[F11 . A CCP shall regularly review the models and parameters adopted to calculate its margin requirements, default fund contributions, collateral requirements and other risk control mechanisms. It shall subject the models to rigorous and frequent stress tests to assess their resilience in extreme but plausible market conditions and shall perform back tests to assess the reliability of the methodology adopted. The CCP shall obtain independent validation, shall inform [F2the Bank of England] of the results of the tests performed and shall obtain [F3its] validation in accordance with paragraphs 1a, F4... 1d and 1e before adopting any significant change to the models and parameters.
F5...
F5... ]
[F61a. Where a CCP intends to adopt any significant change to the models and parameters referred to in paragraph 1, it shall apply to the [F7Bank of England] for validation of that change. The CCP shall enclose an independent validation of the intended change to its applications. The [F7Bank of England] shall F8... confirm the receipt of the complete application to the CCP.
F9 1b .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
F10 1c .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1d . Within 90 working days of the receipt of the applications referred to in paragraph 1a, the [F11Bank of England shall inform the CCP] in writing, including a fully reasoned explanation, whether the validation has been granted or refused.
1e . The CCP may not adopt any significant change to the models and parameters referred to in paragraph 1 before obtaining the validations by [F12the Bank of England]. The [F13Bank of England] may allow for a provisional adoption of a significant change of those models or parameters prior to their validations where duly justified.]
2.A CCP shall regularly test the key aspects of its default procedures and take all reasonable steps to ensure that all clearing members understand them and have appropriate arrangements in place to respond to a default event.
3.A CCP shall publicly disclose key information on its risk-management model and assumptions adopted to perform the stress tests referred to in paragraph 1.
4.[F14The Bank of England may make] technical standards specifying:
(a)the type of tests to be undertaken for different classes of financial instruments and portfolios;
(b)the involvement of clearing members or other parties in the tests;
(c)the frequency of the tests;
(d)the time horizons of the tests;
(e)the key information referred to in paragraph 3.
F15...
F15...
[F16 5 . The Bank of England may make technical standards specifying the conditions under which changes to the models and parameters referred to in paragraph 1 are significant.]
Textual Amendments
F1Substituted by Regulation (EU) 2019/2099 of the European Parliament and of the Council of 23 October 2019 amending Regulation (EU) No 648/2012 as regards the procedures and authorities involved for the authorisation of CCPs and requirements for the recognition of third-country CCPs.
F2Words in Art. 49(1) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 50(2)(a) (as substituted by S.I. 2020/646, regs. 1(2)(c), 6(7)(a)) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F3Word in Art. 49(1) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 50(2)(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F4Words in Art. 49(1) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 50(2)(ba) (as inserted by S.I. 2020/646, regs. 1(2)(c), 6(7)(b)) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F5Words in Art. 49(1) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 50(2)(c) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F6Inserted by Regulation (EU) 2019/2099 of the European Parliament and of the Council of 23 October 2019 amending Regulation (EU) No 648/2012 as regards the procedures and authorities involved for the authorisation of CCPs and requirements for the recognition of third-country CCPs.
F7Words in Art. 49(1a) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(a)(i) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F8Word in Art. 49(1a) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(a)(ii) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F9Art. 49(1b) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(b) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F10Art. 49(1c) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(b) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F11Words in Art. 49(1d) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(c) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F12Words in Art. 49(1e) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(d)(i) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F13Words in Art. 49(1e) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(d)(ii) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)
F14Words in Art. 49(4) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 50(3)(a) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F15Words in Art. 49(4) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 50(3)(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F16Art. 49(5) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2020 (S.I. 2020/646), regs. 1(3), 29(2) (with savings in S.I. 2019/680, reg. 11 as amended by S.I. 2020/646, reg. 12)