Article 49
Review of models, stress testing and back testing
1.
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 its competent authority and ESMA of the results of the tests performed and shall obtain their validation in accordance with paragraphs 1a, 1b, 1c, 1d and 1e before adopting any significant change to the models and parameters.
The adopted models and parameters, including any significant change thereto, shall be subject to an opinion of the college in accordance with the following paragraphs.
ESMA shall ensure that information on the results of the stress tests is passed on to the ESAs, the ESCB and the Single Resolution Board to enable them to assess the exposure of financial undertakings to the default of CCPs.
1a.
Where a CCP intends to adopt any significant change to the models and parameters referred to in paragraph 1, it shall apply to the competent authority and ESMA for validation of that change. The CCP shall enclose an independent validation of the intended change to its applications. The competent authority and ESMA shall each confirm the receipt of the complete application to the CCP.
1b.
Within 50 working days of the receipt of the complete applications, the competent authority and ESMA shall each conduct a risk assessment of the significant change and submit their reports to the college established in accordance with Article 18.
1c.
Within 30 working days of the receipt of the reports referred to in paragraph 1b, the college shall adopt a majority opinion in accordance with Article 19(3). Notwithstanding a provisional adoption in accordance with paragraph 1e, the competent authority shall not adopt a decision granting or refusing the validation of significant changes to models and parameters until such an opinion has been adopted by the college, unless the college has not adopted that opinion within the deadline.
1d.
Within 90 working days of the receipt of the applications referred to in paragraph 1a, the competent authority and ESMA shall each inform the CCP and each other 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 its competent authority and ESMA. The competent authority, in agreement with ESMA, 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.
In order to ensure consistent application of this Article, ESMA shall, after consulting EBA, other relevant competent authorities and the members of the ESCB, develop draft regulatory 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.
ESMA shall submit those draft regulatory technical standards to the Commission by 30 September 2012.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010.
5.
To ensure uniform conditions of application of this Article, ESMA shall, after consulting EBA, other relevant competent authorities and the members of the ESCB, develop draft regulatory technical standards specifying the conditions under which changes to the models and parameters referred to in paragraph 1 are significant.
ESMA shall submit those draft regulatory technical standards to the Commission by 2 January 2021.
Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010.