+49. pants Pārskats par modeļiem, stresa testiem un atpakaļejošām pārbaudēm
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49. pants Pārskats par modeļiem, stresa testiem un atpakaļejošām pārbaudēm

1. Pārskats

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49. pants 1.
CCP regulāri pārskata modeļus un parametrus, kas pieņemti, lai noteiktu tā maržas prasības, iemaksas saistību neizpildes fondā, nodrošinājuma prasības un citus riska kontroles mehānismus. CCP modeļiem bieži piemēro stresa testus saskaņā ar stingriem kritērijiem, lai novērtētu to noturību ārkārtējos, taču iespējamos tirgus apstākļos, un veic atpakaļejošas pārbaudes, lai novērtētu pieņemtās metodikas ticamību. CCP saņem neatkarīgu apstiprinājumu, informē savu kompetento iestādi un EVTI par šādu testu rezultātiem un saņem no tām apstiprinājumu saskaņā ar 1.a līdz 1.e punktu, pirms tas pieņem jebkādas būtiskas izmaiņas modeļos un parametros.

Ja CCP plāno pieņemt izmaiņas modelī vai parametrā, kas minēts pirmajā daļā, tas veic vienu no šādām darbībām:

a) 

ja CCP uzskata, ka plānotās izmaiņas ir būtiskas, kā norādīts 1.i punktā, iesniedz pieteikumu izmaiņu apstiprināšanai saskaņā ar šajā pantā noteikto procedūru;

b) 

ja CCP uzskata, ka plānotās izmaiņas ir nebūtiskas, kā norādīts 1.i punktā, iesniedz pieteikumu izmaiņu apstiprināšanai saskaņā ar 49.a pantā noteikto procedūru.
Article 49 1a.
All changes to models and parameters not assessed under Article 49a shall be assessed in accordance with the procedure laid down in this Article.

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.
Article 49 1b.
Where a CCP intends to adopt any change to a model or parameter referred to in paragraph 1, it shall submit an application for validation of such change in an electronic format via the central database. That application shall be immediately shared with the CCP’s competent authority, ESMA and the college referred to in Article 18. The CCP shall enclose an independent validation of the intended change to its application.

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.
Article 49 1c.
The CCP’s competent authority and ESMA shall each assess, within 10 working days of the acknowledgement of receipt of the application, whether the application contains the documents required and whether those documents contain all the information required pursuant to paragraph 5, point (d).

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.
Article 49 1d.

Within 40 working days of concluding that all documents and information have been submitted in accordance with paragraph 1c:

(a) 

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

(b) 

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.
Article 49 1e.
Within 10 working days of receipt of the opinion of the college referred to in Article 18, or after the expiry of the deadline for providing that opinion, whichever is earlier, the CCP’s competent authority and ESMA shall each grant or refuse the validation, taking into account the reports referred to in paragraph 1d, first subparagraph of this Article, and that opinion, and shall inform each other in writing thereof, providing a fully reasoned explanation for the grant or refusal. Where the CCP’s competent authority or ESMA has not validated the change, the validation shall be refused.

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.
Article 49 1f.
The CCP’s competent authority shall inform the CCP, within the deadline referred to in paragraph 1e, whether the validations have been granted or refused and shall provide a fully reasoned explanation therefor.
Article 49 1g.
The CCP may not adopt any significant change to a model or parameter referred to in paragraph 1 before obtaining validation by both its competent authority and ESMA.

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.
Article 49 1h.
Changes to parameters that are the result of applying a methodology that is part of a validated model, either due to external input or due to a regular review or calibration exercise, shall not be considered changes to models and parameters for the purpose of this Article and Article 49a.
Article 49 1i.

A change shall be considered significant where at least one of the following conditions is met:

(a) 

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);

(b) 

the structure or the structural elements of the margin model are changed;

(c) 

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;

(d) 

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;

(e) 

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;

(f) 

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;

(g) 

the methodology applied to determine the concentration risk a CCP has towards an individual counterparty is changed, such that the CCP’s overall exposure to that counterparty decreases or increases significantly;

(h) 

the methodology applied to value collateral, or calibrate collateral haircuts, is changed, such that the total value of collateral decreases or increases significantly;

(i) 

the change could have a material effect on the overall risk of the CCP.
49. pants 2.
CCP regulāri pārbauda saistību neizpildes gadījumā piemērojamo procedūru galvenos aspektus un veic visus vajadzīgos pasākumus, lai nodrošinātu, ka visi tīrvērtes dalībnieki tos saprot un var veikt atbilstošus pasākumus, lai attiecīgi rīkotos saistību neizpildes gadījumā.
49. pants 3.
CCP publisko galveno informāciju par tā riska pārvaldības modeļiem un pieņēmumiem, lai veiktu 1. punktā minētos stresa testus.
49. pants 4.

Lai nodrošinātu šā panta konsekventu piemērošanu, EVTI pēc apspriešanās ar EBI, citām attiecīgajām kompetentajām iestādēm un ECBS dalībniekiem izstrādā regulatīvo tehnisko standartu projektu, kurā nosaka:

a) 

tādas pārbaudes, kas jāveic dažādām finanšu instrumentu klasēm un portfeļiem;

b) 

tīrvērtes dalībnieku vai citu ieinteresēto personu iesaistīšanu pārbaudēs;

c) 

pārbaužu biežumu;

d) 

laikposmu, kurā veic pārbaudes;

e) 

būtisko informāciju, kas minēta 3. punktā.

EVTI līdz 2012. gada 30. septembrim šo regulatīvo tehnisko standartu projektu iesniedz Komisijai.

Komisijai tiek piešķirtas pilnvaras saskaņā ar Regulas (ES) Nr. 1095/2010 10. līdz 14. pantu pieņemt šā punkta pirmajā daļā minētos regulatīvos tehniskos standartus.
49. pants 5.

EVTI ciešā sadarbībā ar ECBS dalībniecēm izstrādā regulatīvo tehnisko standartu projektu, lai sīkāk precizētu:

a) 

kas ir būtisks palielinājums vai samazinājums 1.i punkta a) un c) līdz h) apakšpunkta nozīmē;

b) 

elementus, kas jāņem vērā, novērtējot, vai ir izpildīts kāds no 1.i punktā minētajiem nosacījumiem;

c) 

citas izmaiņas modeļos, par kurām var uzskatīt, ka uz tām jau attiecas apstiprinātais modelis un ka tādēļ tās neuzskata par modeļa izmaiņām un uz tām neattiecas šajā pantā vai 49.a pantā noteiktās procedūras; un

d) 

to nepieciešamo dokumentu sarakstus, kas jāpievieno apstiprināšanas pieteikumam saskaņā ar šā panta 1.c punktu un 49.a pantu, un informāciju, kas šādos dokumentos iekļaujama, lai pierādītu, ka CCP atbilst visām piemērojamajām šīs regulas prasībām.

Prasītie dokumenti un informācijas līmenis ir samērīgs ar modeļa apstiprināšanas veidu, taču ietver pietiekami detalizētu informāciju, lai izmaiņas varētu pienācīgi analizēt.

Pirmās daļas a) apakšpunkta nolūkā EVTI dažādiem 1.i punkta apakšpunktiem var noteikt atšķirīgas vērtības.

EVTI iesniedz pirmajā daļā minēto regulatīvo tehnisko standartu projektu Komisijai līdz 2025. gada 25. decembrim.

Komisija tiek pilnvarota papildināt šo regulu, pieņemot šā punkta pirmajā daļā minētos regulatīvos tehniskos standartus saskaņā ar Regulas (ES) Nr. 1095/2010 10. līdz 14. pantu.
49. pants 6.
EVTI izstrādā īstenošanas tehnisko standartu projektu, kurā precizē centrālajā datubāzē iesniedzamā apstiprināšanas pieteikuma, kas minēts šā panta 1.b punktā un 49.a pantā, elektronisko formātu.

EVTI iesniedz pirmajā daļā minēto īstenošanas tehnisko standartu projektu Komisijai līdz 2025. gada 25. decembrim.

Komisija ir pilnvarota pieņemt šā punkta pirmajā daļā minētos īstenošanas tehniskos standartus saskaņā ar Regulas (ES) Nr. 1095/2010 15. pantu.

1.1 Atsauces

1.2 Identificētās prasības

1.3 Saistītie standarti

2. Identificētās prasības

Prasības

3. Saistītie standarti

Standarti
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