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)

s.art003

Governance arrangements

• Set up governance arrangements with clear roles, responsibilities and reporting lines

s.art004

Risk management and internal control mechanisms

• Establish comprehensive risk management and internal control framework

s.art005

Compliance policy and procedures

• Establish and maintain compliance policies and procedures to detect and prevent regulatory breaches

s.art006

Compliance function

• Establish and maintain an independent compliance function

s.art007

Organisational structure and separation of the reporting lines

• Set up board, committees and clear reporting lines

s.art008

Remuneration policy

• Establish and maintain a risk-aligned remuneration policy

s.art009

Information technology systems

• Ensure IT systems are reliable, secure and resilient

s.art010

Disclosure

• Publish CCP governance, rules, and risk information publicly

s.art011

Internal auditing

• Set up an independent internal audit function that reports to the board

s.art012

General requirements

• Keep proper records and provide them to regulators on request

s.art013

Transaction records

• Maintain detailed, searchable records of all cleared transactions

s.art014

Position records

• Maintain detailed records of positions and margins for each clearing member

s.art015

Business records

• Maintain comprehensive business records as a central counterparty

s.art016

Records of data reported to a trade repository

• Keep records of all reported transaction data including date and time

s.art017

Strategy and policy

• Have a board-approved business continuity policy and disaster recovery plan

s.art018

Business impact analysis

• Analyse and manage risks to critical business functions

s.art019

Disaster recovery

• Maintain disaster recovery and business continuity arrangements for critical functions

s.art020

Testing and monitoring

• Test and monitor your business continuity and disaster recovery plans

s.art021

Maintenance

• Regularly review and update business continuity policy and disaster recovery plan

s.art022

Crisis management

• Establish and maintain a crisis management function with written procedures and post-crisis review

s.art023

Communication

• Maintain a crisis communication plan

s.art024

Percentage

• Calculate initial margins with required confidence intervals and inform regulator

s.art025

Time horizon for the calculation of historical volatility

• Calculate initial margins using at least 12 months of historical volatility data

s.art026

Time horizons for the liquidation period

• Determine appropriate liquidation period time horizons for cleared instruments

s.art027

Portfolio margining

• Document and implement portfolio margining with correlation analysis and stress testing

s.art028

Procyclicality

• Central counterparties must limit procyclical margin changes

s.art029

Framework and governance

• Implement framework for defining extreme but plausible market conditions

s.art030

Identifying extreme but plausible market conditions

• Identify extreme but plausible market conditions in your default risk framework

s.art031

Reviewing extreme but plausible scenarios

• Review extreme but plausible scenarios at least annually and report changes to board

s.art032

Assessment of liquidity risk

• Establish and maintain a robust liquidity risk management framework

s.art033

Access to liquidity

• Maintain adequate liquid resources and manage liquidity risk

s.art034

Concentration risk

• Manage concentration of liquidity risk exposure

s.art035

Calculation of the amount of the CCP’s own resources to be used in the default waterfall

• Set aside dedicated own resources equal to 25% of your minimum capital

s.art036

Maintenance of the amount of the CCP’s own resources to be used in the default waterfall

• Notify regulator of shortfall in dedicated own resources and replenish within one month

s.art037

General requirements

• Establish and monitor collateral liquidity policies and review asset eligibility annually

s.art040

Valuing collateral

• Establish near real-time collateral monitoring and valuation policies

s.art041

Haircuts

• Set and review prudent collateral haircuts for CCP clearing

s.art042

Concentration limits

• Manage concentration limits for CCP collateral and report breaches

s.art045

Highly secured arrangements maintaining cash

• Ensure cash deposits meet strict conditions on currency, counterparty, and collateralisation

s.art047

Model Validation

• Conduct comprehensive validation of risk models, methodologies and liquidity framework

s.art048

Testing programmes

• Test your risk models and liquidity framework with stress and back testing

s.art049

Back testing procedure

• Run daily back testing of margin models and report results

s.art050

Sensitivity testing and analysis procedure

• Test and analyze your CCP margin model under stress conditions

s.art051

Stress testing procedure

• Your CCP must conduct regular stress tests on financial resources

s.art052

Risk factors to stress test

• Stress test for relevant risk factors in cleared contracts

s.art053

Stress testing total financial resources

• Hold enough financial resources to cover defaults of largest clearing members

s.art054

Stress testing liquid financial resources

• Stress-test liquid financial resources and set up contingency procedures

s.art055

Maintaining sufficient coverage

• Monitor market conditions and test margin and collateral adequacy

s.art056

Review of models using test results

• Review margin models and financial resources using test results

s.art057

Reverse stress tests

• Conduct reverse stress tests for extreme market conditions

s.art058

Testing default procedures

• Test and update default procedures for member defaults

s.art059

Frequency

• Regularly validate, test, and review risk models and frameworks

s.art061

Information to be publicly disclosed

• CCP must publicly disclose model principles and default procedures