{"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-iv","url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iv","title":"ANNEX IV","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":"2026-11-01","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":"8762844ba663fa78","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-iv/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-iv/versions/2023-02-14/rev/8762844ba663fa78","versions_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iv/versions","relations_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iv/relations","act_url":"https://www.headlesslaw.com/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts#annex-iv","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-iv","index":4,"articles":42,"annexes":4},"prev":{"path":"/emir/level-2/rts/2016-2251-risk-mitigation-techniques-for-otc-derivative-contracts/annexes/annex-iii","key":"annex-iii","title":"ANNEX III"},"next":null,"act_anchor":"#annex-iv"}},"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":"bde931687d41f63998a7b12358c0754c76247dfef61d48bf0715af10da4b0a2e","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-iv","kind":"annex","key":"annex-iv","heading":"ANNEX IV","text":"## ANNEX IV\n\n<a id=\"annex-iv\"></a>Standardised Method for the calculation of initial margin for the purposes of Articles 9 and 11\n\n**1.** The notional amounts or underlying values, as applicable, of the \\|OTC derivative contracts in a netting set shall be multiplied by the percentages in the following Table 1:\n\nTable 1\n\n<!-- table: t04 -->\n<!-- lint: table-cell-ok — verbatim table of the official text, rendered from its table file -->\n| Category | Add-on factor |\n| --- | --- |\n| Credit: 0-2 year residual maturity | 2 % |\n| Credit: 2-5 year residual maturity | 5 % |\n| Credit: 5+ year residual maturity | 10 % |\n| Commodity | 15 % |\n| Equity | 15 % |\n| Foreign exchange | 6 % |\n| Interest rate and inflation: 0-2 year residual maturity | 1 % |\n| Interest rate and inflation: 2-5 year residual maturity | 2 % |\n| Interest rate and inflation: 5+ year residual maturity | 4 % |\n| Other | 15 % |\n<!-- /table -->\n\n**2.** The gross initial margin of a netting set shall be calculated as the sum of the products referred to in paragraph 1 for all OTC derivative contracts in the netting set.\n\n**3.** The following treatment shall be applied to contracts which fall within more than one category:\n\n(a)\n\nwhere a relevant risk factor for an OTC derivative contract can be clearly identified, contracts shall be assigned to the category corresponding to that risk factor;\n\n(b)\n\nwhere the condition referred to in point (a) is not met, contracts shall be assigned to the category with the highest add-on factor among the relevant categories;\n\n(c)\n\nthe initial margin requirements for a netting set shall be calculated in accordance with the following formula:\n\nNet initial margin = 0,4 \\* Gross initial margin + 0,6 \\* NGR \\* Gross initial margin.\n\nwhere:\n\n(i)\n\nnet initial margin refers to the reduced figure for initial margin requirements for all OTC derivative contracts with a given counterparty included in a netting set;\n\n(ii)\n\nNGR refers to the net-to-gross ratio calculated as the quotient of the net replacement cost of a netting set with a given counterparty in the numerator, and the gross replacement cost of that netting set in the denominator;\n\n(d)\n\nfor the purposes of point (c), the net replacement cost of a netting set shall be the bigger between zero and the sum of current market values of all OTC derivative contracts in the netting set;\n\n(e)\n\nfor the purposes of point (c), the gross replacement cost of a netting set shall be the sum of the current market values of all OTC derivative contracts calculated in accordance with [Article 11(2)](../../articles/11.md) of Regulation (EU) No 648/2012 and Articles 16 and 17 of Delegated Regulation (EU) No 149/2013 with positive values in the netting set;\n\n(f)\n\nthe notional amount referred to in paragraph 1 may be calculated by netting the notional amounts of contracts that are of opposite direction and are otherwise identical in all contractual features except their notional amounts.\n\n","marks":[],"text_hash":"bde931687d41f63998a7b12358c0754c76247dfef61d48bf0715af10da4b0a2e","revision":1}}