In this act Article 52 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 52 — Risk factors to stress test
Financial servicesLevel 2RTSEMIRIn forceIn force on the date shown, by the dates in the Official Journal.VerifiedIdentical to the official source.Official source
52(1)Copy link
1.A CCP shall identify, and have an appropriate method for measuring, relevant risk factors specific to the contracts it clears that could affect its losses. A CCP’s stress tests shall, at least, take into account risk factors specified for the following type of financial instruments, where applicable:
52(1)(a)
(a)interest rate related contracts: risk factors corresponding to interest rates in each currency in which the CCP clears financial instruments. The yield curve modelling shall be divided into various maturity segments in order to capture variation in the volatility of rates along the yield curve. The number of related risk factors shall depend on the complexity of the interest rate contracts cleared by the CCP. Basis risk, arising from less than perfectly correlated movements between government and other fixed-income interest rates, shall be captured separately;
Copy link52(1)(b)
(b)exchange rate related contracts: risk factors corresponding to each foreign currency in which the CCP clears financial instruments and to the exchange rate between the currency in which margin calls are made and the currency in which the CCP clears financial instruments;
Copy link52(1)(c)
(c)equity related contracts: risk factors corresponding to the volatility of individual equity issues for each of the markets cleared by the CCP and to the volatility of various sectors of the overall equity market. The sophistication and nature of the modelling technique for a given market shall correspond to the CCP’s exposure to the overall market as well as its concentration in individual equity issues in that market;
Copy link52(1)(d)
(d)commodity contracts: risk factors that take into account the different categories and sub-categories of commodity contracts and related derivatives cleared by the CCP, including, where appropriate, variations in the convenience yield between derivatives positions and cash positions in the commodity;
Copy link52(1)(e)
(e)credit related contracts: risk factors that consider jump to default risk, including the cumulative risk arising from multiple defaults, basis risk and recovery rate volatility.
Copy link52(2)Copy link
2.In its stress tests, a CCP shall also give appropriate consideration at least to the following:
52(2)(a)
(a)correlations, including those between identified risk factors and similar contracts cleared by the CCP;
Copy link52(2)(b)
(b)factors corresponding to the implied and historical volatility of the contract being cleared;
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