal control functions;

the processes for ensuring accountability to stakeholders.

monitor and, on a regular basis, assess the adequacy and effectiveness of the measures put in place in accordance with Article 5(4) and the actions taken to address any deficiencies in the CCP’s compliance with its obligations;

administer the compliance policies and procedures established by senior management and the board;

advise and assist the persons responsible for carrying out the CCP services and activities to comply with the CCP’s obligations under this Regulation, Regulation (EC) No 648/2012 and Implementing Regulation (EU) No 1249/2012 and other regulatory requirements, where applicable;

report regularly to the board on compliance by the CCP and its employees with this Regulation, Regulation (EU) No 648/2012 and Implementing Regulation (EU) No 1249/2012;

establish procedures for the effective remediation of instances of non-compliance;

ensure that the relevant persons involved in the compliance function are not involved in the performance of the services or activities they monitor and that any conflicts of interest of such persons are properly identified and eliminated.

the establishment of clear objectives and strategies for the CCP;

the effective monitoring of senior management;

the establishment of appropriate remuneration policies,

the establishment and oversight of the risk management function;

the oversight of the compliance function and internal control function;

the oversight of outsourcing arrangements;

the oversight of compliance with all provisions of this Regulation, Regulation (EU) No 648/2012, Implementing Regulation (EU) No 1249/2012 and all other regulatory and supervisory requirements;

the provision of accountability to the shareholders or owners and employees, clearing members and their customers and other relevant stakeholders.

ensuring consistency of the CCP’s activities with the objectives and strategy of the CCP as determined by the board;

designing and establishing compliance and internal control procedures that promote the CCP’s objectives;

subjecting the internal control procedures to regular review and testing;

ensuring that sufficient resources are devoted to risk management and compliance;

be actively involved in the risk control process;

ensuring that risks posed to the CCP by its clearing and activities linked to clearing are duly addressed.

access controls to the system;

adequate safeguards against intrusions and data misuse;

specific devices to preserve data authenticity and integrity, including cryptographic techniques;

reliable networks and procedures for accurate and prompt data transmission without major disruptions;

audit trails.

information regarding its governance arrangements, including the following:

information regarding its rules, including the following:

information regarding eligible collateral and applicable haircuts;

a list of all current clearing members, including admission, suspension and exit criteria for clearing membership.

to establish, implement and maintain an audit plan to examine and evaluate the adequacy and effectiveness of the CCP’s systems, internal control mechanisms and governance arrangements;

to issue recommendations based on the result of work carried out in accordance with point (a);

to verify compliance with those recommendations;

to report internal audit matters to the board.

each key stage of the processing by the CCP may be reconstituted;

the original content of a record before any corrections or other amendments may be recorded, traced and retrieved;

measures to prevent unauthorised alteration of records are in place;

security and confidentiality of the data recorded are ensured through appropriate measures;

a mechanism for identifying and correcting errors is incorporated in the record keeping system;

the timely recovery of the records in the case of a system failure is ensured within the record keeping system.

the price, rate or spread and quantity;

the clearing capacity, which identifies whether the transaction was a buy or sale from the perspective of the CCP recording;

the instrument identification;

the identification of the clearing member;

the identification of the venue where the contract was concluded;

the date and time of interposition of the CCP;

the date and time of termination of the contract;

the terms and modality of settlement;

the date and time of settlement or of buy-in of the transaction and to the extent they are applicable of the following details:

the identification of the clearing member, of the client, if known to the CCP, and of any interoperable CCP maintaining such position, where applicable;

the sign of the position;

the daily calculation of the value of the position with records of the prices at which the contracts are valued, and of any other relevant information.

the organisational charts for the board and relevant committees, clearing unit, risk management unit, and all other relevant units or divisions;

the identities of the shareholders or members, whether direct or indirect, natural or legal persons, that have qualifying holdings and the amounts of those holdings;

the documents attesting the policies, procedures and processes required under Chapter III and Article 29;

the minutes of board meetings and, if applicable, of meetings of sub-committees of the board and of senior management committees;

the minutes of meetings of the risk committee;

the minutes of consultation groups with clearing members and clients, if any;

internal and external audit reports, risk management reports, compliance reports, and reports by consultant companies, including management responses;

the business continuity policy and disaster recovery plan, required under Article 17;

the liquidity plan and the daily liquidity reports, required under Article 32;

records reflecting all assets and liabilities and capital accounts as required under Article 16 of Regulation (EU) No 648/2012;

complaints received, with information on the complainant’s name, address, and account number; the date the complaint was received; the name of all persons identified in the complaint; a description of the nature of the complaint; the disposition of the complaint, and the date the complaint was resolved;

records of any interruption of services or dysfunction, including a detailed report on the timing, effects and remedial actions;

records of the results of the back and stress tests performed;

written communications with competent authorities, ESMA and the relevant members of the ESCB;

legal opinions received in accordance with Chapter III;

where applicable, documentation regarding interoperability arrangements with other CCPs;

the information under Article 10(1)(b)(vii) and (1)(d);

the relevant documents describing the development of new business initiatives.

involve scenarios of large scale disasters and switchovers between primary and secondary sites;

include involvement of clearing members, external providers and relevant institutions in the financial infrastructure with which interdependencies have been identified in the business continuity policy.

for OTC derivatives, 99,5 %;

for financial instruments other than OTC derivatives, 99 %.

the complexities and level of pricing uncertainties of the class of financial instruments which may limit the validation of the calculation of initial and variation margin;

the risk characteristics of the class of financial instruments, which can include, but are not limited to, volatility, duration, liquidity, non-linear price characteristics, jump to default risk and wrong way risk;

the degree to which other risk controls do not adequately limit credit exposures;

the inherent leverage of the class of financial instruments, including whether the class of financial instrument is significantly volatile, is highly concentrated among a few market players or may be difficult to close out.

five business days for OTC derivatives;

two business days for financial instruments other than OTC derivatives held in accounts not meeting the conditions laid down in point (c);

one business day for financial instruments other than OTC derivatives held in omnibus client accounts or in individual client accounts provided that the following conditions are met:

the longest possible period that may elapse from the last collection of margins up to the declaration of default by the CCP or activation of the default management process by the CCP;

the estimated period needed to design and execute the strategy for the management of the default of a clearing member according to the particularities of each class of financial instrument, including its level of liquidity and the size and concentration of the positions, and the markets the CCP will use to close-out or hedge completely a clearing member position;

where relevant, the period needed to cover the counterparty risk to which the CCP is exposed.

such time horizon would be more appropriate than that specified in paragraph 1 in view of the specific features of the relevant OTC derivatives;

such time horizon is at least two business days, or one business day where the conditions laid down in paragraph 1(c) are met.

applying a margin buffer at least equal to 25 % of the calculated margins which it allows to be temporarily exhausted in periods where calculated margin requirements are rising significantly;

assigning at least 25 % weight to stressed observations in the lookback period calculated in accordance with Article 26;

ensuring that its margin requirements are not lower than those that would be calculated using volatility estimated over a 10 year historical lookback period.

a range of historical scenarios, including periods of extreme market movements observed over the past 30 years, or as long as reliable data have been available, that would have exposed the CCP to greatest financial risk. If a CCP decides that recurrence of a historical instance of large price movements is not plausible, it shall justify its omission from the framework to the competent authority;

a range of potential future scenarios, founded on consistent assumptions regarding market volatility and price correlation across markets and financial instruments, drawing on both quantitative and qualitative assessments of potential market conditions.

managing and monitoring, at least on a daily basis, its liquidity needs across a range of market scenarios;

maintaining sufficient liquid financial resources to cover its liquidity needs and distinguish among the use of the different types of liquid resources;

the daily assessment and valuation of the liquid assets available to the CCP and its liquidity needs;

identifying sources of liquidity risk;

assessing timescales over which the CCP’s liquid financial resources should be available;

considering potential liquidity needs stemming from clearing members ability to swap cash for non-cash collateral;

the processes in the event of liquidity shortfalls;

the replenishment of any liquid financial resources it may employ during a stress event.

settlement banks;

payments systems;

securities settlement systems;

nostro agents;

custodian banks;

liquidity providers;

interoperable CCPs;

service providers.

cash deposited at a central bank of issue;

cash deposited at authorised credit institutions in accordance with Article 47;

committed lines of credit or equivalent arrangements with non-defaulting clearing members;

committed repurchase agreements;

highly marketable financial instruments that satisfy the requirements of Article 45 and Article 46 and that the CCP can demonstrate are readily available and convertible into cash on a same-day basis using prearranged and highly reliable funding arrangements, including in stressed market conditions.

the type of asset and level of credit risk associated with the financial instrument based upon internal assessment by the CCP. In performing such assessment the CCP shall employ a defined and objective methodology that shall not fully rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country;

the maturity of the asset;

the historical and hypothetical future price volatility of the asset in stressed market conditions;

the liquidity of the underlying market, including bid/ask spreads;

the foreign exchange risk, if any;

wrong-way risk.

individual issuers;

type of issuer;

type of asset;

each clearing member;

all clearing members.

financial instruments issued by issuers of the same type in terms of economic sector, activity, geographic region;

the level of credit risk of the financial instrument or of the issuer based upon an internal assessment by the CCP. In performing such assessment the CCP shall employ a defined and objective methodology that shall not fully rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country;

the liquidity and the price volatility of the financial instruments.

a central bank that ensures the full protection of those instruments and that enables the CCP prompt access to the financial instruments when required;

an authorised credit institution as defined under Directive 2006/48/EC of the European Parliament and of the Council ( 5 ) that ensures the full segregation and protection of those instruments, enables the CCP prompt access to the financial instruments when required and that the CCP can demonstrate has low credit risk based upon an internal assessment by the CCP. In performing such an assessment, the CCP shall employ a defined and objective methodology that shall not fully rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country;

a third country financial institution that is subject to and complies with prudential rules considered by the relevant competent authorities to be at least as stringent as those laid down in Directive 2006/48/EC and which has robust accounting practices, safekeeping procedures, and internal controls and that ensures the full segregation and protection of those instruments, enables the CCP prompt access to the financial instruments when required and that the CCP can demonstrate to have low credit risk based upon an internal assessment by the CCP. In performing such an assessment, the CCP shall employ a defined and objective methodology that shall not fully rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country.

the deposit is in one of the following currencies:

the deposit shall be placed with one of the following entities:

individual financial instruments;

types of financial instruments;

individual issuers;

types of issuers;

counterparties with which arrangements as provided for in points (b) and (c) of Article 44(1) or in Article 45(2) are established.

geographic distribution;

interdependencies and multiple relationships that an entity may have with a CCP;

the level of credit risk;

exposures the CCP have to the issuer through products cleared by the CCP.