2016R2251 - Summary
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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🇫🇷 French Version: 2016R2251_FR.0. Open the PDF. Direct link to EUR-LEX.
Références LVL1 <=> LVL2
Level 1 reference(s): 2012R0648_EN.11
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 30a - Treatment of derivatives in connection with securitisations 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
Article 31a - Treatment of physically settled foreign exchange forwards and physically settled foreign exchange swaps
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
Annex II - Methodology to adjust the value of collateral for the purposes of Article 21
Annex III - Own volatility estimates of the haircuts to be applied to the market value of collateral for the purposes of Article 22
Annex IIII - Standardised Method for the calculation of initial margin for the purposes of Articles 9 and 11