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

CHAPTER I

GENERAL

Article 1

Definitions

For the purposes of this Regulation, the following definitions apply:

(1) ‘basis risk’ means the risk arising from less than perfectly correlated movements between two or more assets or contracts cleared by the central counterparty (CCP);

(2) ‘confidence interval’ means the percentage of exposures movements for each financial instrument cleared with reference to a specific lookback period that a CCP is required to cover over a certain liquidation period;

(3) ‘convenience yield’ means the benefits from direct ownership of the physical commodity and is affected both by market conditions and by factors such as physical storage costs;

(4) ‘margins’ means margins as referred to in Article 41 of Regulation (EU) No 648/2012 which may include initial margins and variation margins;

(5) ‘initial margin’ means margins collected by the CCP to cover potential future exposure to clearing members providing the margin and, where relevant, interoperable 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;

(6) ‘variation margin’ means margins collected or paid out to reflect current exposures resulting from actual changes in market price;

(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;

(8) ‘liquidation period’ means the time period used for the calculation of the margins that the CCP estimates 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;

(9) ‘lookback period’ means the time horizon for the calculation of historical volatility;

(10) ‘testing exception’ means the result of a test which shows that a CCP’s model or liquidity risk management framework did not result in the intended level of coverage;

(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 with its credit risk.

CHAPTER II

RECOGNITION OF THIRD COUNTRY CCPs

(Article 25 of Regulation (EU) No 648/2012)

Article 2

Information to be provided to ESMA for the recognition of a CCP

An application for recognition submitted by a CCP established in a third country shall contain at least the following information:

(a) full name of the legal entity;

(b) identities of the shareholders or members with qualifying holdings;

(c) a list of the Member States in which it intends to provide services;

(d) classes of financial instruments cleared;

(e) details to be included in the ESMA website in accordance with Article 88(1)(e) of Regulation (EU) No 648/2012;

(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;

(g) details on the margin methodology and for the calculation of the default fund;

(h) a list of the eligible collateral;

(i) a breakdown of values, in prospective form if needed, cleared by the applying CCP by each Union currency cleared;

(j) results of the stress tests and back tests performed during the year preceding the date of application;

(k) its rules and internal procedures with evidences of full compliance with the requirements applicable in that third country;

(l) details of any outsourcing arrangements;

(m) details on segregation arrangements and respective legal soundness and enforceability;

(n) details on the CCP’s access requirements and terms for suspension and termination of membership;

(o) details of any interoperability arrangement, including the information provided to the third country competent authority for the purpose of assessing the arrangement.

CHAPTER III

ORGANISATIONAL REQUIREMENTS

(Article 26 of Regulation (EU) No 648/2012)

Article 3

Governance arrangements

The key components of the governance arrangements of the CCP that define its organisational structure as well as clearly specified and well-documented policies, procedures and processes by which its board and senior management operate shall include the following:

(a) the composition, role and responsibilities of the board and any board committees;

(b) the roles and responsibilities of the management;

(c) the senior management structure;

(d) the reporting lines between the senior management and the board;

(e) the procedures for the appointment of board members and senior management;

(f) the design of the risk management, compliance and internal control functions;

(g) the processes for ensuring accountability to stakeholders.

Article 4

Risk management and internal control mechanisms

Article 5

Compliance policy and procedures

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 accompanying material shall be accurate, up-to-date and readily available to the competent authority, clearing members and, where appropriate, clients.

A CCP shall identify and analyse the soundness of the rules, procedures and contractual arrangements of the CCP. If necessary, independent legal opinions shall be sought for the 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 proposed changes to the competent authority.

A CCP’s rules and procedures shall clearly indicate the law that is intended to apply to each aspect of the CCP’s activities and operations.

Article 6

Compliance function

When establishing its compliance function, the CCP shall take into account the nature, scale and complexity of its business, and the nature and range of the services and activities undertaken in the course of that business.

The chief compliance officer shall at least have the following responsibilities:

(a) monitor and, on a regular basis, assess the adequacy and effectiveness of the measures put in place in accordance with Article 5(4) and the actions taken to address any deficiencies in the CCP’s compliance with its obligations;

(b) administer the compliance policies and procedures established by senior management and the board;

(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) No 648/2012 and Implementing Regulation (EU) No 1249/2012 and other regulatory requirements, where applicable;

(d) report regularly to the board on compliance by the CCP and its employees with this Regulation, Regulation (EU) No 648/2012 and Implementing Regulation (EU) No 1249/2012;

(e) establish procedures for the effective remediation of instances of non-compliance;

(f) ensure that the relevant persons involved in the compliance function are not involved in the performance of the services or activities they monitor and that any conflicts of interest of such persons are properly identified and eliminated.

Article 7

Organisational structure and separation of the reporting lines

The board shall assume at least the following responsibilities:

(a) the establishment of clear objectives and strategies for the CCP;

(b) the effective monitoring of senior management;

(c) the establishment of appropriate remuneration policies,

(d) the establishment and oversight of the risk management function;

(e) the oversight of the compliance function and internal control function;

(f) the oversight of outsourcing arrangements;

(g) the oversight of compliance with all provisions of this Regulation, Regulation (EU) No 648/2012, Implementing Regulation (EU) No 1249/2012 and all other regulatory and supervisory requirements;

(h) the provision of accountability to the shareholders or owners and employees, clearing members and their customers and other relevant stakeholders.

Senior management shall have at least the following responsibilities:

(a) ensuring consistency of the CCP’s activities with the objectives and strategy of the CCP as determined by the board;

(b) designing and establishing compliance and internal control procedures that promote the CCP’s objectives;

(c) subjecting the internal control procedures to regular review and testing;

(d) ensuring that sufficient resources are devoted to risk management and compliance;

(e) be actively involved in the risk control process;

(f) ensuring that risks posed to the CCP by its clearing and activities linked to clearing are duly addressed.

Article 8

Remuneration policy

Article 9

Information technology systems

The information technology architecture shall be well-documented. The systems shall be designed to deal with the CCP’s operational needs and the risks the CCP faces, be resilient, including in stressed market conditions, and be scalable, if necessary, to process additional information. The CCP shall 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 circumstances where a major disruption occurs. The CCP shall provide for procedures for the introduction of new technology including clear reversion plans.

The information security framework shall include at least the following features:

(a) access controls to the system;

(b) adequate safeguards against intrusions and data misuse;

(c) specific devices to preserve data authenticity and integrity, including cryptographic techniques;

(d) reliable networks and procedures for accurate and prompt data transmission without major disruptions;

(e) audit trails.

Article 10

Disclosure

A CCP shall make the following information available to the public free of charge:

(a) information regarding its governance arrangements, including the following: (i) its organisational structure as well as key objectives and strategies; (ii) key elements of the remuneration policy; (iii) key financial information including its most recent audited financial statements;

(b) information regarding its rules, including the following: (i) default management procedures, procedures and supplementary texts; (ii) relevant business continuity information; (iii) information on the CCP’s risk management systems, techniques and performance in accordance with Chapter XII; (iv) all relevant information on its design and operations as well as on the rights and obligations of clearing members and clients, necessary to enable them to identify clearly and understand fully the risks and costs associated with using the CCP’s services; (v) the CCP’s current clearing services, including detailed information on what it provides under each service; (vi) the CCP’s risk management systems, techniques and performance, including information on financial resources, investment policy, price data sources and models used in margin calculations; (vii) the law and the rules governing: (1) the access to the CCP; (2) the contracts concluded by the CCP with clearing members and, where practicable, clients; (3) the contracts that the CCP accepts for clearing; (4) any interoperability arrangements; (5) the use of collateral and default fund contributions, including the liquidation of positions and collateral and the extent to which collateral is protected against third party claims;

(c) information regarding eligible collateral and applicable haircuts;

(d) a list of all current clearing members, including admission, suspension and exit criteria for clearing membership.

Where the competent authority agrees with the CCP that any of the information under point (b) or (c) of this paragraph may put at risk business secrets or the safety and soundness of the CCP, the CCP may decide to disclose that information in a manner that prevents or reduces those risks, or not to disclose such information.

Article 11

Internal auditing

A CCP shall establish and maintain an internal audit function which is separate and independent from the other functions and activities of the CCP and which has the following tasks:

(a) to establish, implement and maintain an audit plan to examine and evaluate the adequacy and effectiveness of the CCP’s systems, internal control mechanisms and governance arrangements;

(b) to issue recommendations based on the result of work carried out in accordance with point (a);

(c) to verify compliance with those recommendations;

(d) to report internal audit matters to the board.

CHAPTER IV

RECORD KEEPING

(Article 29 of Regulation (EU) No 648/2012)

Article 12

General requirements

A CCP shall keep records in a durable medium that allows information to be provided to the competent authorities, ESMA and relevant European System of Central Banks (ESCB) members, and in such a form and manner that the following conditions are met:

(a) each key stage of the processing by the CCP may be reconstituted;

(b) the original content of a record before any corrections or other amendments may be recorded, traced and retrieved;

(c) measures to prevent unauthorised alteration of records are in place;

(d) security and confidentiality of the data recorded are ensured through appropriate measures;

(e) a mechanism for identifying and correcting errors is incorporated in the record keeping system;

(f) the timely recovery of the records in the case of a system failure is ensured within the record keeping system.

Article 13

Transaction records

In relation to every transaction received for clearing, a CCP shall, immediately upon receiving the relevant information, make and keep updated a record of the following details:

(a) the price, rate or spread and quantity;

(b) the clearing capacity, which identifies whether the transaction was a buy or sale from the perspective of the CCP recording;

(c) the instrument identification;

(d) the identification of the clearing member;

(e) the identification of the venue where the contract was concluded;

(f) the date and time of interposition of the CCP;

(g) the date and time of termination of the contract;

(h) the terms and modality of settlement;

(i) the date and time of settlement or of buy-in of the transaction and to the extent they are applicable of the following details: (i) the day and the time at which the contract was originally concluded; (ii) the original terms and parties of the contract; (iii) the identification of the interoperable CCP clearing one leg of the transaction, where applicable; (iv) the identity of the client, including any indirect client, where known to the CCP, and in case of a give-up, the identification of the party that transferred the contract.

Article 14

Position records

At the end of each business day a CCP shall make a record in relation to each position including the following details, to the extent they are linked to the position in question:

(a) the identification of the clearing member, of the client, if known to the CCP, and of any interoperable CCP maintaining such position, where applicable;

(b) the sign of the position;

(c) the daily calculation of the value of the position with records of the prices at which the contracts are valued, and of any other relevant information.

Article 15

Business records

The records referred to in paragraph 1 shall be made each time a material change in the relevant documents occurs and shall include at least:

(a) the organisational charts for the board and relevant committees, clearing unit, risk management unit, and all other relevant units or divisions;

(b) the identities of the shareholders or members, whether direct or indirect, natural or legal persons, that have qualifying holdings and the amounts of those holdings;

(c) the documents attesting the policies, procedures and processes required under Chapter III and Article 29;

(d) the minutes of board meetings and, if applicable, of meetings of sub-committees of the board and of senior management committees;

(e) the minutes of meetings of the risk committee;

(f) the minutes of consultation groups with clearing members and clients, if any;

(g) internal and external audit reports, risk management reports, compliance reports, and reports by consultant companies, including management responses;

(h) the business continuity policy and disaster recovery plan, required under Article 17;

(i) the liquidity plan and the daily liquidity reports, required under Article 32;

(j) records reflecting all assets and liabilities and capital accounts as required under Article 16 of Regulation (EU) No 648/2012;

(k) complaints received, with information on the complainant’s name, address, and account number; the date the complaint was received; the name of all persons identified in the complaint; a description of the nature of the complaint; the disposition of the complaint, and the date the complaint was resolved;

(l) records of any interruption of services or dysfunction, including a detailed report on the timing, effects and remedial actions;

(m) records of the results of the back and stress tests performed;

(n) written communications with competent authorities, ESMA and the relevant members of the ESCB;

(o) legal opinions received in accordance with Chapter III;

(p) where applicable, documentation regarding interoperability arrangements with other CCPs;

(q) the information under Article 10(1)(b)(vii) and (1)(d);

(r) the relevant documents describing the development of new business initiatives.

Article 16

Records of data reported to a trade repository

A CCP shall identify and retain all information and data required to be reported in accordance with Article 9 of Regulation (EU) No 648/2012, along with a record of the date and time the transaction is reported.

CHAPTER V

BUSINESS CONTINUITY

(Article 34 of Regulation (EU) No 648/2012)

Article 17

Strategy and policy

Article 18

Business impact analysis

Article 19

Disaster recovery

Article 20

Testing and monitoring

Testing of the business continuity policy and disaster recovery plan shall fulfil the following conditions:

(a) involve scenarios of large scale disasters and switchovers between primary and secondary sites;

(b) include involvement of clearing members, external providers and relevant institutions in the financial infrastructure with which interdependencies have been identified in the business continuity policy.

Article 21

Maintenance

Article 22

Crisis management

Article 23

Communication

CHAPTER VI

MARGINS

(Article 41 of Regulation (EU) No 648/2012)

Article 24

Percentage