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Document 02013R0153-20221129
Commission Delegated Regulation (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on requirements for central counterparties (Text with EEA relevance)Text with EEA relevance
Consolidated text: Commission Delegated Regulation (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on requirements for central counterparties (Text with EEA relevance)Text with EEA relevance
Commission Delegated Regulation (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on requirements for central counterparties (Text with EEA relevance)Text with EEA relevance
02013R0153 — EN — 29.11.2022 — 002.001
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COMMISSION DELEGATED REGULATION (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on requirements for central counterparties (OJ L 052 23.2.2013, p. 41) |
Amended by:
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Official Journal |
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date |
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COMMISSION DELEGATED REGULATION (EU) 2016/822 of 21 April 2016 |
L 137 |
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26.5.2016 |
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COMMISSION DELEGATED REGULATION (EU) 2022/2311 of 21 October 2022 |
L 307 |
31 |
28.11.2022 |
COMMISSION DELEGATED REGULATION (EU) No 153/2013
of 19 December 2012
supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on requirements for central counterparties
(Text with EEA relevance)
CHAPTER I
GENERAL
Article 1
Definitions
For the purposes of this Regulation, the following definitions apply:
‘basis risk’ means the risk arising from less than perfectly correlated movements between two or more assets or contracts cleared by the central counterparty (CCP);
‘confidence interval’ means the percentage of exposures movements for each financial instrument cleared with reference to a specific lookback period that a CCP is required to cover over a certain liquidation period;
‘convenience yield’ means the benefits from direct ownership of the physical commodity and is affected both by market conditions and by factors such as physical storage costs;
‘margins’ means margins as referred to in Article 41 of Regulation (EU) No 648/2012 which may include initial margins and variation margins;
‘initial margin’ means margins collected by the CCP to cover potential future exposure to clearing members providing the margin and, where relevant, interoperable CCPs in the interval between the last margin collection and the liquidation of positions following a default of a clearing member or of an interoperable CCP default;
‘variation margin’ means margins collected or paid out to reflect current exposures resulting from actual changes in market price;
‘jump to default risk’ means the risk that a counterparty or issuer defaults suddenly before the market has had time to factor in its increased default risk;
‘liquidation period’ means the time period used for the calculation of the margins that the CCP estimates necessary to manage its exposure to a defaulting member and during which the CCP is exposed to market risk related to the management of the defaulter’s positions;
‘lookback period’ means the time horizon for the calculation of historical volatility;
‘testing exception’ means the result of a test which shows that a CCP’s model or liquidity risk management framework did not result in the intended level of coverage;
‘wrong-way risk’ means the risk arising from exposure to a counterparty or issuer when the collateral provided by that counterparty or issued by that issuer is highly correlated with its credit risk.
CHAPTER II
RECOGNITION OF THIRD COUNTRY CCPs
(Article 25 of Regulation (EU) No 648/2012)
Article 2
Information to be provided to ESMA for the recognition of a CCP
An application for recognition submitted by a CCP established in a third country shall contain at least the following information:
full name of the legal entity;
identities of the shareholders or members with qualifying holdings;
a list of the Member States in which it intends to provide services;
classes of financial instruments cleared;
details to be included in the ESMA website in accordance with Article 88(1)(e) of Regulation (EU) No 648/2012;
details of its financial resources, the form and methods in which they are maintained and the arrangements to secure them including default management procedures;
details on the margin methodology and for the calculation of the default fund;
a list of the eligible collateral;
a breakdown of values, in prospective form if needed, cleared by the applying CCP by each Union currency cleared;
results of the stress tests and back tests performed during the year preceding the date of application;
its rules and internal procedures with evidences of full compliance with the requirements applicable in that third country;
details of any outsourcing arrangements;
details on segregation arrangements and respective legal soundness and enforceability;
details on the CCP’s access requirements and terms for suspension and termination of membership;
details of any interoperability arrangement, including the information provided to the third country competent authority for the purpose of assessing the arrangement.
CHAPTER III
ORGANISATIONAL REQUIREMENTS
(Article 26 of Regulation (EU) No 648/2012)
Article 3
Governance arrangements
The key components of the governance arrangements of the CCP that define its organisational structure as well as clearly specified and well-documented policies, procedures and processes by which its board and senior management operate shall include the following:
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.
Article 4
Risk management and internal control mechanisms
Article 5
Compliance policy and procedures
The rules, procedures and contractual arrangements of the CCP shall be recorded in writing or another durable medium. These rules, procedures, and contractual arrangements and any accompanying material shall be accurate, up-to-date and readily available to the competent authority, clearing members and, where appropriate, clients.
A CCP shall identify and analyse the soundness of the rules, procedures and contractual arrangements of the CCP. If necessary, independent legal opinions shall be sought for the purpose of this analysis. The CCP shall have a process for proposing and implementing changes to its rules and procedures and prior to implementing any material changes to consult with all affected clearing members and submit the proposed changes to the competent authority.
A CCP’s rules and procedures shall clearly indicate the law that is intended to apply to each aspect of the CCP’s activities and operations.
Article 6
Compliance function
When establishing its compliance function, the CCP shall take into account the nature, scale and complexity of its business, and the nature and range of the services and activities undertaken in the course of that business.
The chief compliance officer shall at least have the following responsibilities:
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.
Article 7
Organisational structure and separation of the reporting lines
The board shall assume at least the following responsibilities:
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.
Senior management shall have at least the following responsibilities:
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.
Article 8
Remuneration policy
Article 9
Information technology systems
The information technology architecture shall be well-documented. The systems shall be designed to deal with the CCP’s operational needs and the risks the CCP faces, be resilient, including in stressed market conditions, and be scalable, if necessary, to process additional information. The CCP shall provide for procedures and capacity planning as well as for sufficient redundant capacity to allow the system to process all remaining transactions before the end of the day in circumstances where a major disruption occurs. The CCP shall provide for procedures for the introduction of new technology including clear reversion plans.
The information security framework shall include at least the following features:
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.
Article 10
Disclosure
A CCP shall make the following information available to the public free of charge:
information regarding its governance arrangements, including the following:
its organisational structure as well as key objectives and strategies;
key elements of the remuneration policy;
key financial information including its most recent audited financial statements;
information regarding its rules, including the following:
default management procedures, procedures and supplementary texts;
relevant business continuity information;
information on the CCP’s risk management systems, techniques and performance in accordance with Chapter XII;
all relevant information on its design and operations as well as on the rights and obligations of clearing members and clients, necessary to enable them to identify clearly and understand fully the risks and costs associated with using the CCP’s services;
the CCP’s current clearing services, including detailed information on what it provides under each service;
the CCP’s risk management systems, techniques and performance, including information on financial resources, investment policy, price data sources and models used in margin calculations;
the law and the rules governing:
the access to the CCP;
the contracts concluded by the CCP with clearing members and, where practicable, clients;
the contracts that the CCP accepts for clearing;
any interoperability arrangements;
the use of collateral and default fund contributions, including the liquidation of positions and collateral and the extent to which collateral is protected against third party claims;
information regarding eligible collateral and applicable haircuts;
a list of all current clearing members, including admission, suspension and exit criteria for clearing membership.
Where the competent authority agrees with the CCP that any of the information under point (b) or (c) of this paragraph may put at risk business secrets or the safety and soundness of the CCP, the CCP may decide to disclose that information in a manner that prevents or reduces those risks, or not to disclose such information.
Article 11
Internal auditing
A CCP shall establish and maintain an internal audit function which is separate and independent from the other functions and activities of the CCP and which has the following tasks:
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.
CHAPTER IV
RECORD KEEPING
(Article 29 of Regulation (EU) No 648/2012)
Article 12
General requirements
A CCP shall keep records in a durable medium that allows information to be provided to the competent authorities, ESMA and relevant European System of Central Banks (ESCB) members, and in such a form and manner that the following conditions are met:
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.
Article 13
Transaction records
In relation to every transaction received for clearing, a CCP shall, immediately upon receiving the relevant information, make and keep updated a record of the following details:
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 day and the time at which the contract was originally concluded;
the original terms and parties of the contract;
the identification of the interoperable CCP clearing one leg of the transaction, where applicable;
the identity of the client, including any indirect client, where known to the CCP, and in case of a give-up, the identification of the party that transferred the contract.
Article 14
Position records
At the end of each business day a CCP shall make a record in relation to each position including the following details, to the extent they are linked to the position in question:
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.
Article 15
Business records
The records referred to in paragraph 1 shall be made each time a material change in the relevant documents occurs and shall include at least:
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.
Article 16
Records of data reported to a trade repository
A CCP shall identify and retain all information and data required to be reported in accordance with Article 9 of Regulation (EU) No 648/2012, along with a record of the date and time the transaction is reported.
CHAPTER V
BUSINESS CONTINUITY
(Article 34 of Regulation (EU) No 648/2012)
Article 17
Strategy and policy
Article 18
Business impact analysis
Article 19
Disaster recovery
Article 20
Testing and monitoring
Testing of the business continuity policy and disaster recovery plan shall fulfil the following conditions:
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.
Article 21
Maintenance
Article 22
Crisis management
Article 23
Communication
CHAPTER VI
MARGINS
(Article 41 of Regulation (EU) No 648/2012)
Article 24
Percentage
A CCP shall calculate the initial margins to cover the exposures arising from market movements for each financial instrument that is collateralised on a product basis, over the time period defined in Article 25 and assuming a time horizon for the liquidation of the position as defined in Article 26. For the calculation of initial margins the CCP shall at least respect the following confidence intervals:
for OTC derivatives, 99,5 %;
for financial instruments other than OTC derivatives, 99 %.
For the determination of the adequate confidence interval for each class of financial instruments it clears, a CCP shall in addition consider at least the following factors:
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.
Article 25
Time horizon for the calculation of historical volatility
A CCP shall ensure that the data used for calculating historical volatility capture a full range of market conditions, including periods of stress.
Article 26
Time horizons for the liquidation period
For the purposes of Article 41 of Regulation (EU) No 648/2012, a CCP shall determine the appropriate time horizons for the liquidation period taking into account the characteristics of the financial instrument cleared, of the type of account in which the financial instrument is held, of the market where the financial instrument is traded, and the following minimum time horizons for the liquidation period:
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 CCP keeps separate records of the positions of each client at least at the end of each day, calculates the margins in respect of each client, and collects the sum of the margin requirements applicable to each client on a gross basis;
the identity of all the clients is known to the CCP;
the positions held in the account are not proprietary positions of undertakings of the same group as the clearing member;
the CCP measures the exposures and calculates for each account initial and variation margin requirements on a near to real-time basis and at least every one hour during the day using updated positions and prices;
where the CCP does not allocate new trades to each client during the day, the CCP collects the margins within one hour where the margin requirements calculated in accordance with point (iv) are higher than 110 % of the updated available collateral in accordance with Chapter X, unless the amount of the intraday margins to be paid to the CCP is not material on the basis of predefined amount defined by the CCP and agreed by the competent authority, and to the extent that trades previously allocated to clients are margined separately from trades that are not allocated during the day.
In all cases, for determining the appropriate time horizons for the liquidation period, the CCP shall evaluate and sum at least the following:
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.
Where a CCP clears OTC derivatives that have the same risk characteristics as derivatives executed on regulated markets or an equivalent third country market, it may use a time horizon for the liquidation period different from the one specified in paragraph 1, provided that it can demonstrate to its competent authority that:
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.
Article 27
Portfolio margining
Article 28
Procyclicality
A CCP shall ensure that its policy for selecting and revising the confidence interval, the liquidation period and the lookback period deliver forward looking, stable and prudent margin requirements that limit procyclicality to the extent that the soundness and financial security of the CCP is not negatively affected. This shall include avoiding when possible disruptive or big step changes in margin requirements and establishing transparent and predictable procedures for adjusting margin requirements in response to changing market conditions. In doing so, the CCP shall employ at least one of the following options:
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.
CHAPTER VII
DEFAULT FUND
(Article 42 of Regulation (EU) No 648/2012)
Article 29
Framework and governance
Article 30
Identifying extreme but plausible market conditions
The framework shall individually identify all the markets to which a CCP is exposed in a clearing member default scenario. For each identified market the CCP shall specify extreme but plausible conditions based at least on:
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.
Article 31
Reviewing extreme but plausible scenarios
The procedures described in Article 30 shall be reviewed by the CCP on a regular basis, taking into account all relevant market developments and the scale and concentration of clearing member exposures. The set of historical and hypothetical scenarios used by a CCP to identify extreme but plausible market conditions shall be reviewed by the CCP, in consultation with the risk committee, at least annually and more frequently when market developments or material changes to the set of contracts cleared by the CCP affect the assumptions underlying the scenarios and so require an adjustment to the scenarios. Material changes to the framework shall be reported to the board.
CHAPTER VIII
LIQUIDITY RISK CONTROLS
(Article 44 of Regulation (EU) No 648/2012)
Article 32
Assessment of liquidity risk
The liquidity risk management framework shall include a liquidity plan which is documented and retained in accordance with Article 12. The minimum content of the liquidity plan shall include the CCP’s procedures for:
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.
The board of the CCP shall approve the plan after consulting the risk committee.
A CCP shall assess the liquidity risk it faces including where the CCP or its clearing members cannot settle their payment obligations when due as part of the clearing or settlement process, taking also into account the investment activity of the CCP. The risk management framework shall address the liquidity needs stemming from the CCP’s relationships with any entity towards which the CCP has a liquidity exposure including:
settlement banks;
payments systems;
securities settlement systems;
nostro agents;
custodian banks;
liquidity providers;
interoperable CCPs;
service providers.
Article 33
Access to liquidity
A CCP shall maintain, in each relevant currency, liquid resources commensurate with its liquidity requirements, defined in accordance with Article 44 of Regulation (EU) No 648/2012 and Article 32 of this Regulation. These liquid resources shall be limited to:
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.
Article 34
Concentration risk
CHAPTER IX
DEFAULT WATERFALL
(Article 45 of Regulation (EU) No 648/2012)
Article 35
Calculation of the amount of the CCP’s own resources to be used in the default waterfall
The CCP shall revise that minimum amount on a yearly basis.
Article 36
Maintenance of the amount of the CCP’s own resources to be used in the default waterfall
CHAPTER X
COLLATERAL
(Article 46 of Regulation (EU) No 648/2012)
Article 37
General requirements
A CCP shall establish and implement transparent and predictable policies and procedures to assess and continuously monitor the liquidity of assets accepted as collateral and take remedial action where appropriate.
A CCP shall review its eligible asset policies and procedures at least annually. Such a review shall also be carried out whenever a material change occurs that affects the CCP’s risk exposure.
Article 38
Cash collateral
For the purposes of Article 46(1) of Regulation (EU) No 648/2012, highly liquid collateral in the form of cash shall be denominated in one of the following:
a currency for which the CCP can demonstrate to the competent authorities that it is able to adequately manage the risk;
a currency in which the CCP clears transactions, in the limit of the collateral required to cover the CCP’s exposures in that currency.
Article 39
Financial instruments
For the purposes of Article 46(1) of Regulation (EU) No 648/2012, financial instruments, bank guarantees and gold that meet the conditions set out in Annex I shall be considered as, highly liquid collateral.
Until 29 November 2023, for the purposes of Article 46(1) of Regulation (EU) No 648/2012, public guarantees that meet the conditions set out in Annex I shall be considered as highly liquid collateral.
Article 40
Valuing collateral
Article 41
Haircuts
Haircuts shall recognise that collateral may need to be liquidated in stressed market conditions and take into account the time required to liquidate it. The CCP shall demonstrate to the competent authority that haircuts are calculated in a conservative manner to limit as far as possible procyclical effects. For each collateral asset, the haircut shall be determined taking in consideration the relevant criteria, including:
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.
Article 42
Concentration limits
A CCP shall determine concentration limits at the level of:
individual issuers;
type of issuer;
type of asset;
each clearing member;
all clearing members.
Concentration limits shall be determined in a conservative manner taking into account all relevant criteria, including:
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.
CHAPTER XI
INVESTMENT POLICY
(Article 47 of Regulation (EU) No 648/2012)
Article 43
Highly liquid financial instruments
For the purposes of Article 47(1) of Regulation (EU) No 648/2012, debt instruments can be considered highly liquid, bearing minimal credit and market risk if they are debt instruments meeting each of the conditions set out in Annex II.
Article 44
Highly secured arrangements for the deposit of financial instruments
If a CCP is unable to deposit the financial instruments referred to in Article 45 or those posted to it as margins, default fund contributions or contributions to other financial resources, both by way of title transfer and security interest, with the operator of a securities settlement system that ensures the full protection of those instruments then such financial instruments shall be deposited with any of the following:
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.
Article 45
Highly secured arrangements maintaining cash
For the purposes of Article 47(4) of Regulation (EU) No 648/2012, where cash is deposited other than with a central bank then such deposit shall meet each of the following conditions:
the deposit is in one of the following currencies:
a currency the risks of which the CCP can demonstrate with a high level of confidence that it is able to manage;
a currency in which the CCP clears transactions, in the limit of the collateral received in that currency;
the deposit shall be placed with one of the following entities:
an authorised credit institution as defined under Directive 2006/48/EC that the CCP can demonstrate to have low credit risk 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;
a third country financial institution that is subject to and complies with prudential rules considered by the 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 the CCP can demonstrate to have low credit risk based upon an internal 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.
Article 45
Concentration limits
A CCP shall determine concentration limits and monitor the concentration of its financial resources at the level of:
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.
When considering types of issuers a CCP shall take into account the following:
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.
Article 46
Non-cash collateral
Where collateral is received in the form of financial instruments in accordance with the provisions of Chapter X, only Articles 44 and 45 shall apply.
CHAPTER XII
REVIEW OF MODELS, STRESS TESTING AND BACK TESTING
(Article 49 Regulation (EU) No 648/2012)
SECTION 1
Models and programmes
Article 47
Model Validation
A comprehensive validation shall, at least, include the following:
an evaluation of the conceptual soundness of the models and framework, including developmental supporting evidence;
a review of the ongoing monitoring procedures, including verification of processes and benchmarking;
a review of the parameters and assumptions made in the development of its models, their methodologies and the framework;
a review of the adequacy and appropriateness of the models, their methodologies and framework adopted in respect of the type of contracts they apply to;
a review of the appropriateness of its stress testing scenarios in accordance with Chapter VII and Article 52;
an analysis of the outcomes of testing results.
Article 48
Testing programmes
SECTION 2
Back testing
Article 49
Back testing procedure
SECTION 3
Sensitivity testing and analysis
Article 50
Sensitivity testing and analysis procedure
SECTION 4
Stress testing
Article 51
Stress testing procedure
Article 52
Risk factors to stress test
A CCP shall identify, and have an appropriate method for measuring, relevant risk factors specific to the contracts it clears that could affect its losses. A CCP’s stress tests shall, at least, take into account risk factors specified for the following type of financial instruments, where applicable:
interest rate related contracts: risk factors corresponding to interest rates in each currency in which the CCP clears financial instruments. The yield curve modelling shall be divided into various maturity segments in order to capture variation in the volatility of rates along the yield curve. The number of related risk factors shall depend on the complexity of the interest rate contracts cleared by the CCP. Basis risk, arising from less than perfectly correlated movements between government and other fixed-income interest rates, shall be captured separately;
exchange rate related contracts: risk factors corresponding to each foreign currency in which the CCP clears financial instruments and to the exchange rate between the currency in which margin calls are made and the currency in which the CCP clears financial instruments;
equity related contracts: risk factors corresponding to the volatility of individual equity issues for each of the markets cleared by the CCP and to the volatility of various sectors of the overall equity market. The sophistication and nature of the modelling technique for a given market shall correspond to the CCP’s exposure to the overall market as well as its concentration in individual equity issues in that market;
commodity contracts: risk factors that take into account the different categories and sub-categories of commodity contracts and related derivatives cleared by the CCP, including, where appropriate, variations in the convenience yield between derivatives positions and cash positions in the commodity;
credit related contracts: risk factors that consider jump to default risk, including the cumulative risk arising from multiple defaults, basis risk and recovery rate volatility.
In its stress tests, a CCP shall also give appropriate consideration at least to the following:
correlations, including those between identified risk factors and similar contracts cleared by the CCP;
factors corresponding to the implied and historical volatility of the contract being cleared;
specific characteristics of any new contracts to be cleared by the CCP;
concentration risk, including to a clearing member, and group entities of clearing members;
interdependencies and multiple relationships;
relevant risks including foreign exchange risk;
set exposure limits;
wrong-way risk.
Article 53
Stress testing total financial resources
Article 54
Stress testing liquid financial resources
A CCP shall also have clear procedures for using the results and analysis of its stress tests to evaluate and adjust the adequacy of its liquidity risk management framework and liquidity providers.
SECTION 5
Coverage and use of test results
Article 55
Maintaining sufficient coverage
Article 56
Review of models using test results
SECTION 6
Reverse stress tests
Article 57
Reverse stress tests
SECTION 7
Default procedures
Article 58
Testing default procedures
SECTION 8
Validation and testing frequency
Article 59
Frequency
SECTION 9
Time horizons used when performing tests
Article 60
The time horizons
SECTION 10
Public disclosure
Article 61
Information to be publicly disclosed
A CCP shall make available to the public key aspects of its default procedures, including:
the circumstances in which action may be taken;
who may take those actions;
the scope of the actions which may be taken, including the treatment of both proprietary and client positions, funds and assets;
the mechanisms to address a CCP’s obligations to non-defaulting clearing members;
the mechanisms to help address the defaulting clearing member’s obligations to its clients.
Article 62
Entry into force and application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
Point (h) Section 2 of Annex I shall apply from three years after the date of entry into force of this Regulation in respect of transactions on derivatives, as referred to in points (b) and (d) of Article 2(4) of Regulation (EU) No 1227/2011 of the European Parliament and of the Council ( 6 ). ►M2 However, Section 2, paragraph 1, point (h), of Annex I shall not apply in respect of transactions on derivatives, as referred to in Article 2(4), points (b) and (d), of Regulation (EU) No 1227/2011 from 29 November 2022 to 29 November 2023. ◄
This Regulation shall be binding in its entirety and directly applicable in all Member States.
ANNEX I
Conditions applicable to financial instruments, bank guarantees and gold considered as highly liquid collateral
SECTION 1
Financial instruments
For the purposes of Article 46(1) of Regulation (EU) No 648/2012, highly liquid collateral in the form of financial instruments shall be financial instruments meeting the conditions provided for in point 1 of Annex II to this Regulation or transferable securities and money-market instruments which meet each of the following conditions:
the CCP can demonstrate to the competent authority that the financial instruments have been issued by an issuer that has low credit risk based upon an adequate 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 CCP can demonstrate to the competent authority that the financial instruments have a low market risk based upon an adequate 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;
they are denominated in one of the following currencies:
a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to manage;
a currency in which the CCP clears contracts, in the limit of the collateral required to cover the CCP’s exposures in that currency;
they are freely transferable and without any regulatory or legal constraint or third party claims that impair liquidation;
they have an active outright sale or repurchase agreement market, with a diverse group of buyers and sellers, to which the CCP can demonstrate reliable access, including in stressed conditions;
they have reliable price data published on a regular basis;
they are not issued by:
the clearing member providing the collateral, or an entity that is part of the same group as the clearing member, except in the case of a covered bond and only where the assets backing that bond are appropriately segregated within a robust legal framework and satisfy the requirements set out in this section;
a CCP or an entity that is part of the same group as a CCP;
an entity whose business involves providing services critical to the functioning of the CCP, unless that entity is an EEA central bank or a central bank of issue of a currency in which the CCP has exposures;
they are not otherwise subject to significant wrong-way risk.
SECTION 2
Bank guarantees
1. A commercial bank guarantee, subject to limits agreed with the competent authority, shall meet the following conditions to be accepted as collateral under Article 46(1) of Regulation (EU) No 648/2012:
it is issued to guarantee a non-financial clearing member;
it has been issued by an issuer that the CCP can demonstrate to the competent authority that it has low credit risk based upon an adequate 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;
it is denominated in one of the following currencies:
a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to adequately manage;
a currency in which the CCP clears contracts, in the limit of the collateral required to cover the CCP’s exposures in that currency;
it is irrevocable, unconditional and the issuer cannot rely on any legal or contractual exemption or defence to oppose the payment of the guarantee;
it can be honoured, on demand, within the period of liquidation of the portfolio of the defaulting clearing member providing it without any regulatory, legal or operational constraint;
it is not issued by:
an entity that is part of the same group as the non-financial clearing member covered by the guarantee;
an entity whose business involves providing services critical to functioning of the CCP, unless that entity is an EEA central bank or a central bank of issue of a currency in which the CCP has exposures;
it is not otherwise subject to significant wrong-way risk;
it is fully backed by collateral that meets the following conditions:
it is not subject to wrong way risk based on a correlation with the credit standing of the guarantor or the non-financial clearing member, unless that wrong way risk has been adequately mitigated by haircutting of the collateral;
the CCP has prompt access to it and it is bankruptcy remote in case of the simultaneous default of the clearing member and the guarantor.
the suitability of the guarantor has been ratified by the board of the CCP after a full assessment of the issuer and of the legal, contractual and operational framework of the guarantee in order to have a high level of comfort on the effectiveness of the guarantee, and notified to the competent authority.
2. A bank guarantee issued by a central bank shall meet the following conditions to be accepted as collateral under Article 46(1) of Regulation (EU) No 648/2012:
it is issued by an EEA central bank or a central bank of issue of a currency in which the CCP has exposures;
it is denominated in one of the following a currencies:
a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to adequately manage;
a currency in which the CCP clears transactions, in the limit of the collateral required to cover the CCP’s exposures in that currency;
it is irrevocable, unconditional and the issuing central bank cannot rely on any legal or contractual exemption or defence to oppose the payment of the guarantee;
it can be honoured within the period of liquidation of the portfolio of the defaulting clearing member providing it without any regulatory, legal or operational constraint or any third party claim on it.
SECTION 2a
Public guarantees
Until 29 November 2023, a public guarantee that does not meet the conditions for a central bank guarantee set out in Section 2, paragraph 2, shall meet all of the following conditions to be accepted as collateral under Article 46(1) of Regulation (EU) No 648/2012:
it is explicitly issued or guaranteed by any of the following:
a central government in the EEA;
regional governments or local authorities in the EEA, where there is no difference in risk between exposures of regional governments or local authorities and the central government of that Member State because of the specific revenue-raising powers of the former, and the existence of specific institutional arrangements the effect of which is to reduce their risk of default;
the European Financial Stability Facility, the European Stability Mechanism, or the Union, where applicable;
a multilateral development bank as listed under Article 117(2) of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 7 ) and established in the Union;
the CCP can demonstrate that it has low credit risk based upon an internal assessment by the CCP;
it is denominated in one of the following currencies:
a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to adequately manage;
a currency in which the CCP clears transactions, in the limit of the collateral required to cover the CCP’s exposures in that currency;
it is irrevocable, unconditional and the issuing and guaranteeing entities cannot rely on any legal or contractual exemption or defence to oppose the payment of the guarantee;
it can be honoured within the period of liquidation of the portfolio of the defaulting clearing member providing it without any regulatory, legal or operational constraint or any third party claim on it.
For the purposes of point (b), the CCP shall employ, in performing the assessment referred to in that point, defined and objective methodology that shall not fully rely on external opinions.
SECTION 3
Gold
Gold shall be allocated pure gold bullion of recognised good delivery and meet the following conditions to be accepted as collateral under Article 46(1) of Regulation (EU) No 648/2012:
it is directly held by the CCP;
it is deposited with an EEA central bank or a central bank of issue of a currency in which the CCP has exposures that has adequate arrangements so as to safeguard clearing member or clients’ ownership rights to the gold and enables the CCP prompt access to the gold when required;
it is deposited with an authorised credit institution as defined under Directive 2006/48/EC that has adequate arrangements so as to safeguard clearing member or clients’ ownership rights to the gold, enables the CCP prompt access to the gold when required and the CCP can demonstrate to the competent authority that it has low credit risk based upon an adequate 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 credit institution in a particular country;
it is deposited with a third country credit institution that is subject to and complies with prudential rules considered by the 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 has adequate arrangements so as to safeguard clearing member or clients’ ownership rights to the gold, enables the CCP prompt access to the gold when required and CCP can demonstrate to the competent authority that it 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 credit institution in a particular country.
ANNEX II
Conditions applicable to highly liquid financial instruments
1. For the purposes of Article 47(1) of Regulation (EU) No 648/2012, financial instruments can be considered highly liquid financial instruments, bearing minimal credit and market risk if they are debt instruments meeting each of the following conditions:
they are issued or explicitly guaranteed by:
a government;
a central bank;
a multilateral development bank as listed under Section 4.2 of Part 1 of Annex VI to Directive 2006/48/EC;
the European Financial Stability Facility or the European Stability Mechanism where applicable;
the CCP can demonstrate that they have low credit and market risk 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 average time-to-maturity of the CCP’s portfolio does not exceed two years;
they are denominated in one of the following currencies:
a currency the risks of which the CCP can demonstrate that it is able to manage; or
a currency in which the CCP clears transactions, in the limit of the collateral received in that currency;
they are freely transferable and without any regulatory constraint or third party claims that impair liquidation;
they have an active outright sale or repurchase agreement market, with a diverse group of buyers and sellers, including in stressed conditions and to which the CCP has reliable access;
reliable price data on these instruments are published on a regular basis.
2. For the purposes of Article 47(1) of Regulation (EU) No 648/2012, derivative contracts can also be considered highly liquid financial investments, bearing minimal credit and market risk if they are entered into for the purpose of:
hedging the portfolio of a defaulted clearing member as part of the CCP’s default management procedure; or
hedging currency risk arising from its liquidity management framework established in accordance with Chapter VIII.
Where derivative contracts are used in such circumstances, their use shall be limited to derivative contracts in respect of which reliable price data is published on a regular basis and to the period of time necessary to reduce the credit and market risk to which the CCP is exposed.
The CCP’s policy for the use of derivative contracts shall be approved by the board after having consulted the risk committee.
( 1 ) OJ L 157, 9.6.2006, p. 87.
( 2 ) OJ L 281, 23.11.1995, p. 31.
( 3 ) OJ L 8, 12.1.2001, p. 1.
( 4 ) See page 37 of this Official Journal.
( 5 ) OJ L 177, 30.6.2006, p. 1.
( 6 ) OJ L 326, 8.12.2011, p. 1.
( 7 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).