European Commission 4 October 2016, 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 )

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European Union · · · Cited by 150 · 04-10-2016

CHAPTER I. GENERAL PROVISIONS ON RISK MANAGEMENT PROCEDURES
SECTION 1. Definitions and general requirements
Article 1. Definitions
Article 2. General requirements
Article 3. Exchange of collateral agreement
SECTION 2. Eligibility
Article 4. Eligible collateral
Article 5. Eligibility criteria for units or shares in UCITS
Article 6. Credit quality assessment
Article 7. Specific requirements for eligible assets
Article 8. Concentration limits for initial margin
SECTION 3. Calculation and collection of margins
Article 9. Frequency of calculation and determination of the calculation date
Article 10. Calculation of variation margin
Article 11. Calculation of initial margin
Article 12. Provision of variation margin
Article 13. Provision of initial margin
SECTION 4. Initial margin models
Article 14. General requirements
Article 15. Confidence interval and MPOR
Article 16. Calibration of the parameters of the model
Article 17. Diversification, hedging and risk offsets across underlying classes
Article 18. Qualitative requirements
SECTION 5. Collateral management and segregation
Article 19. Collateral management and segregation
Article 20. Treatment of collected initial margins
SECTION 6. Valuation of collateral
Article 21. Calculation of the adjusted value of collateral
Article 22. Own estimates of the adjusted value of collateral
CHAPTER II. SPECIFIC PROVISIONS ON RISK MANAGEMENT PROCEDURES
SECTION 1. Exemptions
Article 23. CCPs authorised as credit institutions
Article 24. Non-financial counterparties and third-country counterparties
Article 25. Minimum transfer amount
Article 26. Margin calculation with third-country counterparties
SECTION 2. Exemptions in calculating levels of initial margin
Article 27. Foreign exchange contracts
Article 28. Threshold based on notional amount
Article 29. Threshold based on initial margin amounts
SECTION 3. Exemptions from the requirement to post or collect initial or variation margin
Article 30. Treatment of derivatives associated to covered bonds for hedging purposes
Article 31. Treatment of derivatives with counterparties in third countries where legal enforceability of netting agreements or collateral protection cannot be ensured
CHAPTER III. INTRAGROUP DERIVATIVE CONTRACTS
SECTION 1. Procedures for counterparties competent authorities when applying exemptions for intragroup derivative contracts
Article 32. Procedures for counterparties and relevant competent authorities
SECTION 2. Applicable criteria for applying exemptions for intragroup derivative contracts
Article 33. Applicable criteria on the legal impediment to the prompt transfer of own funds and repayment of liabilities
Article 34. Applicable criteria on the practical impediments to the prompt transfer of own funds and repayment of liabilities
CHAPTER IV. TRANSITIONAL AND FINAL PROVISIONS
Article 35. Transitional provisions
Article 36. 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
Article 37. Application of Articles 9(1), 10 and 12
Article 38. Dates of application for specific contracts
Article 39. Calculation of aggregate average notional amount
Article 40. Entry into force
ANNEX I. Correspondence of Probability of default (‘PD’) to Credit quality steps for the purposes of Articles 6 and 7

15.12.2016

Official Journal of the European Union

L 340/9

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

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