Credit quality assessment
- Assess credit quality of non-domestic currency collateral assets
Retained EU Law
2016
United Kingdom
Commission Delegated Regulation (EU) 2016/2251 of 4 October 2016 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council on OTC derivatives, central counterparties and trade repositories with regard to regulatory technical standards for risk-mitigation techniques for OTC derivative contracts not cleared by a central counterparty (Text with EEA relevance)
At a glance
What's here
6 compliance obligations
What this Act requires
Sections that create concrete duties on businesses or carry penalties. Procedural and definitional sections are folded into the “Browse other sections” expander at the bottom of each group. Click any section title to read the source text on legislation.gov.uk.
Concentration limits for initial margin
- Diversify initial margin collateral to avoid over-concentration
Provision of variation margin
- Provide variation margin on time or within extended deadline
Collateral management and segregation
- Manage and segregate collateral in OTC derivatives trading
Treatment of collected initial margins
- Do not rehypothecate or reuse initial margin collateral
Minimum transfer amount
- Collect full collateral due when amount exceeds minimum transfer amount
Browse 37 other sections — procedural / definitional / commencement
An internal rating with a PD equal to or lower...
Table 1 Credit Quality Step Probability of default, as defined...
Definitions
General requirements
Exchange of collateral agreement
Eligible collateral
Eligibility criteria for units or shares in UCITS
Specific requirements for eligible assets
Frequency of calculation and determination of the calculation date
Calculation of variation margin
Calculation of initial margin
Provision of initial margin
General requirements
Confidence interval and MPOR
Calibration of the parameters of the model
Diversification, hedging and risk offsets across underlying classes
Qualitative requirements
Calculation of the adjusted value of collateral
Own estimates of the adjusted value of collateral
CCPs authorised as credit institutions
Non-financial counterparties and third-country counterparties
Margin calculation with third-country counterparties
Foreign exchange contracts
Threshold based on notional amount
Threshold based on initial margin amounts
Treatment of derivatives associated to covered bonds for hedging purposes
Treatment of derivatives in connection with securitisations for hedging purposes
Treatment of derivatives with counterparties in third countries where legal enforceability of netting agreements or collateral protection cannot be ensured
Procedures for counterparties and relevant competent authorities
Applicable criteria on the legal impediment to the prompt transfer of own funds and repayment of liabilities
Applicable criteria on the practical impediments to the prompt transfer of own funds and repayment of liabilities
Transitional provisions
Application of 9(2), Article 11, Articles 13 to 18, points (c), (d) and (f) of Article 19(1), Article 19(3) and Article 20
Application of Articles 9(1), 10 and 12
Dates of application for specific contracts
Calculation of aggregate average notional amount
Entry into force
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