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Commission Delegated Regulation (EU) 2016/2251Show full title
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)
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- Revised 16/04/20200.46 MB
- Revised 04/01/20170.40 MB
- Revised 15/12/20160.38 MB
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Changes over time for: SECTION 6
Changes to legislation:
Commission Delegated Regulation (EU) 2016/2251,
SECTION 6
is up to date with all changes known to be in force on or before 10 January 2026. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
EUR 2016 No. 2251 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.
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Changes and effects yet to be applied to Chapter I Section 6:
- Regulation revoked by 2023 c. 29 Sch. 1 Pt. 1 3
SECTION 6 U.K. Valuation of collateral
Article 21U.K.Calculation of the adjusted value of collateral
1.Counterparties shall adjust the value of collected collateral in accordance with either the methodology set out in Annex II or a methodology using own volatility estimates accordance with Article 22.
2.When adjusting the value of collateral pursuant to paragraph 1, counterparties may disregard the foreign exchange risk arising from positions in currencies which are subject to a legally binding intergovernmental agreement limiting the variation of those positions relative to other currencies covered by the same agreement.
Article 22U.K.Own estimates of the adjusted value of collateral
1.Counterparties shall adjust the value of collected collateral using own volatility estimates in accordance with Annex III.
2.Counterparties shall update their data sets and calculate the own volatility estimates referred to in Article 21 whenever the level of market prices' volatility changes materially and at least quarterly.
3.For the purposes of paragraph 2, counterparties shall pre-determine the levels of volatility that trigger a recalculation of the haircuts as referred to in Annex III.
4.The procedures referred to in Article 2(2)(d) shall include policies to monitor the calculation of the own volatility estimates and the integration of those estimates into the risk management process of that counterparty.
5.The policies referred to in paragraph 4 shall be subject to an internal review that includes all of the following:
(a)the integration of the estimates into the risk management process of the counterparty, which shall take place at least annually;
(b)the integration of estimated haircuts into daily risk management;
(c)the validation of any significant change in the process for the calculation of the estimates;
(d)the verification of the consistency, timeliness and reliability of data sources used to calculate the estimates;
(e)the accuracy and appropriateness of the volatility assumptions.
6.The review referred to in paragraph 5 shall be carried out regularly within the internal auditing process of the counterparty.
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