{"release":{"id":"a4f2a0495fe55b47323883f82977a9b34ab66171ec9623e39925d3a7045b6c81","published":"2026-11-01T16:41:30Z","pinned":false},"limits":{"coverage":{"history":"from:2023-02-14","held_since":"2023-02-14","gaps":[],"covered":["2016/2251 — RTS — Risk-mitigation techniques for OTC derivative contracts [in force] L2"],"not_covered":["national guidance","court decisions"]},"freshness":{"release_id":"a4f2a0495fe55b47323883f82977a9b34ab66171ec9623e39925d3a7045b6c81","release_published":"2026-11-01T16:41:30Z","checked_at":"2026-10-20","checked_against":"EUR-Lex"},"truncation":null,"failures":[],"incomplete":[]},"page":{"path":"/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii","url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii","title":"ANNEX III","family":"l2_unit_view","work_id":"spaces/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts","view_of":"/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts","status":"in_force","force_status":"in_force","date_state":"current","requested_date":null,"as_of":"2026-11-02","applies_from":null,"application":null,"version_label":"Consolidated version of 14 February 2023","check":{"against":"EUR-Lex","on":"2026-10-20"},"check_result":"matched","official_url":"https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:02016R2251-20230214","valid_from":"2017-01-04","valid_until":null,"content_id":"483b7abbf10631be","versions":["2017-01-04"],"version_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii/versions/2023-02-14","revision_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii/versions/2023-02-14/rev/483b7abbf10631be","versions_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii/versions","relations_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii/relations","act_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts#annex-iii","source_line":"Commission Delegated Regulation (EU) 2016/2251 · binding · OJ L 340, 15.12.2016 · dated 4 Oct 2016 [in force]","attribution":{"prepared_by":"European Commission","published_by":"Publications Office of the EU","published_in":"Official Journal of the European Union","document_type":"delegated_regulation","legal_nature":"binding_adopted","addressees":"not stated in the document","dates":{"document_date":"2016-10-04","entry_into_force":"2017-01-04","locators":{"document_date":"CELLAR 32016R2251 work_date_document","entry_into_force":"CELLAR 32016R2251 resource_legal_date_entry-into-force (earliest)"}},"adoption":null},"context":{"act":{"work_id":"spaces/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts","path":"/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts","name":"Commission Delegated Regulation (EU) 2016/2251","number":"2016/2251","celex":"32016R2251","title_official":"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)","document_date":"2016-10-04"},"position":{"kind":"annex","key":"annex-iii","index":3,"articles":42,"annexes":4},"prev":{"path":"/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-ii","key":"annex-ii","title":"ANNEX II"},"next":{"path":"/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iv","key":"annex-iv","title":"ANNEX IV"},"act_anchor":"#annex-iii"}},"provenance":{"official_url":"https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:02016R2251-20230214","check":{"result":"matched","checked_at":"2026-10-20","against":"EUR-Lex"},"repo_path":"spaces/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts.md","unit_text_sha256":"91514024f1e550629f3f74e43b2438d64a5cfac534dd629bc1e4ef9722a65d72","note":"the unit is a byte-exact part of the act page, whose check record covers it"},"unit":{"locator":"spaces/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annex-iii","kind":"annex","key":"annex-iii","heading":"ANNEX III","text":"## ANNEX III\n\n<a id=\"annex-iii\"></a>Own volatility estimates of the haircuts to be applied to the market value of collateral for the purposes of Article 22\n\n**1.** The calculation of the adjusted value of the collateral shall meet all of the following conditions:\n\n(a)\n\ncounterparties shall base the calculation on a 99th percentile, one-tailed confidence interval;\n\n(b)\n\ncounterparties shall base the calculation on a liquidation period of at least 10 business days;\n\n(c)\n\ncounterparties shall calculate the haircuts by scaling up the daily revaluation haircuts, using the following square-root-of time formula:\n\n![Formula printed as an image in the official text — Annex III](../../.gitbook/assets/emir-l2-32016R2251-image-1.jpg)\n\nwhere:\n\nH\n\n=\n\nthe haircut to be applied;\n\nHM\n\n=\n\nthe haircut where there is daily revaluation;\n\nNR\n\n=\n\nthe actual number of business days between revaluations;\n\nTM\n\n=\n\nthe liquidation period for the type of transaction in question;\n\n(d)\n\ncounterparties shall take into account the lesser liquidity of low quality assets. They shall adjust the liquidation period upwards in cases where there are doubts concerning the liquidity of the collateral. They shall also identify where historical data may understate potential volatility. Such cases shall be dealt with by means of a stress scenario;\n\n(e)\n\nthe length of the historical observation period institutions use for calculating haircuts shall be at least 1 year. For counterparties that use a weighting scheme or other methods for the historical observation period, the length of the effective observation period shall be at least 1 year;\n\n(f)\n\nthe market value of the collateral shall be adjusted as follows:\n\nCvalue = C · (1 – H)\n\nwhere:\n\nC\n\n=\n\nthe market value of the collateral;\n\nH\n\n=\n\nthe haircut as calculated in point (c) above.\n\n**2.** Cash variation margin may be subject to a haircut of 0 %.\n\n**3.** For debt securities that have a credit assessment from an ECAI, counterparties may use their own volatility estimate for each category of security.\n\n**4.** In determining relevant categories of securities for the purposes of paragraph 3, counterparties shall take into account the type of issuer of the security, the external credit assessment of the securities, their residual maturity, and their modified duration. Volatility estimates shall be representative of the securities included in the category.\n\n**5.** The calculation of haircuts resulting from the application of point (c) of paragraph 1 shall meet all of the following conditions:\n\n(a)\n\na counterparty shall use the volatility estimates in the day-to-day risk management process including in relation to its exposure limits;\n\n(b)\n\nwhere the liquidation period used by a counterparty is longer than that referred to in point (b) of paragraph 1 for the type of OTC derivative contract in question, that counterparty shall increase its haircuts in accordance with the square root of time formula referred to in point (c) of that paragraph.\n\n","marks":[{"kind":"subscript","start":776,"end":777},{"kind":"subscript","start":830,"end":831},{"kind":"subscript","start":895,"end":896},{"kind":"subscript","start":1696,"end":1701}],"text_hash":"91514024f1e550629f3f74e43b2438d64a5cfac534dd629bc1e4ef9722a65d72","revision":1}}