In this act Article 51 of 62
- recRecitals 1–60
- 1Definitions
- 2Information to be provided to ESMA for the recognition of a CCP
- 3Governance arrangements
- 4Risk management and internal control mechanisms
- 5Compliance policy and procedures
- 6Compliance function
- 7Organisational structure and separation of the reporting lines
- 8Remuneration policy
- 9Information technology systems
- 10Disclosure
- 11Internal auditing
- 12General requirements
- 13Transaction records
- 14Position records
- 15Business records
- 16Records of data reported to a trade repository
- 17Strategy and policy
- 18Business impact analysis
- 19Disaster recovery
- 20Testing and monitoring
- 21Maintenance
- 22Crisis management
- 23Communication
- 24Percentage
- 25Time horizon for the calculation of historical volatility
- 26Time horizons for the liquidation period
- 27Portfolio margining
- 28Procyclicality
- 29Framework and governance
- 30Identifying extreme but plausible market conditions
- 31Reviewing extreme but plausible scenarios
- 32Assessment of liquidity risk
- 33Access to liquidity
- 34Concentration risk
- 35Calculation of the amount of the CCP’s own resources to be used in the default waterfall
- 36Maintenance of the amount of the CCP’s own resources to be used in the default waterfall
- 37General requirements
- 38Cash collateral
- 39Financial instruments
- 40Valuing collateral
- 41Haircuts
- 42Concentration limits
- 43Highly liquid financial instruments
- 44Highly secured arrangements for the deposit of financial instruments
- 45Highly secured arrangements maintaining cash
- 46Non-cash collateral
- 47Model Validation
- 48Testing programmes
- 49Back testing procedure
- 50Sensitivity testing and analysis procedure
- 51Stress testing procedure
- 52Risk factors to stress test
- 53Stress testing total financial resources
- 54Stress testing liquid financial resources
- 55Maintaining sufficient coverage
- 56Review of models using test results
- 57Reverse stress tests
- 58Testing default procedures
- 59Frequency
- 60The time horizons
- 61Information to be publicly disclosed
- 62Entry into force and application
- Annex IConditions applicable to financial instruments, bank guarantees, public guarantees and gold considered as highly liquid collateral
- Annex IIConditions applicable to highly liquid financial instruments
Article 51 — Stress testing procedure
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Full document 62 articles and 2 annexes on one page