Article 49
Review of models, stress testing and back testing
Where a CCP intends to adopt a change to a model or parameter referred to in the first subparagraph, it shall do one of the following:
where the CCP considers that the intended change is significant pursuant to paragraph 1i, it shall apply for validation of the change in accordance with the procedure laid down in this Article;
where the CCP considers that the intended change is not significant pursuant to paragraph 1i of this Article, it shall apply for validation of the change in accordance with the procedure laid down in Article 49a.
The adopted models and parameters, including any significant change thereto, shall be subject to an opinion of the college referred to in Article 18 in accordance with this Article.
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.
Within two working days of submission of such application, an acknowledgement of receipt of the application shall be sent to the CCP via the central database.
Where the CCP’s competent authority or ESMA concludes that not all documents or information required have been submitted, the CCP’s competent authority shall request the applicant CCP to submit additional documents or information that it or ESMA has identified as missing, via the central database. The timeframe set out in the first subparagraph of this paragraph may in that case be extended by a maximum of 10 working days. The application shall be rejected where the CCP’s competent authority or ESMA concludes that the CCP has failed to comply with any such request and, in such a case, the authority which concluded that the application is to be rejected shall inform the other authority thereof. The CCP’s competent authority shall inform the CCP of the decisions to reject the application via the central database and also inform the CCP of the documents or information identified as missing.
Within 40 working days of concluding that all documents and information have been submitted in accordance with paragraph 1c:
the competent authority shall conduct a risk assessment of the significant change and submit its report to ESMA and the college referred to in Article 18; and
ESMA shall conduct a risk assessment of the significant change and submit its report to the CCP’s competent authority and the college referred to in Article 18.
During the period referred to in the first subparagraph of this paragraph, the CCP’s competent authority, ESMA or any of the members of the college referred to in Article 18 may submit, via the central database, questions directly to, and request complementary information from, the applicant CCP and shall set a deadline by which the applicant CCP is to provide such information.
Within 15 working days of the receipt of the reports referred to in the first subparagraph, the college referred to in Article 18 shall adopt an opinion pursuant to Article 19 and transmit it to ESMA and the competent authority. Notwithstanding a provisional adoption in accordance with paragraph 1g, the competent authority and ESMA shall not adopt a decision granting or refusing the validation of significant changes to models or parameters until such an opinion has been adopted by the college referred to in Article 18, unless the college has not adopted that opinion within the deadline.
Where the CCP’s competent authority or ESMA does not agree with the opinion of the college referred to in Article 18, including with any of the conditions or recommendations contained therein, its decision shall contain full reasons and an explanation of any significant deviation from that opinion or those conditions or recommendations.
By way of derogation from the first subparagraph, where requested by the CCP, the competent authority, in agreement with ESMA, may allow for a provisional adoption of a significant change of a model or parameter prior to their validations where duly justified. Such a temporary change shall only be allowed for a certain period of time jointly specified by the CCP’s competent authority and ESMA. After the expiry of that period, the CCP shall not be allowed to use such change unless it has been validated pursuant to this Article.
A change shall be considered significant where at least one of the following conditions is met:
the change leads to a significant decrease or increase of the CCP’s total pre-funded financial resources, including margin requirements, default fund and dedicated own resources as referred to in Article 45(4);
the structure or the structural elements of the margin model are changed;
a component of the margin model, including a margin parameter or an add-on, is introduced, removed, or amended in a manner which leads to a significant decrease or increase of the output of the margin model at the CCP level;
the methodology used to compute portfolio offsets is changed leading to a significant decrease or increase of the total margin requirements for the financial instruments within the portfolio;
the methodology for defining and calibrating stress test scenarios for the purpose of determining the size of the CCP’s default funds and the size of the individual clearing members’ contributions to those default funds is changed, leading to a significant decrease or increase in the size of any of the default funds or of any individual default fund contribution;
the methodology applied to assess liquidity risk is changed, leading to a significant decrease or increase of the estimated liquidity needs in any currency or the total liquidity needs;
the methodology applied to value collateral, or calibrate collateral haircuts, is changed, such that the total value of collateral decreases or increases significantly;
the change could have a material effect on the overall risk of the CCP.
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:
the type of tests to be undertaken for different classes of financial instruments and portfolios;
the involvement of clearing members or other parties in the tests;
the frequency of the tests;
the time horizons of the tests;
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.
ESMA, in close cooperation with the members of the ESCB, shall develop draft regulatory technical standards to further specify;
what constitutes a significant increase or decrease for the purposes of paragraph 1i, points (a) and (c) to (h);
the elements to be considered when assessing whether one of the conditions referred to in paragraph 1i is met;
other changes to models that can be considered as already covered by the approved model and are therefore not considered a model change and not subject to the procedures established in this Article or Article 49a; and
the lists of required documents that are to accompany an application for validation pursuant to paragraph 1c of this Article and Article 49a and the information that such documents are to contain to demonstrate that the CCP complies with all relevant requirements of this Regulation.
The required documents and level of information shall be proportionate to the type of model validation but contain sufficient detail to ensure a proper analysis of the change.
For the purposes of the first subparagraph, point (a), ESMA may set different values for the different points of paragraph 1i.
ESMA shall submit the draft regulatory technical standards referred to in the first subparagraph to the Commission by 25 December 2025.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1095/2010.
ESMA shall submit the draft implementing technical standards referred to in the first subparagraph to the Commission by 25 December 2025.
Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph of this paragraph in accordance with Article 15 of Regulation (EU) No 1095/2010.