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23.2.2013 Official
Journal
of
the
European
Union L
52/41
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)
THE EUROPEAN COMMISSION,
by CCPs should be more stringent than those set forth in
this Regulation if for risk management purposes it is
deemed appropriate.
Having regard to the Treaty on the Functioning of the European
Union,
(4) In
order
to
clearly
identify
a
limited
number
of
concepts
stemming from Regulation (EU) No 648/2012, as well as
to specify the technical terms necessary for developing
Having regard to the opinion of the European Central Bank ( 1 ),
this technical standard, a number of terms should be
defined.
Having regard to Regulation (EU) No 648/2012 of the European
Parliament and of the Council of 4 July 2012 on OTC deriva
(5) It
is
important
to
ensure
that
recognised
third
country
tives, central counterparties and trade repositories (
CCPs do not disrupt the orderly functioning of Union

2 ), and in
particular Article 25(8), Article 26(9), Article 29(4),
markets. For this reason, it is essential to ensure that
Article 34(3), Article 41(5), Article 42(5), Article 44(2),
recognised CCPs are not in a position to lower their
Article 45(5), Article 46(3), Article 47(8) and Article 49(4)
risk management requirements below Union standards,
thereof,
which could lead to regulatory arbitrage. The information
to be provided to ESMA concerning the recognition of a
third country CCP should enable ESMA to assess whether
that CCP is in full compliance with the prudential
Whereas:
requirements applicable in that third country. In
addition, the equivalence determination by the
Commission should ensure that the laws and regulations
(1) The
provisions
in
this
Regulation
are
closely
linked,
since
of the third country are equivalent to every provision
they deal with organisational requirements, including
under Title IV of Regulation (EU) No 648/2012 and of
record keeping and business continuity, and prudential
this Regulation.
requirements, including in relation to margins, the default
fund, liquidity risk controls, the default waterfall,
collateral, investment policy, review of models, stress
(6) To
ensure
an
adequate
level
of
investor
protection,
in
the
testing and back testing. To ensure coherence between
recognition of third country CCPs the European
those provisions, which should enter into force at the
Securities and Markets Authority (ESMA) may require
same time, and to facilitate a comprehensive view and
additional information to the one strictly necessary to
compact access to them by persons subject to those
assess that conditions established in Regulation (EU)
obligations it is desirable to include all the regulatory
No 648/2012 are fulfilled.
technical standards required under Title III and Title IV
of Regulation (EU) No 648/2012 in a single Regulation.
(7)
The ongoing assessment of the full compliance of a third
country CCP with the prudential requirements of such
third country is the duty of the third country
(2)
In view of the global nature of financial markets, this
competent authority. The information to be provided
Regulation should take into account the Principles for
to ESMA by the applicant third country CCP should
Financial Market Infrastructures issued by the
not have the objective of replicating the assessment of
Committee on Payment and Settlement Systems and
the third country competent authority, but ensuring that
the International Organization of Securities Commissions
the CCP is subject to effective supervision and
(CPSS-IOSCO Principles) which serve as a global
enforcement in that third country, thus guaranteeing a
benchmark for regulatory requirements for central
high degree of investor protection.
counterparties (CCPs).


(8) To
allow
ESMA
to
perform
a
complete
assessment,
the
(3) To
ensure
that
they
are
safe
and
sound
in
all
market
information provided by the applicant third country CCP
conditions, it is important that CCPs adopt prudent
should be complemented by that information necessary
risk management procedures which duly cover all the
to assess the effectiveness of the ongoing supervision,
risks they are or may be exposed to. In this respect,
enforcement powers and actions taken by the third
the risk management standards actually implemented
country competent authority. Such information should
be provided under the cooperation arrangement estab
( 1 ) Not yet published in the Official Journal.
lished in accordance with Regulation (EU) No 648/2012.
( 2 ) OJ L 201, 27.7.2012, p. 1.
Such a cooperation arrangement should ensure that

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L 52/42
EN
Official Journal of the European Union
23.2.2013
ESMA is informed in a timely manner of any supervisory
(15) In
order
to
have
an
effective
audit
function,
a
CCP
should
or enforcement action against the CCP applying for
define the responsibilities and reporting lines of its
recognition and any change of the conditions under
internal auditors, to ensure that relevant matters are
which authorisation was granted to the relevant CCP
brought before the board of the CCP and the
and on any relevant update of the information originally
competent authorities in a timely manner. When estab
provided by the CCP under the recognition process.
lishing and maintaining an internal audit function, its
mission, independence and objectivity, scope and respon
sibility, authority, accountability and standards of
operation should be clearly defined.
(9) The
requirements
of
Regulation
(EU)
No
648/2012
relating to internal risk reporting lines need further spec
ification to implement a risk-management framework,
which includes the structure, rights and responsibilities
(16) To
carry
out
its
duties
effectively,
the
relevant
competent
of the internal risk management process. Governance
authority should be provided with access to all necessary
arrangements should take into account different
information to determine whether the CCP is in
regimes on corporate law in the Union, in order to
compliance with its conditions of authorisation. Such
ensure that CCPs operate within a sound legal
information should be made available by the CCP
framework.
without undue delay.
(17) Records kept by CCPs should facilitate a thorough
(10) To ensure that a CCP implements the appropriate
knowledge of CCPs’ credit exposure towards clearing
procedures to comply with this Regulation, Regulation
members and allow monitoring of the implied systemic
(EU) No 648/2012 and Commission Implementing Regu
risk. They should also enable competent authorities,
lation (EU) No 1249/2012 ( 1 ), the role and responsi
ESMA and the relevant members of the European
bilities of a compliance function of a CCP should be
System of Central Banks (ESCB) to adequately re-
specified.
construct the clearing process, in order to assess
compliance with regulatory requirements including
reporting requirements. Once recorded, that data is also
(11) It is necessary to clearly define the responsibilities of the
useful for CCPs in meeting regulatory requirements and
board and the senior management as well as to specify
obligations towards clearing members and in disputes.
minimum requirements for the functioning of the board
in order to ensure that the organisational structure of a
CCP enables it to perform its services and activities in a
(18) Data
reported
by
CCPs
to
trade
repositories
should
be
continuous and orderly manner. It is also necessary to set
recorded so as to empower competent authorities to
up clear and direct reporting lines to ensure account
verify the compliance of CCPs with the reporting
ability.
obligation set out in Regulation (EU) No 648/2012 and
to easily access information in cases where this cannot be
found in trade repositories.
(12) In
order
to
ensure
the
sound
and
prudent
management
of a CCP, it is important that its remuneration policy
discourages excessive risk taking. For the remuneration
(19) The
record-keeping
requirements
in
relation
to
trades
policy to produce the intended effects, it should be
should make use of the same concepts used in the
adequately monitored and reviewed by the board that
reporting obligation set out in Article 9 of Regulation
should set-up a specific committee to appropriately
(EU) No 648/2012, in order to ensure appropriate
oversee the fulfilment of remuneration policy.
reporting by CCPs.
(20) To
ensure
business
continuity
in
times
of
disruption,
the
(13) To
ensure
that
CCPs
operate
with
the
necessary
level
of
human resources to meet all of their obligations, they are
secondary processing site of the CCP should be located
accountable for the performance of their activities and
sufficiently distant and in a sufficiently geographically
competent authorities have the relevant contact points
distinct location from the primary site so that it would
within the CCPs they supervise, CCPs should have at
not be subject to the same disaster which may cause the
least a chief risk officer, a chief compliance officer and
unavailability of the primary site. Scenarios should be
chief technology officer.
created to analyse the impact of crisis events on critical

services, including scenarios which envisage the unavail
ability of systems caused by a natural disaster. Those
analyses should be reviewed periodically.
(14) CCPs
should
adequately
assess
and
monitor
the
extent
to
which board members that sit on the boards of different
entities have conflicts of interest, whether within or
(21) CCPs
are
systemically
relevant
financial
market
infra
outside the group of the CCP. Board members should
structures and they should recover critical functions
not be prevented from sitting on different boards
within two hours, with backup systems ideally starting
unless this gives rise to conflicts of interest.
processing immediately after an incident. CCPs should
also ensure with very high probability that no data will
( 1 ) OJ L 352, 21.12.2012, p. 32.
be lost.

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EN
23.2.2013 Official
Journal
of
the
European
Union L
52/43
(22) It is important that the default of a clearing member does
data on which to base exposure estimations. CCPs might
not cause significant losses to other market participants.
clear OTC derivatives that do not suffer from such
Therefore, CCPs are required to cover through margins
phenomena and have the same risk characteristics as
posted by the defaulter, at least, a relevant proportion of
listed derivatives and they should be able to clear those
the possible loss that during the close out process the
products consistently irrespective of the execution
CCP might have. Rules should determine the minimum
method.
percentage the margins should cover for different classes
of financial instruments. Furthermore, CCPs should
follow principles to adequately tailor their margin levels
to the characteristics of each financial instrument or
portfolio they clear.
(28) A
suitable
definition
of
extreme
but
plausible
market
conditions is a core component of CCP risk
management. For the purposes of keeping the CCP risk
management framework up to date, extreme but
plausible market conditions should not be considered
(23) CCPs
should
not
reduce
their
margins
to
a
level
that
as a static concept, but rather as conditions that evolve
compromises their safety as a result of the existence of
over time and vary across markets. One market scenario
a highly competitive environment. For this reason,
can be extreme but plausible for one CCP while not
margin calculations should follow specific requirements
having great importance for another. A CCP should
in their basic components. In this sense, margins should
establish a robust internal policy framework for iden
take into account a full range of market conditions
tifying the markets to which it is exposed and employ
including periods of stress.
a common minimum set of standards for defining
extreme but plausible conditions in each identified
market. It should also consider objectively the potential
for simultaneous pressures in multiple markets.
(24) Rules
should
be
established
to
specify
the
appropriate
percentage and time horizons for the liquidation period
and the calculation of historical volatility. However, in
order to ensure that CCPs duly manage the risk they
(29) To ensure appropriate and robust governance
face, it is desirable not to specify the approach which
arrangements are in place, the framework used by a
the CCP should take to calculating margin requirements
CCP to identify extreme but plausible market conditions
from these parameters. For the same reasons, CCPs
should be discussed by the risk committee and approved
should not be prevented to rely on various reliable
by the board. It should be reviewed at least annually,
methodological approaches for the development of
with results discussed by the risk committee and then
portfolio margining, they should be allowed to rely on
shared with the board. The review should ensure that
methods based on correlations between price risk of the
changes to the scale and concentration of the CCP’s
financial instrument or set of financial instruments they
exposures as well as developments in the markets in
clear, as well as any appropriate methods based on
which it operates are reflected in the definition of
equivalent statistical parameters of dependence.
extreme but plausible market conditions. That review
should not, however, be a substitute for continuous
judgment by the CCP on the adequacy of its default
fund in light of evolving market conditions.
(25) To determine the period of time during which a CCP is
exposed to market risk related to the management of a
defaulter’s position, the CCP should consider the relevant
characteristics of the financial instruments or portfolio
(30) To
ensure
efficient
management
of
their
liquidity
risk,
cleared, such as their level of liquidity and the size of
CCPs should be required to establish a liquidity risk
the position or its concentration. CCPs should prudently
management framework. That framework should
evaluate the time required for the complete closure of a
depend on the nature of its obligations and address the
defaulter’s position since the latest collection of margins,
tools a CCP has available for assessing the liquidity risk it
the size of the position and its concentration.
is facing, determining the liquidity pressures likely to
occur and ensuring the adequacy of its liquid resources.
(26) In
order
to
avoid
causing
or
exacerbating
financial
insta
bility, CCPs should, to the maximum extent practical,
adopt forward-looking margin methodologies that limit
(31) In
assessing
the
adequacy
of
its
liquid
resources,
a
CCP
the likelihood of procyclical changes in margin require
should be required to consider the size and liquidity of
ments, without undermining the resilience of the CCP.
the resources it holds, as well as the possible concen

tration risk of those assets. It is important that CCPs
are able to identify all major kinds of liquidity risk
concentrations within their resources so that the CCP’s
liquidity resources are immediately available when
(27) A
higher confidence interval for OTC derivatives is
necessary. CCPs should also consider additional risks
typically justified because those products can suffer
stemming from multiple relationships, interdependencies
from less reliable pricing and shorter runs of historical
and concentrations.

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L 52/44
EN
Official Journal of the European Union
23.2.2013
(32) As
liquidity
has
to
be
readily
available
for
same
day
To that purpose, CCPs should also implement concen
transactions or even intraday transactions, a CCP might
tration limits aimed at maintaining a sufficient diversifi
employ cash at the central bank, of issue, cash at credi
cation of the collateral to ensure that it can be liquidated
tworthy commercial banks, committed lines of credit,
promptly without significant market risk affecting its
committed repos, highly marketable collateral held in
value. In determining their policies on eligible collateral
custody and investments that are readily available and
and concentration limits they should take in account the
convertible into cash with prearranged and highly
global availability of such collateral in view of the
reliable funding arrangements, even in stressed market
potential macroeconomic effects of their policies.
conditions. Such cash and collateral should only be
counted as part of prearranged liquid financial
resources under certain conditions.
(37) To
avoid
wrong-way
risk,
clearing
members
should
not,
in general, be permitted to use as collateral their own
securities or securities issued by an entity from their
(33) In order to provide the necessary incentive to the CCP to
same group. However, a CCP should be able to allow
set prudent requirements and to keep that amount to an
clearing members to post covered bonds that are
adequate level while avoiding regulatory arbitrage, it is
insulated from the insolvency of the issuer. The
important to establish a common methodology for the
underlying collateral should nevertheless be appropriately
calculation and the maintenance of a specific amount of
segregated from the issuer and satisfy the minimum
the dedicated own resources that a CCP should maintain
criteria for acceptability of collateral. A clearing
to be used in the default waterfall. It is essential to keep
member should not issue financial instruments for the
those resources covering default losses separate and with
primary purpose of using them as collateral by another
a distinct function from the CCP’s minimum capital
clearing member.
requirements which cover different risks to which a
CCP might be exposed.
(38) To
ensure
the
safety
of
CCPs,
a
CCP
should
accept
as
collateral a commercial bank guarantee only after a
thorough assessment of the issuer and of the legal,
(34) It
is
important
that
CCPs
apply
a
consistent
methodology
contractual and operational framework of the guarantee.
for the calculation of the own resources to be used in the
Unsecured exposures of CCPs to commercial banks
default waterfall, in order to ensure equivalent conditions
should be avoided. Therefore, commercial bank guar
field between CCPs. Allowing CCPs discretion to
antees may be accepted only under strict conditions.
implement a methodology that is insufficiently clear
Those conditions are generally met in markets char
would lead to very different results among CCPs, thus
acterised by a high concentration of commercial banks
providing incentives for regulatory arbitrage. It is
willing to provide credit to non-financial clearing
therefore essential that the methodology does not allow
members. For this reason a higher concentration limit
for discretion to CCPs. For this purpose, it would be
should be permitted in these cases.
appropriate to have a simple percentage based on a
clearly identifiable measure and a clear methodology
for ensuring a consistent calculation of CCPs’ own
resources to be used in a default waterfall.
(39) To
limit
its
market
risk,
a
CCP
should
be
required
to
value its collateral at least daily. It should apply
prudent haircuts that reflect the potential decrease of
value of the collateral over the interval between its last
(35) A
minimum
set
of
criteria
should
be
laid
down
to
ensure
revaluation and the time by which the collateral can
that acceptable collateral is highly liquid and can be
reasonably be assumed to be liquidated under stressed
converted into cash rapidly and with minimal price
market conditions. The level of collateral should also
impact. Those criteria should refer to the issuer of the
take account of potential wrong-way risk exposures.
collateral, the extent to which it can be liquidated in the
market and whether its value is correlated with the credit
standing of the member posting the collateral to cater for
possible wrong-way risk. A CCP should have the option
(40) The
implementation
of
haircuts
should
enable
the
CCP
to
to apply additional criteria where necessary to achieve
avoid large and unexpected adjustments to the amount of
the desired level of robustness.
collateral required, thus avoiding procyclical effects to the
extent possible.
(36) CCPs
should
only
accept
highly
liquid
collateral
with
minimal credit and market risk. In order to ensure that
(41) A
CCP
should
not
concentrate
collateral
on
a
limited
the collateral held by CCPs remains highly liquid at all
number of issuers or in a limited number of assets, so
times, it is necessary that CCPs establish transparent and
as to avoid potential significant adverse price effects in
predictable policies and procedures to assess and
case of liquidation of the collateral in a short period of
continuously monitor the liquidity of assets accepted as
time. Concentrated collateral positions should not be
collateral, implement adequate valuation methodologies.
considered highly liquid for this reason.

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EN
23.2.2013 Official
Journal
of
the
European
Union L
52/45
(42) Liquidity,
credit
and
market
risk
should
be
considered
at
exposures to any individual financial instrument, type
portfolio level as well as at the level of an individual
of financial instrument, individual issuer, type of issuer
financial instrument. A concentrated portfolio can have
or individual custodian.
a significant negative effect on the liquidity of the
collateral or of the financial instruments in which the
CCP can invest its financial resources, since selling large
positions in stressed market conditions is unlikely to be
(47) The
use
of
derivatives
by
a
CCP
exposes
it
to
additional
feasible without depressing the market price. For the
credit and market risks and it is therefore necessary to
same reason, collateral maintained by the CCP should
define a restrictive set of circumstances in which a CCP
be monitored and valued on a continuous basis to
can invest its financial resources in derivatives. Given that
ensure that it remains liquid.
a CCP’s aim should be to have a flat position with
regards to market risk, the only risks that a CCP
should need to hedge are those concerning the collateral
that it accepts or the risks arising from the default of a
(43) Energy
derivative
markets
show
a
particularly
strong
clearing member. Risks concerning the collateral that a
interlink with spot commodity markets and in these
CCP accepts can be sufficiently managed through haircuts
derivative markets the proportion of non-financial
and it is not considered necessary for a CCP to use
clearing members is high. On those markets, a significant
derivatives in this regard. Derivatives should only be
number of market participants are also producers of the
used by a CCP for managing liquidity risk arising for
underlying commodity. Access to sufficient collateral to
exposures to different currencies and for the purposes
back commercial bank guarantees in full could require
of hedging the portfolio of a defaulted clearing
substantial divesting by those non-financial clearing
member and only where the CCP’s default management
members of their current positions or could impede
procedures envisage such use.
them from continuing to clear their positions as a
direct clearing member of a CCP. That process could
cause market disruptions in energy markets, in terms
(48) To
ensure
the
safety
of
CCPs,
they
should
only
be
of liquidity and diversity of market participants.
allowed to maintain cash in unsecured deposits in
Therefore, its application should be postponed
minimal proportions. In securing its cash, CCPs should
according to a well established time-frame.
always ensure that they are always adequately protected
against liquidity risk.
(44) In order to ensure a consistent application of the
framework established in Regulation (EU) No 648/2012,
(49) It is necessary to set out rigorous stress and back testing
all sectors should face similar requirements in the final
requirements to ensure that a CCP’s models, their
form of the rules applicable to them. Energy firms
methodologies and the liquidity risk management
currently operate under a well-established framework
framework work properly, taking into account all risks
that will require time to adapt to the new requirements
the CCP is exposed to, so that the CCP has at all times
established to avoid detrimental effects to the real
adequate resources to cover those risks.
economy. Therefore, it is considered desirable to
establish an application date for such types of markets
that allows an appropriate transition from the current
market practice without affecting unduly market
(50) To
ensure
consistent
application
of
requirements
for
structure and liquidity.
CCPs, it is necessary to set out detailed provisions with

respect to the types of tests to be undertaken, including
both stress and back testing. In order to cater for the
wide range of security and derivative contracts which
may be cleared in the future, reflect differences in
(45) The
investment
policy
of
a
CCP
should
assign
the
highest
CCP’s business and risk management approaches, allow
priority to the principles of capital preservation and
for future developments and new risks to be dealt with
liquidity maximisation. The investment policy should
and allow for sufficient flexibility, a criteria based
also ensure that no conflicts of interest arise with the
approach is necessary.
commercial interests of the CCP.
(51) In
validating
a
CCP’s
models,
their
methodologies
and
the
(46) The
criteria
that
financial
instruments
should
meet
to
be
liquidity risk management framework it is important to
considered eligible investments for the CCP, should take
use an appropriate independent party so that any
into account Principle 16 of the CPSS-IOSCO Principles
necessary corrective measures can be found and imple
— in order to ensure international consistency. In
mented before implementation and to avoid any material
particular, a CCP should be required to apply restrictive
conflicts of interest. The independent party should be
standards concerning the issuer of the financial
sufficiently separate from the part of the CCP’s business
instrument, the transferability of the financial instrument
that develops, implements and will operate the model or
and the credit, market, volatility and foreign exchange
policies being reviewed and should not hold a material
risk of the financial instrument. A CCP should ensure
conflict of interest. Those conditions could be met either
that it does not undermine measures taken to limit the
by an internal party that has separate reporting lines or
risk exposure of its investments by having excessive
an external party.

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L 52/46
EN
Official Journal of the European Union
23.2.2013
(52) Various
aspects
of
a
CCP’s
financial
resources,
notably
(58) The
involvement
of
clearing
members,
clients
and
other
margin coverage, default funds and other financial
relevant stakeholders in the testing of a CCP’s default
resources, are designed to cover different scenarios and
management procedures, through simulation exercises,
objectives. It is therefore necessary to provide specific
is essential to ensure that they have the understanding
requirements to reflect these objectives and to ensure
and operational capability to successfully participate in a
consistent application across CCPs. In assessing the
default management situation. Simulation exercises
necessary coverage the CCP should not net off any
should replicate a default scenario to demonstrate the
exposures between defaulting clearing members, in
roles and responsibilities of clearing members, clients
order to avoid reducing the potential impacts that these
and other relevant stakeholders. Additionally it is
exposures might have.
important that a CCP has appropriate mechanisms that
enable it to ascertain whether corrective action is
required and to identify any lack of clarity in, or
discretion allowed by, the rules and procedures. The
(53) The
different
types
of
financial
instruments
which
a
CCP
testing of a CCP’s default management procedures is
may clear are subject to a variety of specific risks. A CCP
particularly important where it relies on non-defaulting
should therefore be required to consider all the risks
clearing members or third parties to assist in the close-
relevant to the markets it provides clearing services for
out process and where the default procedures have never
in its models, their methodologies and the liquidity risk
been tested by an actual default.
management framework to ensure it adequately measures
its potential future exposure. In order for such risks to be
properly considered, stress testing requirements should
include instrument-specific risks relevant to different
(59) This Regulation is based on the draft regulatory technical
types of financial instruments.
standards submitted by the European Securities and
Markets Authority (ESMA) to the Commission.
(54) For
a
CCP
to
ensure
that
its
model
for
calculating
initial
margins adequately reflects its potential exposures, in
addition to the daily back testing of its margin
(60) ESMA has consulted, where relevant, the European
coverage which looks at the adequacy of the margin
Banking Authority (EBA), the European Systemic Risk
being called, it should also back test key parameters
Board and the members of the ESCB before submitting
and assumptions of the model. This is essential to
the draft technical standards on which this Regulation is
ensure that CCPs’ models calculate initial margin
based. In accordance with Article 10 of Regulation (EU)
accurately.
No 1095/2010 of the European Parliament and the
Council of 24 November 2010 establishing a European
Supervisory Authority (European Securities and Markets
Authority) ( 1 ), ESMA has conducted open public consul
tations on such draft regulatory technical standards,
(55) Rigorous
sensitivity
analysis
of
margin
requirements
may
take on increased importance when markets are illiquid
analysed the potential related costs and benefits and
or volatile and should be used to determine the impact of
requested the opinion of the Securities and Markets
varying important model parameters. Sensitivity analysis
Stakeholder Group established in accordance with
is an effective tool to explore hidden shortcomings that
Article 37 of Regulation (EU) No 1095/2010,
cannot be discovered through back testing.
HAS ADOPTED THIS REGULATION:
(56) Failure
to
conduct
stress
and
back
tests
regularly
could
lead to a CCP’s financial and liquid resources being
inadequate to cover the actual risks it is exposed to.
Appropriate tests will also allow a CCP’s models, their
CHAPTER I
methodologies and the liquidity risk management
framework to deal with changing markets and new
GENERAL
risks promptly. Test results should therefore be used
Article 1
promptly by CCPs to review their models, methodologies
and liquidity risk management framework.
Definitions
For the purposes of this Regulation, the following definitions
apply:
(57) Modelling
extreme
market
conditions
can
help
a
CCP
determining the limits of its current models, the
liquidity risk management framework and the financial
and liquid resources. However, it requires the CCP to
(1) ‘basis risk’ means the risk arising from less than perfectly
exercise judgment when modelling different markets
correlated movements between two or more assets or
and products. Reverse stress testing should be considered
contracts cleared by the central counterparty (CCP);
a helpful management tool, whilst not the main one, to
determine the appropriate level of financial resources.
( 1 ) OJ L 331, 15.12.2010, p. 84.

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Union L
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(2) ‘confidence interval’ means the percentage of exposures
CHAPTER II
movements for each financial instrument cleared with
reference to a specific lookback period that a CCP is
RECOGNITION OF THIRD COUNTRY CCPs
required to cover over a certain liquidation period;
(Article 25 of Regulation (EU) No 648/2012)
Article 2
Information to be provided to ESMA for the recognition of
(3) ‘convenience yield’ means the benefits from direct
a CCP
ownership of the physical commodity and is affected
both by market conditions and by factors such as
An application for recognition submitted by a CCP established
physical storage costs;
in a third country shall contain at least the following
information:
(4) ‘margins’ means margins as referred to in Article 41 of
(a) full name of the legal entity;
Regulation (EU) No 648/2012 which may include initial
margins and variation margins;
(b) identities of the shareholders or members with qualifying
holdings;
(5) ‘initial margin’ means margins collected by the CCP to
cover potential future exposure to clearing members
(c) a list of the Member States in which it intends to provide
providing the margin and, where relevant, interoperable
services;
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;
(d) classes of financial instruments cleared;
(e) details to be included in the ESMA website in accordance
(6) ‘variation margin’ means margins collected or paid out to
with Article 88(1)(e) of Regulation (EU) No 648/2012;
reflect current exposures resulting from actual changes in
market price;
(f) details
of
its
financial
resources,
the
form
and
methods
in
which they are maintained and the arrangements to secure
them including default management procedures;
(7) ‘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;
(g) details on the margin methodology and for the calculation
of the default fund;
(8) ‘liquidation period’ means the time period used for the
calculation of the margins that the CCP estimates
(h) a list of the eligible collateral;
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;
(i) a breakdown of values, in prospective form if needed,
cleared by the applying CCP by each Union currency
cleared;
(9) ‘lookback period’ means the time horizon for the calcu
lation of historical volatility;
(j) results of the stress tests and back tests performed during
the year preceding the date of application;
(10) ‘testing exception’ means the result of a test which shows
(k) its rules and internal procedures with evidences of full
that a CCP’s model or liquidity risk management
compliance with the requirements applicable in that third
framework did not result in the intended level of coverage;
country;
(l) details
of
any
outsourcing
arrangements;
(11) ‘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
(m) details on segregation arrangements and respective legal
with its credit risk.
soundness and enforceability;

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Official Journal of the European Union
23.2.2013
(n) details on the CCP’s access requirements and terms for
different individuals, who shall be employees of the CCP
suspension and termination of membership;
entrusted with the exclusive responsibility of performing these
functions.
(o) details of any interoperability arrangement, including the
information provided to the third country competent
4. A
CCP
that
is
part
of
a
group
shall
take
into
account
any
authority for the purpose of assessing the arrangement.
implications of the group for its own governance arrangements
including whether it has the necessary level of independence to
meet its regulatory obligations as a distinct legal person and
CHAPTER III
whether its independence could be compromised by the group
structure or by any board member also being a member of the
ORGANISATIONAL REQUIREMENTS
board of other entities of the same group. In particular, such a
(Article 26 of Regulation (EU) No 648/2012)
CCP shall consider specific procedures for preventing and
managing conflicts of interest including with respect to
Article 3
outsourcing arrangements.
Governance arrangements
1. The
key
components
of
the
governance
arrangements
of
the CCP that define its organisational structure as well as clearly
5. Where
a
CCP
maintains
a
two-tiered
board
system,
the
specified and well-documented policies, procedures and
role and responsibilities of the board as established in this
processes by which its board and senior management operate
Regulation and in Regulation (EU) No 648/2012 shall be
shall include the following:
allocated to the supervisory board and the management board
as appropriate.
(a) the composition, role and responsibilities of the board and
any board committees;
6. The
risk
management
policies,
procedures,
systems
and
controls shall be part of a coherent and consistent governance
framework that is reviewed and updated regularly.
(b) the roles and responsibilities of the management;
Article 4
(c) the senior management structure;
Risk management and internal control mechanisms
1. A
CCP
shall
have
a
sound
framework
for
the
compre
(d) the reporting lines between the senior management and the
hensive management of all material risks to which it is or
board;
may be exposed. A CCP shall establish documented policies,
procedures and systems that identify, measure, monitor and
manage such risks. In establishing risk-management policies,
procedures and systems, a CCP shall structure them in a way
(e) the procedures for the appointment of board members and
as to ensure that clearing members properly manage and
senior management;
contain the risks they pose to the CCP.
(f) the design of the risk management, compliance and internal
control functions;
2. A
CCP
shall
take
an
integrated
and
comprehensive
view
of
all relevant risks. These shall include the risks it bears from and
poses to its clearing members and, to the extent practicable,
clients as well as the risks it bears from and poses to other
(g) the processes for ensuring accountability to stakeholders.
entities such as, but not limited to interoperable CCPs, securities
settlement and payment systems, settlement banks, liquidity
providers, central securities depositories, trading venues served
2. A
CCP
shall
have
adequate
staff
to
meet
all
obligations by the CCP and other critical service providers.
arising from this Regulation and from Regulation (EU)
No 648/2012. A CCP shall not share its staff with other
group entities, unless under the terms of an outsourcing
arrangement in accordance with Article 35 of Regulation (EU)
3. A
CCP
shall
develop
appropriate
risk
management
tools
to
No 648/2012.
be in a position to manage and report on all relevant risks.
These shall include the identification and management of
system, market or other interdependencies. If a CCP provides
services linked to clearing that present a distinct risk profile
3. A
CCP
shall
establish
lines
of
responsibility
which
are from its functions and potentially pose significant additional
clear, consistent and well-documented. A CCP shall ensure
risks to it, the CCP shall manage those additional risks
that the functions of the chief risk officer, chief compliance
adequately. This may include separating legally the additional
officer and chief technology officer are carried out by
services that the CCP provides from its core functions.

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Union L
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4. The
governance
arrangements
shall
ensure
that
the
board 2. A
CCP
shall
ensure
that
its
rules,
procedures
and
of a CCP assumes final responsibility and accountability for
contractual arrangements are clear and comprehensive and
managing the CCP’s risks. The board shall define, determine
they ensure compliance with this Regulation, Regulation
and document an appropriate level of risk tolerance and risk
(EU) No
648/2012 and Implementing Regulation (EU)
bearing capacity for the CCP. The board and senior
No 1249/2012 as well as all other applicable regulatory and
management shall ensure that the CCP’s policies, procedures
supervisory requirements.
and controls are consistent with the CCP’s risk tolerance and
risk bearing capacity and that they address how the CCP ident
ifies, reports, monitors and manages risks.
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 accom
panying material shall be accurate, up-to-date and readily
5. A CCP shall employ robust information and risk-control
available to the competent authority, clearing members and,
systems to provide the CCP and, where appropriate, its clearing
where appropriate, clients.
members and, where possible, clients with the capacity to
obtain timely information and to apply risk management
policies and procedures appropriately. These systems shall
ensure, at least that credit and liquidity exposures are
A CCP shall identify and analyse the soundness of the rules,
monitored continuously at the CCP level as well as at the
procedures and contractual arrangements of the CCP. If
clearing member level and, to the extent practicable, at the
necessary, independent legal opinions shall be sought for the
client level.
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
6. A
CCP
shall
ensure
that
the
risk
management
function
has proposed changes to the competent authority.
the necessary authority, resources, expertise and access to all
relevant information and that it is sufficiently independent
from the other functions of the CCP. The CCP chief risk
3. In
developing
its
rules,
procedures
and
contractual
officer shall implement the risk management framework
arrangements a CCP shall consider relevant regulatory principles
including the policies and procedures established by the board.
and industry standards and market protocols and clearly
indicate where such practices have been incorporated into the
documentation governing the rights and obligations of the CCP,
its clearing members and other relevant third parties.
7. A
CCP
shall
have
adequate
internal
control
mechanisms
to
assist the board in monitoring and assessing the adequacy and
effectiveness of a its risk management policies, procedures and
systems. Such mechanisms shall include sound administrative
4. A
CCP
shall
identify
and
analyse
potential
conflicts
of
law
and accounting procedures, a robust compliance function and
issues and develop rules and procedures to mitigate legal risk
an independent internal audit and validation or review function.
resulting from such issues. If necessary, independent legal
opinions shall be sought by the CCP for the purpose of this
analysis.
8. A
CCP’s
financial
statement
shall
be
prepared
on
an
annual basis and be audited by statutory auditors or audit
A CCP’s rules and procedures shall clearly indicate the law that
firms within the meaning of Directive 2006/43/EC of the
is intended to apply to each aspect of the CCP’s activities and
European Parliament and of the Council ( 1 ).
operations.
Article 6
Article 5
Compliance function
Compliance policy and procedures
1. A CCP shall establish and maintain a permanent and
1. A
CCP
shall
establish,
implement
and
maintain
adequate effective compliance function which operates independently
policies and procedures designed to detect any risk of failure by
from the other functions of the CCP. It shall ensure that the
the CCP and its employees to comply with the its obligations
compliance function has the necessary authority, resources,
under this Regulation, Regulation (EU) No 648/2012 and
expertise and access to all relevant information.
Implementing Regulation (EU) No 1249/2012, as well as the
associated risks, and put in place adequate measures and
procedures designed to minimise such risk and to enable the
competent authorities to exercise their powers effectively under
When establishing its compliance function, the CCP shall take
these Regulations.
into account the nature, scale and complexity of its business,
and the nature and range of the services and activities
( 1 ) OJ L 157, 9.6.2006, p. 87.
undertaken in the course of that business.

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2. The
chief
compliance
officer
shall
at
least
have
the (f) the oversight of outsourcing arrangements;
following responsibilities:
(a) monitor and, on a regular basis, assess the adequacy and
(g) the oversight of compliance with all provisions of this Regu
effectiveness of the measures put in place in accordance
lation, Regulation (EU) No 648/2012, Implementing Regu
with Article 5(4) and the actions taken to address any defi
lation (EU) No 1249/2012 and all other regulatory and
ciencies in the CCP’s compliance with its obligations;
supervisory requirements;
(b) administer the compliance policies and procedures estab
lished by senior management and the board;
(h) the provision of accountability to the shareholders or
owners and employees, clearing members and their
customers and other relevant stakeholders.
(c) 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)
3. Senior
management
shall
have
at
least
the
following
No 648/2012 and Implementing Regulation (EU)
responsibilities:
No 1249/2012 and other regulatory requirements, where
applicable;
(a) ensuring consistency of the CCP’s activities with the
(d) report regularly to the board on compliance by the CCP
objectives and strategy of the CCP as determined by the
and its employees with this Regulation, Regulation (EU)
board;
No 648/2012 and Implementing Regulation (EU)
No 1249/2012;
(b) designing and establishing compliance and internal control
(e) establish procedures for the effective remediation of
procedures that promote the CCP’s objectives;
instances of non-compliance;
(f) ensure that the relevant persons involved in the compliance
(c) subjecting the internal control procedures to regular review
function are not involved in the performance of the services
and testing;
or activities they monitor and that any conflicts of interest
of such persons are properly identified and eliminated.
(d) ensuring that sufficient resources are devoted to risk
Article 7
management and compliance;
Organisational structure and separation of the reporting
lines
(e) be actively involved in the risk control process;
1. A
CCP
shall
define
the
composition,
role
and
responsi
bilities of the board and senior management and any board
committees. These arrangements shall be clearly specified and
(f) ensuring that risks posed to the CCP by its clearing and
well-documented. The board shall establish, at a minimum an
activities linked to clearing are duly addressed.
audit committee and a remuneration committee. The risk
committee established in accordance with Article 28 of Regu
lation (EU) No 648/2012 shall be an advisory committee to the
board.
4. Where the board delegates tasks to committees or sub-
committees, it shall retain the approval of decisions that could
have a significant impact on the risk profile of the CCP.
2. The
board
shall
assume
at
least
the
following
responsibil
ities:
5. The
arrangements
by
which
the
board
and
senior
(a) the establishment of clear objectives and strategies for the
management operate shall include processes to identify,
CCP;
address and manage potential conflicts of interest of members
of the board and senior management.
(b) the effective monitoring of senior management;
6. A
CCP
shall
have
clear
and
direct
reporting
lines
between
(c) the establishment of appropriate remuneration policies,
its board and senior management in order to ensure that the
senior management is accountable for its performance. The
(d) the establishment and oversight of the risk management
reporting lines for risk management, compliance and internal
function;
audit shall be clear and separate from those for the other oper
ations of the CCP. The chief risk officer shall report to the
board either directly or through the chair of the risk committee.
(e) the oversight of the compliance function and internal
The chief compliance officer and the internal audit function
control function;
shall report directly to the board.

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Union L
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Article 8
recognised technical standards and industry best practices. The
CCP shall subject its systems to stringent testing, simulating
Remuneration policy
stressed conditions, before initial use, after making significant
1. The
remuneration
committee
shall
design
and
further changes and after a major disruption has occurred. Clearing
develop the remuneration policy, oversee its implementation
members and clients, interoperable CCPs and other interested
by senior management and review its practical operation on a
parties shall be involved as appropriate in the design and
regular basis. The policy itself shall be documented and
conduct of these tests.
reviewed at least on an annual basis.
3. A
CCP
shall
maintain
a
robust
information
security
framework that appropriately manages its information security
2. The
remuneration
policy
shall
be
designed
to
align
the risk. The framework shall include appropriate mechanisms,
level and structure of remuneration with prudent risk
policies and procedures to protect information from unauth
management. The policy shall account for prospective risks as
orised disclosure, to ensure data accuracy and integrity and to
well as existing risks and risk outcomes. Pay out schedules shall
guarantee the availability of the CCP’s services.
be sensitive to the time horizon of risks. In particular in the
case of variable remuneration the policy shall take due account
4. The
information
security
framework
shall
include
at
least
of possible mismatches of performance and risk periods and
the following features:
shall ensure that payments are deferred as appropriate. The
fixed and variable components of total remuneration shall be
balanced and shall be consistent with risk alignment.
(a) access controls to the system;
(b) adequate safeguards against intrusions and data misuse;
3. The
remuneration
policy
shall
provide
that
staff
engaged
in risk management, compliance and internal audit functions
(c) specific devices to preserve data authenticity and integrity,
are remunerated in a manner that is independent of the
including cryptographic techniques;
business performance of the CCP. The level of remuneration
shall be adequate in terms of responsibility as well as in
comparison to the level of remuneration in the business areas.
(d) reliable networks and procedures for accurate and prompt
data transmission without major disruptions;
4. The
remuneration
policy
shall
be
subject
to
independent (e) audit trails.
audit, on an annual basis. The results of these audits shall be
made available to the competent authority.
5. The information technology systems and the information
security framework shall be reviewed at least on an annual
basis. They shall be subject to independent audit assessments.
The results of these assessments shall be reported to the board
Article 9
and shall be made available to the competent authority.
Information technology systems
1. A CCP shall design and ensure its information technology
Article 10
systems are reliable and secure as well as capable of processing
Disclosure
the information necessary for the CCP to perform its activities
and operations in a safe and efficient manner.
1. A
CCP
shall
make
the
following
information
available
to
the public free of charge:
The information technology architecture shall be well-docu
(a) information regarding its governance arrangements,
mented. The systems shall be designed to deal with the CCP’s
including the following:
operational needs and the risks the CCP faces, be resilient,
including in stressed market conditions, and be scalable, if
(i) its organisational structure as well as key objectives and
necessary, to process additional information. The CCP shall
strategies;
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 circum
(ii) key elements of the remuneration policy;
stances where a major disruption occurs. The CCP shall provide
for procedures for the introduction of new technology including
clear reversion plans.
(iii) key financial information including its most recent
audited financial statements;
(b) information regarding its rules, including the following:
2. In
order
to
ensure
a
high
degree
of
security
in
information
processing and to enable connectivity with its clearing members
and clients as well as with its service providers, a CCP shall
(i) default management procedures, procedures and
base its information technology systems on internationally
supplementary texts;

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(ii) relevant business continuity information;
3. Information to be disclosed to the public by the CCP shall
be accessible on its website. Information shall be available in at
least a language customary in the sphere of international
(iii) information on the CCP’s risk management systems,
finance.
techniques and performance in accordance with
Chapter XII;
Article 11
(iv) all relevant information on its design and operations as
Internal auditing
well as on the rights and obligations of clearing
members and clients, necessary to enable them to
1. A
CCP
shall
establish
and
maintain
an
internal
audit
identify clearly and understand fully the risks and
function which is separate and independent from the other
costs associated with using the CCP’s services;
functions and activities of the CCP and which has the
following tasks:
(v) the CCP’s current clearing services, including detailed
information on what it provides under each service;
(a) to establish, implement and maintain an audit plan to
examine and evaluate the adequacy and effectiveness of
(vi) the CCP’s risk management systems, techniques and
the CCP’s systems, internal control mechanisms and
performance, including information on financial
governance arrangements;
resources, investment policy, price data sources and
models used in margin calculations;
(b) to issue recommendations based on the result of work
(vii) the law and the rules governing:
carried out in accordance with point (a);
(1) the access to the CCP;
(c) to verify compliance with those recommendations;
(2) the contracts concluded by the CCP with clearing
members and, where practicable, clients;
(d) to report internal audit matters to the board.
(3) the contracts that the CCP accepts for clearing;
2. The
internal
audit
function
shall
have
the
necessary
auth
ority, resources, expertise, and access to all relevant documents
(4) any interoperability arrangements;
for the performance of its functions. It shall be sufficiently
independent from the management and shall report directly
to the board.
(5) the use of collateral and default fund contributions,
including the liquidation of positions and collateral
and the extent to which collateral is protected
3. Internal audit shall assess the effectiveness of the CCP’s
against third party claims;
risk management processes and control mechanisms in a
manner that is proportionate to the risks faced by the
(c) information regarding eligible collateral and applicable
different business lines and independent of the business areas
haircuts;
assessed. The internal audit function shall have the necessary
access to information in order to review all of the CCP’s
activities and operations, processes and systems, including
(d) a list of all current clearing members, including admission,
outsourced activities.
suspension and exit criteria for clearing membership.
4. Internal
audit
assessments
shall
be
based
on
a
compre
Where the competent authority agrees with the CCP that any of
hensive audit plan that shall be reviewed and reported to the
the information under point (b) or (c) of this paragraph may
competent authority at least on an annual basis. The CCP shall
put at risk business secrets or the safety and soundness of the
ensure that special audits may be performed on an event-driven
CCP, the CCP may decide to disclose that information in a
basis at short notice. Audit planning and review shall be
manner that prevents or reduces those risks, or not to
approved by the board.
disclose such information.
2. A
CCP
shall
disclose
to
the
public,
free
of
charge, 5. A
CCP’s
clearing
operations,
risk
management
processes,
information regarding any material changes in its governance
internal control mechanisms and accounts shall be subject to
arrangements, objectives, strategies and key policies as well as in
independent audit. Independent audits shall be performed, at a
its applicable rules and procedures.
least, on an annual basis.

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CHAPTER IV
6. Each
CCP
shall
name
the
relevant
persons
who
can,
within
the delay established in paragraphs 2 and 3 for the provision of
RECORD KEEPING
the relevant records, explain the content of its records to the
(Article 29 of Regulation (EU) No 648/2012)
competent authorities.
Article 12
General requirements
7. All
records
required
to
be
kept
by
a
CCP
under
this
Regulation shall be open to inspection by the competent auth
1. A
CCP
shall
keep
records
in
a
durable
medium
that
allows ority. A CCP shall provide the competent authority with a direct
information to be provided to the competent authorities, ESMA
data feed to the records required under Articles 13 and 14,
and relevant European System of Central Banks (ESCB)
when requested.
members, and in such a form and manner that the following
conditions are met:
Article 13
Transaction records
(a) each key stage of the processing by the CCP may be recon
stituted;
1. A
CCP
shall
maintain
records
of
all
transactions
in
all
contracts it clears and shall ensure that its records include all
information necessary to conduct a comprehensive and accurate
(b) the original content of a record before any corrections or
reconstruction of the clearing process for each contract and that
other amendments may be recorded, traced and retrieved;
each record on each transaction is uniquely identifiable and
searchable at least by all fields concerning the CCP, inter
operable CCP, clearing member, client, if known to the CCP,
(c) measures to prevent unauthorised alteration of records are
and financial instrument.
in place;
2. In
relation
to
every
transaction
received
for
clearing,
a
(d) security and confidentiality of the data recorded are ensured
CCP shall, immediately upon receiving the relevant information,
through appropriate measures;
make and keep updated a record of the following details:
(e) a mechanism for identifying and correcting errors is incor
(a) the price, rate or spread and quantity;
porated in the record keeping system;
(b) the clearing capacity, which identifies whether the trans
(f) the timely recovery of the records in the case of a system
action was a buy or sale from the perspective of the CCP
failure is ensured within the record keeping system.
recording;
2. Where
records
or
information
are
less
than
six
months (c) the instrument identification;
old, they shall be provided to the authorities listed in paragraph
1 as soon as possible and at the latest by the end of the
following business day following a request from the relevant
(d) the identification of the clearing member;
authority.
(e) the identification of the venue where the contract was
3. Where
records
or
information
are
older
than
six
months,
concluded;
shall be provided to the authorities listed in paragraph 1 as
soon as possible and within five business days following a
request from the relevant authority.
(f) the date and time of interposition of the CCP;
4. Where the records processed by the CCP contain personal
(g) the date and time of termination of the contract;
data CCPs shall have regard to their obligations under Directive
95/46/EC of the European Parliament and of the Council ( 1 ) and
(h) the terms and modality of settlement;
Regulation (EC) No 45/2001 of the European Parliament and of
the Council ( 2 ).
(i) the date and time of settlement or of buy-in of the trans
action and to the extent they are applicable of the following
5. Where
a
CCP
maintains
records
outside
the
Union,
it
shall
details:
ensure that the competent authority, ESMA and the relevant
members of the ESCB are able to access the records to the
same extent and within the same periods as if they were main
(i) the day and the time at which the contract was orig
tained within the Union.
inally concluded;
( 1 ) OJ L 281, 23.11.1995, p. 31.
( 2 ) OJ L 8, 12.1.2001, p. 1.
(ii) the original terms and parties of the contract;

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(iii) the identification of the interoperable CCP clearing one
(b) the identities of the shareholders or members, whether
leg of the transaction, where applicable;
direct or indirect, natural or legal persons, that have qual
ifying holdings and the amounts of those holdings;
(iv) the identity of the client, including any indirect client,
where known to the CCP, and in case of a give-up, the
(c) the documents attesting the policies, procedures and
identification of the party that transferred the contract.
processes required under Chapter III and Article 29;
Article 14
(d) the minutes of board meetings and, if applicable, of
meetings of sub-committees of the board and of senior
Position records
management committees;
1. A
CCP
shall
maintain
records
of
positions
held
by
each
clearing member. Separate records shall be held for each
(e) the minutes of meetings of the risk committee;
account kept in accordance with Article 39 of Regulation
(EU) No 648/2012 and the CCP shall ensure that its records
include all information necessary to conduct a comprehensive
(f) the
minutes
of
consultation
groups
with
clearing
members
and accurate reconstruction of the transactions that established
and clients, if any;
the position and that each record is identifiable and searchable
at least by all fields concerning the CCP, interoperable CCP,
(g) internal and external audit reports, risk management
clearing member, client, if known to the CCP, and financial
reports, compliance reports, and reports by consultant
instrument.
companies, including management responses;
2. At the end of each business day a CCP shall make a
(h) the business continuity policy and disaster recovery plan,
record in relation to each position including the following
required under Article 17;
details, to the extent they are linked to the position in question:
(i) the liquidity plan and the daily liquidity reports, required
(a) the identification of the clearing member, of the client, if
under Article 32;
known to the CCP, and of any interoperable CCP main
taining such position, where applicable;
(j) records reflecting all assets and liabilities and capital
accounts as required under Article 16 of Regulation (EU)
(b) the sign of the position;
No 648/2012;
(k) complaints received, with information on the complainant’s
(c) the daily calculation of the value of the position with
name, address, and account number; the date the complaint
records of the prices at which the contracts are valued,
was received; the name of all persons identified in the
and of any other relevant information.
complaint; a description of the nature of the complaint;
the disposition of the complaint, and the date the
complaint was resolved;
3. A
CCP
shall
make,
and
keep
updated,
a
record
of
the
amounts of margins, default fund contributions and other
financial resources referred to in Article 43 of Regulation (EU)
(l) records of any interruption of services or dysfunction,
No 648/2012, called by the CCP and the corresponding amount
including a detailed report on the timing, effects and
actually posted by the clearing member at the end of day and
remedial actions;
changes to that amount that may occur intraday, with respect
to each single clearing member and client account if known to
the CCP.
(m) records of the results of the back and stress tests
performed;
Article 15
(n) written communications with competent authorities, ESMA
Business records
and the relevant members of the ESCB;
1. A
CCP
shall
maintain
adequate
and
orderly
records
of
activities related to its business and internal organisation.
(o) legal opinions received in accordance with Chapter III;
2. The
records
referred
to
in
paragraph
1
shall
be
made
each (p) where applicable, documentation regarding interoperability
time a material change in the relevant documents occurs and
arrangements with other CCPs;
shall include at least:
(q) the information under Article 10(1)(b)(vii) and (1)(d);
(a) the organisational charts for the board and relevant
committees, clearing unit, risk management unit, and all
(r) the relevant documents describing the development of new
other relevant units or divisions;
business initiatives.

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Article 16
7. A
CCP
shall
take
into
account
the
potential
overall
impact
on market efficiency in determining the recovery times for each
Records of data reported to a trade repository
function.
A CCP shall identify and retain all information and data
required to be reported in accordance with Article 9 of Regu
lation (EU) No 648/2012, along with a record of the date and
Article 18
time the transaction is reported.
Business impact analysis
1. A
CCP
shall
conduct
a
business
impact
analysis
which
is
CHAPTER V
designed to identify the business functions which are critical to
ensure the services of the CCP. The criticality of these functions
BUSINESS CONTINUITY
to other institutions and functions in the financial infrastructure
(Article 34 of Regulation (EU) No 648/2012)
shall be part of the analysis.
Article 17
Strategy and policy
2. A
CCP
shall
use
scenario
based
risk
analysis
which
is
1. A
CCP
shall
have
a
business
continuity
policy
and
a designed to identify how various scenarios affect the risks to
disaster recovery plan which are approved by the board. The
its critical business functions.
business continuity policy and the disaster recovery plan shall
be subject to independent reviews which are reported to the
board.
3. In
assessing
risks,
a
CCP
shall
take
into
account
depen
dencies on external providers, including utilities services. A CCP
shall take action to manage such dependencies through appro
2. The
business
continuity
policy
shall
identify
all
critical priate contractual and organisational arrangements.
business functions and related systems, and include the CCP’s
strategy, policy, and objectives to ensure the continuity of these
functions and systems.
4. Business
impact
analysis
and
scenario
analysis
shall
be
kept up to date, shall be reviewed at least on an annual basis
and following an incident or significant organisational changes.
The analyses shall take into account all relevant developments,
3. The
business
continuity
policy
shall
take
into
account including market and technology developments.
external links and interdependencies within the financial infra
structure including trading venues cleared by the CCP, securities
settlement and payment systems and credit institutions used by
the CCP or a linked CCP. It shall also take into account critical
Article 19
functions or services which have been outsourced to third-party
providers.
Disaster recovery
1. A
CCP
shall
have
in
place
arrangements
to
ensure
continuity of its critical functions based on disaster scenarios.
4. The
business
continuity
policy
and
disaster
recovery
plan These arrangements shall at least address the availability of
shall contain clearly defined and documented arrangements for
adequate human resources, the maximum downtime of critical
use in the event of a business continuity emergency, disaster or
functions, and fail over and recovery to a secondary site.
crisis which are designed to ensure a minimum service level of
critical functions.
2. A
CCP
shall
maintain
a
secondary
processing
site
capable
of ensuring continuity of all critical functions of the CCP
identical to the primary site. The secondary site shall have a
5. The
disaster
recovery
plan
shall
identify
and
include geographical risk profile which is distinct from that of the
recovery point objectives and recovery time objectives for
primary site.
critical functions and determine the most suitable recovery
strategy for each of these functions. Such arrangements shall
be designed to ensure that in extreme scenarios critical
functions are completed on time and that agreed service levels
3. A CCP shall maintain or have an immediate access to a
are met.
secondary business site, at least, to allow staff to ensure
continuity of the service if the primary location of business is
not available.
6. A
CCP’s
business
continuity
policy
shall
identify
the
maximum acceptable time for which critical functions and
systems may be unusable. The maximum recovery time for
4. The need for additional processing
sites shall be
the CCP’s critical functions to be included in the business
considered by the CCP, in particular if the diversity of the
continuity policy shall not be higher than two hours. End of
risk profiles of the primary and secondary sites does not
day procedures and payments shall be completed on the
provide sufficient confidence that the CCP’s business continuity
required time and day in all circumstances.
objectives will be met in all scenarios.

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23.2.2013
Article 20
Article 23
Testing and monitoring
Communication
1. A
CCP
shall
test
and
monitor
its
business
continuity 1. A CCP shall have a communication plan which
policy and disaster recovery plan at regular intervals and after
documents the way in which the senior management, the
significant modifications or changes to the systems or related
board and relevant external stakeholders, including competent
functions to ensure the business continuity policy achieves the
authorities, clearing members, clients, settlement agents,
stated objectives including the two hour maximum recovery
securities settlement and payment systems and trading venues,
time objective. Tests shall be planned and documented.
will be kept adequately informed during a crisis.
2. Testing
of
the
business
continuity
policy
and
disaster
recovery plan shall fulfil the following conditions:
2. Scenario analysis, risk analysis, reviews and results of
monitoring and tests shall be reported to the board.
(a) involve scenarios of large scale disasters and switchovers
between primary and secondary sites;
CHAPTER VI
MARGINS
(b) include involvement of clearing members, external providers
and relevant institutions in the financial infrastructure with
(Article 41 of Regulation (EU) No 648/2012)
which interdependencies have been identified in the
Article 24
business continuity policy.
Percentage
1. A
CCP
shall
calculate
the
initial
margins
to
cover
the
Article 21
exposures arising from market movements for each financial
Maintenance
instrument that is collateralised on a product basis, over the
time period defined in Article 25 and assuming a time
1. A
CCP
shall
regularly
review
and
update
it
business horizon for the liquidation of the position as defined in
continuity policy to include all critical functions and the most
Article 26. For the calculation of initial margins the CCP shall
suitable recovery strategy for them.
at least respect the following confidence intervals:
2. A
CCP
shall
regularly
review
and
update
its
disaster
recovery plan to include the most suitable recovery strategy
(a) for OTC derivatives, 99,5 %;
for all critical functions.
(b) for financial instruments other than OTC derivatives, 99 %.
3. Updates
to
the
business
continuity
policy
and
disaster
recovery plan shall take into consideration the outcome of
the tests and recommendations of independent reviews and
other reviews and of competent authorities. CCPs shall review
2. For the determination of the adequate confidence interval
their business continuity policy and disaster recovery plan after
for each class of financial instruments it clears, a CCP shall in
every significant disruption, to identify the causes and any
addition consider at least the following factors:
required improvements to the CCP’s operations, business
continuity policy and disaster recovery plan.
(a) the complexities and level of pricing uncertainties of the
Article 22
class of financial instruments which may limit the validation
of the calculation of initial and variation margin;
Crisis management
1. A
CCP
shall
have
a
crisis
management
function
to
act
in
case of an emergency. The crisis management procedure shall
(b) the risk characteristics of the class of financial instruments,
be clear and documented in writing. The board shall monitor
which can include, but are not limited to, volatility,
the crisis management function and regularly receive and review
duration, liquidity, non-linear price characteristics, jump to
reports on it.
default risk and wrong way risk;
2. The
crisis
management
function
shall
contain
well- (c) the degree to which other risk controls do not adequately
structured and clear procedures to manage internal and
limit credit exposures;
external crisis communications during a crisis event.
3. Following a crisis event, the CCP shall undertake a review
(d) the inherent leverage of the class of financial instruments,
of its handling of the crisis. The review shall, where relevant,
including whether the class of financial instrument is signifi
incorporate contributions from clearing members and other
cantly volatile, is highly concentrated among a few market
external stakeholders.
players or may be difficult to close out.

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3. The
CCP
shall
inform
its
competent
authority
and
its 2. In all cases, for the determination of the adequate liqui
clearing members on the criteria considered to determine the
dation period, the CCP shall evaluate and sum at least the
percentage applied to the calculation of the margins for each
following:
class of financial instruments.
(a) the longest possible period that may elapse from the last
4. Where
a
CCP
clears
OTC
derivatives
that
have
the
same
collection of margins up to the declaration of default by the
risk characteristics as derivatives executed on regulated markets
CCP or activation of the default management process by the
or an equivalent third country market, on the basis of an
CCP;
assessment of the risk factors set out in paragraph 2, the CCP
may use an alternative confidence interval of at least 99 % for
those contracts if the risks of OTC derivatives contracts it clears
(b) the estimated period needed to design and execute the
are appropriately mitigated using such confidence interval and
strategy for the management of the default of a clearing
the conditions in paragraph 2 are respected.
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
Article 25
member position;
Time horizon for the calculation of historical volatility
1. A
CCP
shall
ensure
that
according
to
its
model
(c) where relevant, the period needed to cover the counterparty
methodology and its validation process established in
risk to which the CCP is exposed.
accordance with Chapter XII, initial margins cover at least
with the confidence interval defined in Article 24 and for the
liquidation period defined in Article 26 the exposures resulting
3. In evaluating the periods defined in paragraph 2, the CCP
from historical volatility calculated based on data covering at
shall consider at least the factors indicated in Article 24(2) and
least the latest 12 months.
the time period for the calculation of the historical volatility as
defined in Article 25.
A CCP shall ensure that the data used for calculating historical
volatility capture a full range of market conditions, including
4. Where
a
CCP
clears
OTC
derivatives
that
have
the
same
periods of stress.
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
2. A
CCP
may
use
any
other
time
horizon
for
the
calculation its competent authority that:
of historical volatility provided that the use of such time
horizon results in margin requirements at least as high as
those obtained with the time period defined in paragraph 1.
(a) such time horizon would be more appropriate than that
specified in paragraph 1 in view of the specific features of
the relevant OTC derivatives;
3. Margin
parameters
for
financial
instruments
without
a
historical observation period shall be based on conservative
assumptions. A CCP shall promptly adapt the calculation of
(b) such time horizon is at least two business days.
the required margins based on the analysis of the price
history of the new financial instruments.
Article 27
Portfolio margining
Article 26
1. A
CCP
may
allow
offsets
or
reductions
in
the
required
Time horizons for the liquidation period
margin across the financial instruments that it clears if the
price risk of one financial instrument or a set of financial
1. A CCP shall define the time horizons for the liquidation
instruments is significantly and reliably correlated, or based
period taking into account the characteristics of the financial
on equivalent statistical parameter of dependence, with the
instrument cleared, the market where it is traded, and the period
price risk of other financial instruments.
for the calculation and collection of the margins. These liqui
dation periods shall be at least:
2. The
CCP
shall
document
its
approach
on
portfolio
margining and it shall at least provide that the correlation, or
(a) five business days for OTC derivatives;
an equivalent statistical parameter of dependence, between two
or more financial instruments cleared is shown to be reliable
over the lookback period calculated in accordance with
Article 25 and demonstrates resilience during stressed historical
(b) two business days for financial instruments other than OTC
or hypothetical scenarios. The CCP shall demonstrate the
derivatives.
existence of an economic rationale for the price relation.

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3. All financial instruments to which portfolio margining is
CHAPTER VII
applied shall be covered by the same default fund. By way of
derogation, if a CCP can demonstrate in advance to its
DEFAULT FUND
competent authority and to its clearing members how
(Article 42 of Regulation (EU) No 648/2012)
potential losses would be allocated among different default
funds and has set out the necessary provisions in its rules,
Article 29
portfolio margining may be applied to financial instruments
Framework and governance
covered by different default funds.
1. To
determine
the
minimum
size
of
default
fund
and
amount of other financial resources necessary to satisfy the
requirements of Articles 42 and 43 of Regulation (EU)
4. Where
portfolio
margining
covers
multiple
instruments, No 648/2012, taking into account group dependencies, a CCP
the amount of margin reductions shall be no greater than
shall implement an internal policy framework for defining the
80 % of the difference between the sum of the margins for
types of extreme but plausible market conditions that could
each product calculated on an individual basis and the margin
expose it to greatest risk.
calculated based on a combined estimation of the exposure for
the combined portfolio. Where the CCP is not exposed to any
potential risk from the margin reduction, it may apply a
reduction of up to 100 % of that difference.
2. The
framework
shall
include
a
statement
describing
how
the CCP defines extreme but plausible market conditions. It
shall be fully documented and retained in accordance with
5. The
margin
reductions
related
to
portfolio
margining
shall Article 12.
be subject to a sound stress test programme in accordance with
Chapter XII.
3. The
framework
shall
be
discussed
by
the
risk
committee
and approved by the board. The robustness of the framework
Article 28
and its ability to reflect market movements shall be subject to at
Procyclicality
least an annual review. The review shall be discussed by the risk
committee and reported to the board.
1. 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
Article 30
negatively affected. This shall include avoiding when possible
Identifying extreme but plausible market conditions
disruptive or big step changes in margin requirements and
establishing transparent and predictable procedures for
1. The
framework
described
in
Article
29
shall
reflect
the
adjusting margin requirements in response to changing
risk profile of the CCP, taking account of cross-border and
market conditions. In doing so, the CCP shall employ at least
cross-currency exposures where relevant. It shall identify all
one of the following options:
the market risks to which a CCP would be exposed following
the default of one or more clearing member, including unfa
vourable movements in the market prices of cleared instru
ments, reduced market liquidity for these instruments, and
(a) applying a margin buffer at least equal to 25 % of the
declines in the liquidation value of collateral. The framework
calculated margins which it allows to be temporarily
shall also reflect additional risks to the CCP arising from the
exhausted in periods where calculated margin requirements
simultaneous failure of entities in the group of the defaulting
are rising significantly;
clearing member.
(b) assigning at least 25 % weight to stressed observations in
2. The
framework
shall
individually
identify
all
the
markets
the lookback period calculated in accordance with
to which a CCP is exposed in a clearing member default
Article 26;
scenario. For each identified market the CCP shall specify
extreme but plausible conditions based at least on:
(c) 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) 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
2. When
a
CCP
revises
the
parameters
of
the
margin
model
that recurrence of a historical instance of large price
in order to better reflect current market conditions, it shall take
movements is not plausible, it shall justify its omission
into account any potential procyclical effects of such revision.
from the framework to the competent authority;

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(b) a range of potential future scenarios, founded on consistent
with Article 12. The minimum content of the liquidity plan
assumptions regarding market volatility and price
shall include the CCP’s procedures for:
correlation across markets and financial instruments,
drawing on both quantitative and qualitative assessments
of potential market conditions.
(a) managing and monitoring, at least on a daily basis, its
liquidity needs across a range of market scenarios;
3. The
framework
shall
also
consider,
quantitatively
and
(b) maintaining sufficient liquid financial resources to cover its
qualitatively, the extent to which extreme price movements
liquidity needs and distinguish among the use of the
could occur in multiple identified markets simultaneously. The
different types of liquid resources;
framework shall recognise that historical price correlations may
breakdown in extreme but plausible market conditions.
(c) the daily assessment and valuation of the liquid assets
available to the CCP and its liquidity needs;
Article 31
(d) identifying sources of liquidity risk;
Reviewing extreme but plausible scenarios
The procedures described in Article 30 shall be reviewed by the
(e) assessing timescales over which the CCP’s liquid financial
CCP on a regular basis, taking into account all relevant market
resources should be available;
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
(f) considering potential liquidity needs stemming from
market conditions shall be reviewed by the CCP, in consultation
clearing members ability to swap cash for non-cash
with the risk committee, at least annually and more frequently
collateral;
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.
(g) the processes in the event of liquidity shortfalls;
Material changes to the framework shall be reported to the
board.
(h) the replenishment of any liquid financial resources it may
employ during a stress event.
CHAPTER VIII
The board of the CCP shall approve the plan after consulting
LIQUIDITY RISK CONTROLS
the risk committee.
(Article 44 of Regulation (EU) No 648/2012)
Article 32
4. A
CCP
shall
assess
the
liquidity
risk
it
faces
including
where the CCP or its clearing members cannot settle their
Assessment of liquidity risk
payment obligations when due as part of the clearing or
settlement process, taking also into account the investment
1. A
CCP
shall
establish
a
robust
liquidity
risk
management activity of the CCP. The risk management framework shall
framework which shall include effective operational and
address the liquidity needs stemming from the CCP’s rela
analytical tools to identify, measure and monitor its settlement
tionships with any entity towards which the CCP has a
and funding flows on an ongoing and timely basis, including its
liquidity exposure including:
use of intraday liquidity. CCPs shall regularly assess the design
and operation of their liquidity management framework,
including considering the results of the stress tests.
(a) settlement banks;
(b) payments systems;
2. A
CCP’s
liquidity
risk
management
framework
shall
be
adequately robust to ensure that the CCP is able to effect
payment and settlement obligations in all relevant currencies
(c) securities settlement systems;
as they fall due, including where appropriate intraday. A
CCP’s liquidity risk management framework shall also include
the assessment of its potential future liquidity needs under a
(d) nostro agents;
wide range of potential stress scenarios. Stress scenario shall
include the default of clearing members according to Article 44
(e) custodian banks;
of Regulation (EU) No 648/2012 from the date of a default
until the end of a liquidation period and the liquidity risk
generated by the CCP’s investment policy and procedures in
(f) liquidity providers;
extreme but plausible market conditions.
(g) interoperable CCPs;
3. The
liquidity
risk
management
framework
shall
include
a
liquidity plan which is documented and retained in accordance
(h) service providers.

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5. A CCP shall take into account any interdependencies
5. A
CCP
shall
periodically
test
its
procedures
to
access
pre-
across the entities listed in paragraph 4 and multiple rela
arranged funding arrangements. This may include drawing
tionships that an entity listed in paragraph 4 may have with
down test amounts of the commercial lines of credit, to
a CCP in its liquidity risk management framework.
check the speed of access to the resources and reliability of
procedures.
6. A
CCP
shall
establish
a
daily
report
on
the
needs
and
resources under points (a), (b) and (c) of paragraph 3 and a
quarterly report on its liquidity plan under points (d) to (h) of
6. A
CCP
shall
have
detailed
procedures
within
its
liquidity
paragraph 3. The reports shall be documented and retained in
plan for using its liquid financial resources to fulfil its payment
accordance with Chapter IV.
obligations during a liquidity shortfall. The liquidity procedures
shall clearly state when certain resources should be used. The
procedures shall also describe how to access cash deposits or
overnight investments of cash deposits, how to execute same-
Article 33
day market transactions, or how to draw on prearranged
Access to liquidity
liquidity lines. These procedures shall be regularly tested. A
CCP shall also establish an adequate plan for the renewal of
1. A
CCP
shall
maintain,
in
each
relevant
currency,
liquid funding arrangements in advance of their expiration.
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:
Article 34
Concentration risk
(a) cash deposited at a central bank of issue;
1. A
CCP
shall
closely
monitor
and
control
the
concentration
of its liquidity risk exposure, including its exposures to the
entities listed in Article 32(4) and to entities in the same group.
(b) cash deposited at authorised credit institutions in
accordance with Article 47;
2. A
CCP’s
liquidity
risk
management
framework
shall
include the application of exposure and concentration limits.
(c) committed lines of credit or equivalent arrangements with
non-defaulting clearing members;
3. A
CCP
shall
define
processes
and
procedures
for
breaches
(d) committed repurchase agreements;
of concentration limits.
(e) highly marketable financial instruments that satisfy the
requirements of Article 45 and Article 46 and that the
CHAPTER IX
CCP can demonstrate are readily available and convertible
DEFAULT WATERFALL
into cash on a same-day basis using prearranged and highly
reliable funding arrangements, including in stressed market
(Article 45 of Regulation (EU) No 648/2012)
conditions.
Article 35
Calculation of the amount of the CCP’s own resources to
2. A
CCP
shall
have
regard
to
the
currencies
in
which
its
be used in the default waterfall
liabilities are denominated and shall take into account the
1. A
CCP
shall
keep,
and
indicate
separately
in
its
balance
potential effect of stressed conditions on its ability to access
sheet, an amount of dedicated own resources for the purpose
foreign exchange markets in a manner consistent with the
set out in Article 45(4) of Regulation (EU) No 648/2012.
securities settlement cycles of foreign exchange and securities
settlement systems.
2. A
CCP
shall
calculate
the
minimum
amount
referred
to
in
3. Committed
lines
of
credit
against
collateral
provided
by paragraph 1by multiplying the minimum capital, including
clearing members shall not be double-counted as liquid
retained earnings and reserves, held in accordance with
resources. A CCP shall take action to monitor and control the
Article 16 of Regulation (EU) No 648/2012 and Commission
concentration of liquidity risk exposures to individual liquidity
Delegated Regulation (EU) No 152/2013 ( 1 ) by 25 %.
providers.
4. A
CCP
shall
conduct
rigorous
due
diligence
that
its The CCP shall revise that minimum amount on a yearly basis.
liquidity providers have enough capacity to perform according
to the liquidity arrangements.
( 1 ) See page 37 of this Official Journal.

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EN
23.2.2013 Official
Journal
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3. Where
the
CCP
has
established
more
than
one
default (a) a currency for which the CCP can demonstrate to the
fund for the different classes of financial instruments it clears,
competent authorities that it is able to adequately manage
the total dedicated own resources calculated under paragraph 1
the risk;
shall be allocated to each of the default funds in proportion to
the size of each default fund, to be separately indicated in its
balance sheet and used for defaults arising in the different
(b) a currency in which the CCP clears transactions, in the limit
market segments to which the default funds refer to.
of the collateral required to cover the CCP’s exposures in
that currency.
4. No
resources
other
than
capital,
including
retained
earnings and reserves, as referred to in Article 16 of Regulation
(EU) No
648/2012 shall be used to comply with the
Article 39
requirement under paragraph 1.
Financial instruments
For the purposes of Article 46(1) of Regulation (EU)
No 648/2012, financial instruments, bank guarantees and gold
Article 36
that meet the conditions set out in Annex I shall be considered
Maintenance of the amount of the CCP’s own resources to
as, highly liquid collateral.
be used in the default waterfall
1. A
CCP
shall
immediately
inform
the
competent
authority
if the amount of dedicated own resources held falls below the
Article 40
amount required in Article 35, together with the reasons for the
Valuing collateral
breach and a comprehensive description in writing of the
measures and the timetable for the replenishment of such
1. For
the
purposes
of
valuing
highly
liquid
collateral
as
amount.
defined in Article 37, a CCP shall establish and implement
policies and procedures to monitor on a near to real time
basis the credit quality, market liquidity and price volatility of
2. Where
a
subsequent
default
of
one
or
more
clearing each asset accepted as collateral. A CCP shall monitor on a
members occurs before the CCP has reinstated the dedicated
regular basis, and at least annually, the adequacy of its
own resources, only the residual amount of the allocated
valuation policies and procedures. Such review shall also be
dedicated own resources shall be used for the purpose of
carried out whenever a material change occurs that affects the
Article 45 of Regulation (EU) No 648/2012.
CCP’s risk exposure.
3. A
CCP
shall
reinstate
the
dedicated
own
resource
at 2. A
CCP
shall
mark-to-market
its
collateral
on
a
near
to
real
the least within one month from the notification under
time basis and, where not possible, a CCP shall be able to
paragraph 1.
demonstrate to the competent authorities that it is able to
manage the risks.
CHAPTER X
Article 41
COLLATERAL
Haircuts
(Article 46 of Regulation (EU) No 648/2012)
1. A
CCP
shall
establish
and
implement
policies
and
Article 37
procedures to determine prudent haircuts to apply to collateral
General requirements
value.
A CCP shall establish and implement transparent and
predictable policies and procedures to assess and continuously
2. Haircuts
shall
recognise
that
collateral
may
need
to
be
monitor the liquidity of assets accepted as collateral and take
liquidated in stressed market conditions and take into account
remedial action where appropriate.
the time required to liquidate it. The CCP shall demonstrate to
the competent authority that haircuts are calculated in a conser
vative manner to limit as far as possible procyclical effects. For
A CCP shall review its eligible asset policies and procedures at
each collateral asset, the haircut shall be determined taking in
least annually. Such a review shall also be carried out whenever
consideration the relevant criteria, including:
a material change occurs that affects the CCP’s risk exposure.
(a) the type of asset and level of credit risk associated with the
Article 38
financial instrument based upon internal assessment by the
Cash collateral
CCP. In performing such assessment the CCP shall employ a
defined and objective methodology that shall not fully rely
For the purposes of Article 46(1) of Regulation (EU)
on external opinions and that takes into consideration the
No 648/2012, highly liquid collateral in the form of cash
risk arising from the establishment of the issuer in a
shall be denominated in one of the following:
particular country;

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(b) the maturity of the asset;
(c) the liquidity and the price volatility of the financial instru
ments.
(c) the historical and hypothetical future price volatility of the
asset in stressed market conditions;
4. A
CCP
shall
ensure
that
no
more
than
10
%
of
its
collateral is guaranteed by a single credit institution, or
(d) the liquidity of the underlying market, including bid/ask
equivalent third country financial institution, or by an entity
spreads;
that is part of the same group as the credit institution or
third country financial institution. Where the collateral
received by the CCP in the form of commercial bank guarantees
(e) the foreign exchange risk, if any;
is higher than 50 % of the total collateral, this limit may be set
up to 25 %.
(f) wrong-way risk.
5. In
calculating
the
limits
provided
for
in
paragraph
2,
a
3. A
CCP
shall
monitor
on
a
regular
basis
the
adequacy
of CCP shall include the total exposure of a CCP to an issuer,
the haircuts. A CCP shall review the haircut policies and
including the amount of the cumulative credit lines, certificates
procedures at least annually and whenever a material change
of deposit, time deposits, savings accounts, deposit accounts,
occurs that affects the CCP risk exposure, but should avoid as
current accounts, money-market instruments, and reverse
far as possible disruptive or big step changes in haircuts that
repurchase facilities utilised by the CCP. These limits shall not
could introduce procyclicality. The haircut policies and
apply to collateral held by the CCP in excess of the minimum
procedures shall be independently validated at least annually.
requirements for margins, default fund or other financial
resources.
Article 42
Concentration limits
6. When
determining
the
concentration
limit
for
a
CCP’s
1. A CCP shall establish and implement policies and
exposure to an individual issuer, a CCP shall aggregate and
procedures to ensure that the collateral remains sufficiently
treat as a single risk its exposure to all financial instruments
diversified to allow its liquidation within a defined holding
issued by the issuer or by a group entity, explicitly guaranteed
period without a significant market impact. The policies and
by the issuer or by a group entity, and to financial instruments
the procedures shall determine the risk mitigation measures to
issued by undertakings whose exclusive purpose is to own
be applied when the concentration limits specified in paragraph
means of production that are essential for the issuer’s business.
2 are exceeded.
7. A
CCP
shall
monitor
on
a
regular
basis
the
adequacy
of
its
2. A
CCP
shall
determine
concentration
limits
at
the
level
of:
concentration limit policies and procedures. A CCP shall review
its concentration limit policy and procedure at least annually
(a) individual issuers;
and whenever a material change occurs that affects the risk
exposure of the CCP.
(b) type of issuer;
8. A
CCP
shall
inform
the
competent
authority
and
the
(c) type of asset;
clearing members of the applicable concentration limits and
of any amendment to these limits.
(d) each clearing member;
9. If
the
CCP
materially
breaches
a
concentration
limit
set
(e) all clearing members.
out in its policies and procedures, it shall inform the competent
authority immediately. The CCP shall rectify the breach as soon
as possible.
3. Concentration
limits
shall
be
determined
in
a
conservative
manner taking into account all relevant criteria, including:
CHAPTER XI
(a) financial instruments issued by issuers of the same type in
INVESTMENT POLICY
terms of economic sector, activity, geographic region;
(Article 47 of Regulation (EU) No 648/2012)
(b) the level of credit risk of the financial instrument or of the
Article 43
issuer based upon an internal assessment by the CCP. In
Highly liquid financial instruments
performing such assessment the CCP shall employ a defined
and objective methodology that shall not fully rely on
For the purposes of Article 47(1) of Regulation (EU)
external opinions and that takes into consideration the
No 648/2012, debt instruments can be considered highly
risk arising from the establishment of the issuer in a
liquid, bearing minimal credit and market risk if they are debt
particular country;
instruments meeting each of the conditions set out in Annex II.

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Article 44
where the purpose of the reuse is for making payments,
managing the default of a clearing member or in the
Highly secured arrangements for the deposit of financial
execution of an interoperable arrangement.
instruments
1. If a CCP is unable to deposit the financial instruments
referred to in Article 45 or those posted to it as margins,
Article 45
default fund contributions or contributions to other financial
resources, both by way of title transfer and security interest,
Highly secured arrangements maintaining cash
with the operator of a securities settlement system that
ensures the full protection of those instruments then such
1. For the purposes of Article 47(4) of Regulation (EU)
financial instruments shall be deposited with any of the
No 648/2012, where cash is deposited other than with a
following:
central bank then such deposit shall meet each of the
following conditions:
(a) a central bank that ensures the full protection of those
(a) the deposit is in one of the following currencies:
instruments and that enables the CCP prompt access to
the financial instruments when required;
(i) a currency the risks of which the CCP can demonstrate
with a high level of confidence that it is able to manage;
(b) an authorised credit institution as defined under Directive
2006/48/EC of the European Parliament and of the Coun
cil ( 1 ) that ensures the full segregation and protection of
(ii) a currency in which the CCP clears transactions, in the
those instruments, enables the CCP prompt access to the
limit of the collateral received in that currency;
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
(b) the deposit shall be placed with one of the following
that shall not fully rely on external opinions and that takes
entities:
into consideration the risk arising from the establishment of
the issuer in a particular country;
(i) 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
(c) a third country financial institution that is subject to and
assessment by the CCP. In performing such assessment
complies with prudential rules considered by the relevant
the CCP shall employ a defined and objective
competent authorities to be at least as stringent as those laid
methodology that shall not fully rely on external
down in Directive 2006/48/EC and which has robust
opinions and that takes into consideration the risk
accounting practices, safekeeping procedures, and internal
arising from the establishment of the issuer in a
controls and that ensures the full segregation and protection
particular country;
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,
(ii) a third country financial institution that is subject to and
the CCP shall employ a defined and objective methodology
complies with prudential rules considered by the
that shall not fully rely on external opinions and that takes
competent authorities to be at least as stringent as
into consideration the risk arising from the establishment of
those laid down in Directive 2006/48/EC and which
the issuer in a particular country.
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
2. Where
financial
instruments
are
deposited
in
accordance
such assessment the CCP shall employ a defined and
with letter (b) or (c) of paragraph 1, they shall be held under
objective methodology that shall not fully rely on
arrangements that prevent any losses to the CCP due to the
external opinions and that takes into consideration the
default or insolvency of the authorised financial institution.
risk arising from the establishment of the issuer in a
particular country.
3. Highly
secured
arrangements
for
the
deposit
of
financial 2. Where
cash
is
maintained
overnight
in
accordance
with
instruments posted as margins, default fund contributions or
paragraph 1 then not less than 95 % of such cash, calculated
contributions to other financial resources shall only allow the
over an average period of one calendar month, shall be
CCP to re-use these financial instruments where the conditions
deposited through arrangements that ensure the collateralisation
in Article 39(8) of Regulation (EU) No 648/2012 are met and
of the cash with highly liquid financial instruments meeting the
requirements under Article 45, except the requirement at
( 1 ) OJ L 177, 30.6.2006, p. 1.
paragraph 1(c) of that Article.

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Article 45
7. If the CCP breaches a concentration limit set out in its
policies and procedures, it shall inform the competent authority
Concentration limits
immediately. The CCP shall rectify the breach as soon as
1. A CCP shall establish and implement policies and
possible.
procedures to ensure that the financial instruments in which
its financial resources are invested remain sufficiently diversified.
Article 46
Non-cash collateral
2. A
CCP
shall
determine
concentration
limits
and
monitor
the concentration of its financial resources at the level of:
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.
(a) individual financial instruments;
CHAPTER XII
(b) types of financial instruments;
REVIEW OF MODELS, STRESS TESTING AND BACK TESTING
(Article 49 Regulation (EU) No 648/2012)
(c) individual issuers;
SECTION 1
Models and programmes
(d) types of issuers;
Article 47
Model Validation
(e) counterparties with which arrangements as provided for in
points (b) and (c) of Article 44(1) or in Article 45(2) are
1. A
CCP
shall
conduct
a
comprehensive
validation
of
its
established.
models, their methodologies and the liquidity risk management
framework used to quantify, aggregate, and manage its risks.
Any material revisions or adjustments to its models, their
3. When
considering
types
of
issuers
a
CCP
shall
take
into methodologies and the liquidity risk management framework
account the following:
shall be subject to appropriate governance, including seeking
advice from the risk committee, and validated by a qualified
and independent party prior to application.
(a) geographic distribution;
2. A
CCP’s
validation
process
shall
be
documented
and
at
least shall specify the policies used to test the CCP’s margin,
(b) interdependencies and multiple relationships that an entity
default fund and other financial resources methodologies and
may have with a CCP;
framework for calculating liquid financial resources. Any
material revisions or adjustments to such policies shall be
subject to appropriate governance, including seeking advice
(c) the level of credit risk;
from the risk committee, and validated by a qualified and inde
pendent party prior to application.
(d) exposures the CCP have to the issuer through products
cleared by the CCP.
3. A
comprehensive
validation
shall,
at
least,
include
the
following:
4. The
policies
and
the
procedures
shall
determine
the
risk
mitigation measures to be applied when the concentration
(a) an evaluation of the conceptual soundness of the models
limits are exceeded.
and framework, including developmental supporting
evidence;
5. When
determining
the
concentration
limit
for
a
CCP’s
exposure to an individual issuer or custodian, a CCP shall
(b) a review of the ongoing monitoring procedures, including
aggregate and treat as a single risk, the exposure to all
verification of processes and benchmarking;
financial instruments issued by, or explicitly guaranteed by,
the issuer and all financial resources deposited with the
custodian.
(c) a review of the parameters and assumptions made in the
development of its models, their methodologies and the
framework;
6. A
CCP
shall
monitor
on
a
regular
basis
the
adequacy
of
its
concentration limit policies and procedures. In addition, a CCP
shall review its concentration limit policy and procedure at least
(d) a review of the adequacy and appropriateness of the models,
annually and whenever a material change occurs that affects the
their methodologies and framework adopted in respect of
risk exposure of the CCP.
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(e) a review of the appropriateness of its stress testing scenarios
4. A CCP shall include any client positions when performing
in accordance with Chapter VII and Article 52;
all tests.
(f) an analysis of the outcomes of testing results.
SECTION 2
Back testing
Article 49
4. A
CCP
shall
establish
the
criteria
against
which
it
assesses
whether its models, their methodologies and liquidity risk
Back testing procedure
management framework can be successfully validated. The
1. A
CCP
shall
assess
its
margin
coverage
by
performing
an
criteria shall include successful testing results.
ex-post comparison of observed outcomes with expected
outcomes derived from the use of margin models. Such back
testing analysis shall be performed each day in order to evaluate
whether there are any testing exceptions to margin coverage.
5. Where
pricing
data
is
not
readily
available
or
reliable,
a Coverage shall be evaluated on current positions for financial
CCP shall address such pricing limitations and, at least, adopt
instruments, clearing members and take into account possible
conservative assumptions based on observed correlated or
effects from portfolio margining and, where appropriate, inter
related markets and current behaviours of the market.
operable CCPs.
6. Where
pricing
data
is
not
readily
available
or
reliable,
the 2. A
CCP
shall
consider
the
appropriate
historical
time
systems and valuation models used for this purpose shall be
horizons for its back testing programme to ensure that the
subject to appropriate governance, including seeking advice
observation window used is sufficient enough to mitigate any
from the risk committee, and validation and testing. A CCP
detrimental effect on the statistical significance.
shall have its valuation models validated under a variety of
market scenarios by a qualified and independent party to
ensure that its models accurately produces appropriate prices,
3. A
CCP
shall
consider
in
its
back
testing
programme,
at
and where appropriate, it shall adjust its calculation of initial
least, clear statistical tests, and performance criteria to be
margins to reflect any identified model risk.
defined by CCPs for the assessment of back testing results.
7. A
CCP
shall
regularly
conduct
an
assessment
of
the
theor
4. A
CCP
shall
periodically
report
its
back
testing
results
and
etical and empirical properties of its margin model for all the
analysis in a form that does not breach confidentiality to the
financial instruments that it clears.
risk committee in order to seek their advice in the review of its
margin model.
Article 48
5. Back testing results and analysis shall be made available to
Testing programmes
all clearing members and, where known to the CCP, clients. For
all other clients back testing results and analysis shall be made
1. A
CCP
shall
have
in
place
policies
and
procedures
that available by the relevant clearing members on request. Such
detail the stress and back testing programmes it undertakes to
information shall be aggregated in a form that does not
assess the appropriateness, accuracy, reliability and resilience of
breach confidentiality and clearing members and clients shall
the models and their methodologies used to calculate its risk
only have access to detailed back testing results and analysis
control mechanisms including margin, default fund contribu
for their own portfolios.
tions, and other financial resources in a wide range of market
conditions.
6. A CCP shall define the procedures to detail the actions it
could take given the results of back testing analysis.
2. A
CCP’s
policies
and
procedures
shall
also
detail
the
stress
testing programme it undertakes to assess the appropriateness,
accuracy, reliability and resilience of the liquidity risk
SECTION 3
management framework.
Sensitivity testing and analysis
Article 50
3. The
policies
and
procedures
shall
include
at
least
method
Sensitivity testing and analysis procedure
ologies for the inclusion of the selection and development of
appropriate testing, including portfolio and market data
1. A
CCP
shall
conduct
sensitivity
tests
and
analysis
to
assess
selection, the regularity of the tests, the specific risk character
the coverage of its margin model under various market
istics of the financial instruments cleared, the analysis of testing
conditions using historical data from realised stressed market
results and exceptions and the relevant corrective measures
conditions and hypothetical data for unrealised stressed
needed.
market conditions.

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2. A
CCP
shall
use
a
wide
range
of
parameters
and
3. A
CCP’s
stress
testing
programme
shall
prescribe
that
assumptions to capture a variety of historical and hypothetical
stress tests are performed, using defined stress testing scenarios,
conditions, including the most-volatile periods that have been
on both past and hypothetical extreme but plausible market
experienced by the markets it serves and extreme changes in the
conditions in accordance with Chapter VII. Past conditions to
correlations between prices of contracts cleared by the CCP, in
be used shall be reviewed and adjusted, where appropriate. A
order to understand how the level of margin coverage might be
CCP shall also consider other forms of appropriate stress testing
affected by highly stressed market conditions and changes in
scenarios including, but not limited to, the technical or financial
important model parameters.
failure of its settlement banks, nostro agents, custodian banks,
liquidity providers, or interoperable CCPs.
3. Sensitivity
analysis
shall
be
performed
on
a
number
of
actual and representative clearing member portfolios. The repre
4. A
CCP
shall
have
the
capacity
to
adapt
its
stress
tests
sentative portfolios shall be chosen based on their sensitivity to
quickly to incorporate new or emerging risks.
the material risk factors and correlations to which the CCP is
exposed. Such sensitivity testing and analysis shall be designed
to test the key parameters and assumptions of the initial margin
model at a number of confidence intervals to determine the
5. A
CCP
shall
consider
the
potential
losses
arising
from
the
sensitivity of the system to errors in the calibration of such
default of a client, where known, which clears through multiple
parameters and assumptions. Appropriate consideration shall
clearing members.
be given to the term structure of the risk factors, and the
assumed correlation between risk factors.
6. A
CCP
shall
periodically
report
its
stress
testing
results
and
4. A
CCP
shall
evaluate
the
potential
losses
in
clearing analysis in a form that does not breach confidentiality to the
member positions.
risk committee in order to seek its advice in the review of its
models, its methodologies and its liquidity risk management
framework.
5. A
CCP
shall,
where
applicable,
consider
parameters
reflective of the simultaneous default of clearing members that
issue financial instruments cleared by the CCP or the underlying
7. Stress testing results and analysis shall be made available
of derivatives cleared by the CCP. Where applicable, the effects
to all clearing members and, where known to the CCP, clients.
of a client’s default that issues financial instruments cleared by
For all other clients, back testing results and analysis shall be
the CCP or the underlying of derivatives cleared by the CCP
made available by the relevant clearing members on request.
shall also be considered.
Such information shall be aggregated in a form that does not
breach confidentiality and clearing members and clients shall
only have access to detailed stress testing results and analysis
6. A
CCP
shall
periodically
report
its
sensitivity
testing
results for their own portfolios.
and analysis in a form that does not breach confidentiality to
the risk committee in order to seek its advice in the review of
its margin model.
8. A CCP shall define the procedures to detail the actions it
could take given the results of stress testing analysis.
7. A CCP shall define the procedures to detail the actions it
could take given the results of sensitivity testing analysis.
Article 52
Risk factors to stress test
SECTION 4
1. A
CCP
shall
identify,
and
have
an
appropriate
method
for
Stress testing
measuring, relevant risk factors specific to the contracts it clears
Article 51
that could affect its losses. A CCP’s stress tests shall, at least,
take into account risk factors specified for the following type of
Stress testing procedure
financial instruments, where applicable:
1. A
CCP’s
stress
tests
shall
apply
stressed
parameters,
assumptions, and scenarios to the models used for the esti
mation of risk exposures to make sure its financial resources
(a) interest rate related contracts: risk factors corresponding to
are sufficient to cover those exposures under extreme but
interest rates in each currency in which the CCP clears
plausible market conditions.
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
2. A
CCP’s
stress
testing
programme
shall
require
the
CCP
to
number of related risk factors shall depend on the
conduct a range of stress tests on a regular basis that shall
complexity of the interest rate contracts cleared by the
consider the CCP’s product mix and all elements of its
CCP. Basis risk, arising from less than perfectly correlated
models and their methodologies and its liquidity risk
movements between government and other fixed-income
management framework.
interest rates, shall be captured separately;

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(b) exchange rate related contracts: risk factors corresponding
Article 53
to each foreign currency in which the CCP clears financial
instruments and to the exchange rate between the currency
Stress testing total financial resources
in which margin calls are made and the currency in which
1. A
CCP’s
stress-testing
programme
shall
ensure
that
its
the CCP clears financial instruments;
combination of margin, default fund contributions and other
financial resources are sufficient to cover the default of at
least the two clearing members to which it has the largest
(c) equity related contracts: risk factors corresponding to the
exposures under extreme but plausible market conditions. The
volatility of individual equity issues for each of the
stress testing programme shall also examine potential losses
markets cleared by the CCP and to the volatility of
resulting from the default of entities in the same group as the
various sectors of the overall equity market. The sophis
two clearing members to which it has the largest exposures
tication and nature of the modelling technique for a given
under extreme but plausible market conditions.
market shall correspond to the CCP’s exposure to the overall
market as well as its concentration in individual equity
issues in that market;
2. A
CCP’s
stress-testing
programme
shall
ensure
that
its
margins and default fund are sufficient to cover at least the
default of the clearing member to which it has the largest
(d) commodity contracts: risk factors that take into account the
exposures or of the second and third largest clearing
different categories and sub-categories of commodity
members, if the sum of their exposures is larger in accordance
contracts and related derivatives cleared by the CCP,
with Article 42 of Regulation (EU) No 648/2012.
including, where appropriate, variations in the convenience
yield between derivatives positions and cash positions in the
commodity;
3. The
CCP
shall
conduct
a
thorough
analysis
of
the
potential losses it could suffer and shall evaluate the potential
(e) credit related contracts: risk factors that consider jump to
losses in clearing member positions, including the risk that
default risk, including the cumulative risk arising from
liquidating such positions could have an impact on the
multiple defaults, basis risk and recovery rate volatility.
market and the CCP’s level of margin coverage.
2. In
its
stress
tests,
a
CCP
shall
also
give
appropriate 4. A
CCP
shall,
where
applicable,
consider
in
its
stress
tests,
consideration at least to the following:
the effects of the default of a clearing member that issues
financial instruments cleared by the CCP or the underlying of
derivatives cleared by the CCP. Where applicable, the effects of a
(a) correlations, including those between identified risk factors
client’s default that issues financial instruments cleared by the
and similar contracts cleared by the CCP;
CCP or the underlying of derivatives cleared by the CCP shall
also be considered.
(b) factors corresponding to the implied and historical volatility
of the contract being cleared;
5. A
CCP’s
stress
tests
shall
consider
the
liquidation
period
as
provided for in Article 26.
(c) specific characteristics of any new contracts to be cleared by
the CCP;
Article 54
Stress testing liquid financial resources
(d) concentration risk, including to a clearing member, and
1. A
CCP’s
stress-testing
programme
of
its
liquid
financial
group entities of clearing members;
resources shall ensure that they are sufficient in accordance
with the requirements laid down in Chapter VIII.
(e) interdependencies and multiple relationships;
2. A
CCP
shall
have
clear
and
transparent
rules
and
procedures to address insufficient liquid financial resources
(f) relevant risks including foreign exchange risk;
highlighted by its stress tests to ensure settlement of
payments obligations.
(g) set exposure limits;
A CCP shall also have clear procedures for using the results and
analysis of its stress tests to evaluate and adjust the adequacy of
(h) wrong-way risk.
its liquidity risk management framework and liquidity providers.

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3. The stress testing scenarios used in the stress testing of
3. A
CCP
shall
evaluate
the
sources
of
testing
exceptions
liquid financial resources shall consider the design and
highlighted by its stress tests. The CCP shall determine
operation of the CCP, and include all entities that might pose
whether a fundamental change to its models, their method
material liquidity risk to it. Such stress tests shall also consider
ologies or its liquidity risk management framework is required
any strong linkages or similar exposures between its clearing
or if the recalibration of current parameters or assumptions is
members, including other entities that are part of the same
necessary, on the basis of the sources of exceptions.
group, and assess the probability of multiple defaults and the
contagion effect among its clearing members that such defaults
may cause.
4. Where the results of the tests show an insufficient
coverage of margin, default fund or other financial resources,
a CCP shall increase overall coverage of its financial resources to
SECTION 5
an acceptable level by the next margin call. Where the results of
the tests show insufficient liquid financial resources, the CCP
Coverage and use of test results
shall increase its liquid financial resources to an acceptable level
Article 55
as soon as is practicable.
Maintaining sufficient coverage
1. A
CCP
shall
establish
and
maintain
procedures
to
recognise changes in market conditions, including increases in
5. A CCP shall, in reviewing its models, their methodologies
volatility or reductions in the liquidity of the financial
and the liquidity risk management framework, monitor the
instruments it clears, so as to promptly adapt calculation of
frequency of reoccurring testing exceptions to identify and
its margin requirement to appropriately account for new
resolve issues appropriately and without undue delay.
market conditions.
SECTION 6
2. A CCP shall conduct tests on its haircuts in order to
ensure collateral can be liquidated at least at its haircutted
Reverse stress tests
value in observed and extreme but plausible market conditions.
Article 57
Reverse stress tests
1. A
CCP
shall
conduct
reverse
stress
tests
which
are
3. If a CCP collects margin at a portfolio, as opposed to
designed to identify under which market conditions the
product level, it shall continuously review and test offsets
combination of its margin, default fund and other financial
among products. A CCP shall base such offsets on prudent
resources may provide insufficient coverage of credit
and economically meaningful methodology that reflects the
exposures and for which its liquid financial resources may be
degree of price dependence between the products. In particular,
insufficient. When conducting such tests, a CCP shall model
a CCP shall test how correlations perform during periods of
extreme market conditions that go beyond what are considered
actual and hypothetical severe market conditions.
plausible market conditions, in order to help determine the
limits of its models, its liquidity risk management framework,
its financial resources and its liquid financial resources.
Article 56
Review of models using test results
2. A
CCP
shall
develop
reverse
stress
tests
tailored
to
the
specific risks of the markets and of the contracts that it
1. A
CCP
shall
have
clear
procedures
to
determine
the provides clearing services for.
amount of additional margin it may need to collect, including
on an intraday basis, and to recalibrate its margin model where
back testing indicates that the model did not perform as
expected with the result that it does not identify the appropriate
amount of initial margin necessary to achieve the intended level
3. A
CCP
shall
use
the
conditions
identified
in
paragraph
1
of confidence. Where a CCP has determined that it is necessary
and the results and analysis of its reverse stress tests to help in
to call additional margin it shall do so by the next margin call.
identifying extreme but plausible scenarios in accordance with
Chapter VII.
2. A
CCP
shall
evaluate
the
source
of
testing
exceptions
high
lighted by its back tests. Depending on the source of exceptions,
4. A
CCP
shall
periodically
report
its
reverse
stress
testing
the CCP shall determine whether a fundamental change to the
results and analysis in a form that does not breach confiden
margin model, or to the models that input into it, is required
tiality to the risk committee in order to seek their advice in its
and whether the recalibration of current parameters is necessary.
review.

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23.2.2013 Official
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European
Union L
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SECTION 7
assumptions are correct. Such analysis shall be conducted more
frequently in stressed market conditions, including when the
Default procedures
financial instruments cleared or markets served in general
Article 58
display high volatility, become less liquid, or when the size or
concentrations of positions held by its clearing members
Testing default procedures
increase significantly or when it is anticipated that a CCP will
1. A
CCP
shall
test
and
review
its
default
procedures
to encounter stressed market conditions.
ensure they are both practical and effective. A CCP shall
perform simulation exercises as part of the testing of its
default procedures.
8. Sensitivity
analysis
shall
be
conducted
at
least
monthly,
using the results of sensitivity tests. This analysis should be
conducted more frequently when markets are unusually
2. A
CCP
shall,
following
testing
of
its
default
procedures, volatile or less liquid or when the size or concentrations of
identify any uncertainties and appropriately adapt its procedures
positions held by its clearing members increase significantly.
to mitigate such uncertainty.
9. A
CCP
shall
test
offsets
among
financial
instruments
and
3. A
CCP
shall,
through
conducting
simulation
exercises, how correlations perform during periods of actual and hypo
verify that all clearing members, where appropriate, clients
thetical severe market conditions at least annually.
and other relevant parties including interoperable CCP’s and
any related service providers, are duly informed and know the
procedures involved in a default scenario.
10. A
CCP’s
haircuts
shall
be
tested
at
least
monthly.
SECTION 8
11. A
CCP
shall
conduct
reverse
stress
tests
at
least
quarterly.
Validation and testing frequency
Article 59
Frequency
12. A
CCP
shall
test
and
review
its
default
procedures
at
least
quarterly and perform simulation exercises at least annually, in
1. A
CCP
shall
conduct
a
comprehensive
validation
of
its accordance with Article 61. A CCP shall also perform simu
models and their methodologies at least annually.
lation exercises following any material change to its default
procedures.
2. A
CCP
shall
conduct
a
comprehensive
validation
of
its
liquidity risk management framework at least annually.
SECTION 9
Time horizons used when performing tests
3. A
CCP
shall
conduct
a
full
validation
of
its
valuation
Article 60
models at least annually.
The time horizons
1. The
time
horizons
used
for
stress
tests
shall
be
defined
in
4. A CCP shall review the appropriateness of the policies
accordance with Chapter VII and shall include forward-looking
specified in Article 51 at least annually.
extreme but plausible market conditions.
5. A
CCP
shall
analyse
and
monitor
its
model
performance 2. The
historical
time
horizons
used
for
back
tests
shall
and financial resources coverage in the event of defaults by back
include data from at minimum the most recent year or as
testing margin coverage at least daily and conducting at least
long as a CCP has been clearing the relevant financial
daily stress testing using standard and predetermined parameters
instrument if that is less than a year.
and assumptions.
SECTION 10
6. A
CCP
shall
analyse
and
monitor
its
liquidity
risk
management framework by conducting at least daily stress
Public disclosure
tests of its liquid financial resources.
Article 61
Information to be publicly disclosed
7. A
CCP
shall
conduct
a
detailed
thorough
analysis
of 1. A
CCP
shall
publicly
disclose
the
general
principles
testing results at least on a monthly basis in order to
underlying its models and their methodologies, the nature of
ensure its stress testing scenarios, models and liquidity
tests performed, with a high level summary of the test results
risk management framework, underlying parameters and
and any corrective actions undertaken.

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2. A
CCP
shall
make
available
to
the
public
key
aspects
of
its (e) the mechanisms to help address the defaulting clearing
default procedures, including:
member’s obligations to its clients.
(a) the circumstances in which action may be taken;
Article 62
Entry into force and application
(b) who may take those actions;
This Regulation shall enter into force on the twentieth day
following that of its publication in the Official Journal of the
European Union.
(c) the scope of the actions which may be taken, including the
treatment of both proprietary and client positions, funds
and assets;
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)
(d) the mechanisms to address a CCP’s obligations to non-
of Article 2(4) of Regulation (EU) No 1227/2011 of the
defaulting clearing members;
European Parliament and of the Council ( 1 ).
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 19 December 2012.
For the Commission
The President
José Manuel BARROSO
( 1 ) OJ L 326, 8.12.2011, p. 1.

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EN
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Journal
of
the
European
Union L
52/71
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:
(a) 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;
(b) 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;
(c) they are denominated in one of the following currencies:
(i) a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to manage;
(ii) a currency in which the CCP clears contracts, in the limit of the collateral required to cover the CCP’s exposures in
that currency;
(d) they are freely transferable and without any regulatory or legal constraint or third party claims that impair liquidation;
(e) 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;
(f) they have reliable price data published on a regular basis;
(g) they are not issued by:
(i) 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;
(ii) a CCP or an entity that is part of the same group as a CCP;
(iii) 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;
(h) 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:
(a) it is issued to guarantee a non-financial clearing member;
(b) 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;

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(c) it is denominated in one of the following currencies:
(i) a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to adequately
manage;
(ii) a currency in which the CCP clears contracts, in the limit of the collateral required to cover the CCP’s
exposures in that currency;
(d) it is irrevocable, unconditional and the issuer cannot rely on any legal or contractual exemption or defence to
oppose the payment of the guarantee;
(e) 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;
(f) it is not issued by:
(i) an entity that is part of the same group as the non-financial clearing member covered by the guarantee;
(ii) 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;
(g) it is not otherwise subject to significant wrong-way risk;
(h) it is fully backed by collateral that meets the following conditions:
(i) 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;
(ii) 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.
(i) 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:
(a) it is issued by an EEA central bank or a central bank of issue of a currency in which the CCP has exposures;
(b) it is denominated in one of the following a currencies:
(i) a currency the risk of which the CCP can demonstrate to the competent authorities that it is able to adequately
manage;
(ii) a currency in which the CCP clears transactions, in the limit of the collateral required to cover the CCP’s
exposures in that currency;
(c) 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;
(d) 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 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:
(a) it is directly held by the CCP;

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Union L
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(b) 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;
(c) 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;
(d) 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.

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L 52/74
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Official Journal of the European Union
23.2.2013
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:
(a) they are issued or explicitly guaranteed by:
(i) a government;
(ii) a central bank;
(iii) a multilateral development bank as listed under Section 4.2 of Part 1 of Annex VI to Directive 2006/48/EC;
(iv) the European Financial Stability Facility or the European Stability Mechanism where applicable;
(b) 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;
(c) the average time-to-maturity of the CCP’s portfolio does not exceed two years;
(d) they are denominated in one of the following currencies:
(i) a currency the risks of which the CCP can demonstrate that it is able to manage; or
(ii) a currency in which the CCP clears transactions, in the limit of the collateral received in that currency;
(e) they are freely transferable and without any regulatory constraint or third party claims that impair liquidation;
(f) 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;
(g) 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:
(a) hedging the portfolio of a defaulted clearing member as part of the CCP’s default management procedure; or
(b) 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.

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Document Outline

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