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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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Commission Delegated Regulation (EU) 2016/2251 is up to date with all changes known to be in force on or before 25 April 2024. There are changes that may be brought into force at a future date. Help about Changes to Legislation

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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  1. Introductory Text

  2. CHAPTER I GENERAL PROVISIONS ON RISK MANAGEMENT PROCEDURES

    1. SECTION 1 Definitions and general requirements

      1. Article 1.Definitions

      2. Article 2.General requirements

      3. Article 3.Exchange of collateral agreement

    2. SECTION 2 Eligibility

      1. Article 4.Eligible collateral

      2. Article 5.Eligibility criteria for units or shares in UCITS

      3. Article 6.Credit quality assessment

      4. Article 7.Specific requirements for eligible assets

      5. Article 8.Concentration limits for initial margin

    3. SECTION 3 Calculation and collection of margins

      1. Article 9.Frequency of calculation and determination of the calculation date

      2. Article 10.Calculation of variation margin

      3. Article 11.Calculation of initial margin

      4. Article 12.Provision of variation margin

      5. Article 13.Provision of initial margin

    4. SECTION 4 Initial margin models

      1. Article 14.General requirements

      2. Article 15.Confidence interval and MPOR

      3. Article 16.Calibration of the parameters of the model

      4. Article 17.Diversification, hedging and risk offsets across underlying classes

      5. Article 18.Qualitative requirements

    5. SECTION 5 Collateral management and segregation

      1. Article 19.Collateral management and segregation

      2. Article 20.Treatment of collected initial margins

    6. SECTION 6 Valuation of collateral

      1. Article 21.Calculation of the adjusted value of collateral

      2. Article 22.Own estimates of the adjusted value of collateral

  3. CHAPTER II SPECIFIC PROVISIONS ON RISK MANAGEMENT PROCEDURES

    1. SECTION 1 Exemptions

      1. Article 23.CCPs authorised as credit institutions

      2. Article 24.Non-financial counterparties and third-country counterparties

      3. Article 25.Minimum transfer amount

      4. Article 26.Margin calculation with third-country counterparties

    2. SECTION 2 Exemptions in calculating levels of initial margin

      1. Article 27.Foreign exchange contracts

      2. Article 28.Threshold based on notional amount

      3. Article 29.Threshold based on initial margin amounts

    3. SECTION 3 Exemptions from the requirement to post or collect initial or variation margin

      1. Article 30.Treatment of derivatives associated to covered bonds for hedging purposes

      2. Article 30a. Treatment of derivatives in connection with securitisations for hedging purposes

      3. Article 31.Treatment of derivatives with counterparties in third countries where legal enforceability of netting agreements or collateral protection cannot be ensured

  4. CHAPTER III INTRAGROUP DERIVATIVE CONTRACTS

    1. SECTION 1 Procedures for counterparties competent authorities when applying exemptions for intragroup derivative contracts

      1. Article 32.Procedures for counterparties and relevant competent authorities

    2. SECTION 2 Applicable criteria for applying exemptions for intragroup derivative contracts

      1. Article 33.Applicable criteria on the legal impediment to the prompt transfer of own funds and repayment of liabilities

      2. Article 34.Applicable criteria on the practical impediments to the prompt transfer of own funds and repayment of liabilities

  5. CHAPTER IV TRANSITIONAL AND FINAL PROVISIONS

    1. Article 35.Transitional provisions

    2. Article 36.Application of 9(2), Article 11, Articles 13 to 18, points (c), (d) and (f) of Article 19(1), Article 19(3) and Article 20

    3. Article 37.Application of Articles 9(1), 10 and 12

    4. Article 38.Dates of application for specific contracts

    5. Article 39.Calculation of aggregate average notional amount

    6. Article 40.Entry into force

  6. Signature

    1. ANNEX I

      Correspondence of Probability of default (‘PD’) to Credit quality steps for the purposes of Articles 6 and 7

      1. An internal rating with a PD equal to or lower...

      2. Table 1 Credit Quality Step Probability of default, as defined...

    2. ANNEX II

      Methodology to adjust the value of collateral for the purposes of Article 21

      1. 1. The value of the collateral shall be adjusted as follows:...

      2. 2. Counterparties shall apply at least the haircuts provided in the...

      3. 1. Equities in main indices, bonds convertible to equities in main...

      4. 2. For eligible units in UCITS the haircut is the weighted...

      5. 3. Cash variation margin shall be subject to a haircut of...

      6. 4. For the purpose of exchanging variation margin, a haircut of...

      7. 5. For the purpose of exchanging initial margin, a haircut of...

    3. ANNEX III

      Own volatility estimates of the haircuts to be applied to the market value of collateral for the purposes of Article 22

      1. 1. The calculation of the adjusted value of the collateral shall...

      2. 2. Cash variation margin may be subject to a haircut of...

      3. 3. For debt securities that have a credit assessment from an...

      4. 4. In determining relevant categories of securities for the purposes of...

      5. 5. The calculation of haircuts resulting from the application of point...

    4. ANNEX IV

      Standardised Method for the calculation of initial margin for the purposes of Articles 9 and 11

      1. 1. The notional amounts or underlying values, as applicable, of the...

      2. 2. The gross initial margin of a netting set shall be...

      3. 3. The following treatment shall be applied to contracts which fall...

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