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In this act Article 6 of 23

Article 6 — Details to be included in the notification

Financial servicesLevel 2RTSEMIRIn forceOfficial source

6(1)

1.The notification for the purpose of the clearing obligation shall include the following information:

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6(1)(a)
(a)the identification of the class of OTC derivative contracts;
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6(1)(b)
(b)the identification of the OTC derivative contracts within the class of OTC derivative contracts;
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6(1)(c)
(c)other information to be included in the public register in accordance with Article 8;
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6(1)(d)
(d)any further characteristics necessary to distinguish OTC derivative contracts within the class of OTC derivative contracts from OTC derivative contracts outside that class;
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6(1)(e)
(e)evidence of the degree of standardisation of the contractual terms and operational processes for the relevant class of OTC derivative contracts;
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6(1)(f)
(f)data on the volume of the class of OTC derivative contracts;
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6(1)(g)
(g)data on the liquidity of the class of OTC derivative contracts;
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6(1)(h)
(h)evidence of availability to market participants of fair, reliable and generally accepted pricing information for contracts in the class of OTC derivative contracts;
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6(1)(i)
(i)evidence of the impact of the clearing obligation on availability to market participants of pricing information.
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6(2)

2.For the purpose of assessing the date or dates from which the clearing obligation takes effect, including any phasing-in and the categories of counterparties to which the clearing obligation applies, the notification for the purpose of the clearing obligation shall include:

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6(2)(a)
(a)data relevant for assessing the expected volume of the class of OTC derivative contracts if it becomes subject to the clearing obligation;
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6(2)(b)
(b)evidence of the ability of the CCP to handle the expected volume of the class of OTC derivative contracts if it becomes subject to the clearing obligation and to manage the risk arising from the clearing of the relevant class of OTC derivative contracts, including through client or indirect client clearing arrangements;
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6(2)(c)
(c)the type and number of counterparties active and expected to be active within the market for the class of OTC derivative contracts if it becomes subject to the clearing obligation;
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6(2)(d)
(d)an outline of the different tasks to be completed in order to start clearing with the CCP, together with the determination of the time required to fulfil each task;
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6(2)(e)
(e)information on the risk management, legal and operational capacity of the range of counterparties active in the market for the class of OTC derivative contracts if it becomes subject to the clearing obligation.
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6(3)

3.The data pertaining to the volume and the liquidity shall contain for the class of OTC derivative contracts and for each derivative contract within the class, the relevant market information, including historical data, current data as well as any change that is expected to arise if the class of OTC derivative contracts becomes subject to the clearing obligation, including:

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6(3)(a)
(a)the number of transactions;
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6(3)(b)
(b)the total volume;
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6(3)(c)
(c)the total open interest;
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6(3)(d)
(d)the depth of orders including the average number of orders and of requests for quotes;
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6(3)(e)
(e)the tightness of spreads;
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6(3)(f)
(f)the measures of liquidity under stressed market conditions;
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6(3)(g)
(g)the measures of liquidity for the execution of default procedures.
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6(4)

4.The information related to the degree of standardisation of the contractual terms and operational processes for the relevant class of OTC derivative contracts provided in point (e) of paragraph 1 shall include, for the class of OTC derivative contracts and for each derivative contract within the class, data on the daily reference price as well as the number of days per year with a reference price it considers reliable over at least the previous 12 months.

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CHAPTER IV — CRITERIA FOR THE DETERMINATION OF THE CLASSES OF OTC DERIVATIVE CONTRACTS SUBJECT TO THE CLEARING OBLIGATION (Article 5(4) of Regulation (EU) No 648/2012)