+Artigo 49.o Revisão dos modelos, testes de esforço e verificaçõesa posteriori
---+Artigo 49.o 1.
---+Article 49 1a.
---+Article 49 1b.
---+Article 49 1c.
---+Article 49 1d.
---+Article 49 1e.
---+Article 49 1f.
---+Article 49 1g.
---+Article 49 1h.
---+Article 49 1i.
---+Artigo 49.o 2.
---+Artigo 49.o 3.
---+Artigo 49.o 4.
---+Artigo 49.o 5.
---+Artigo 49.o 6.
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Artigo 49.o Revisão dos modelos, testes de esforço e verificaçõesa posteriori
1. Visão geral
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Regulamentação |
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Artigo 49.o 1.
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As CCP reveem periodicamente os modelos e parâmetros adotados para calcular os seus requisitos de margens, contribuições para o fundo de proteção, requisitos em matéria de garantias e outros mecanismos de controlo dos riscos. As CCP submetem os modelos a testes de esforço frequentes e rigorosos, a fim de avaliar a sua resiliência em condições de mercado extremas, mas realistas, e efetuam verificações a posteriori a fim de avaliar a fiabilidade da metodologia adotada. As CCP devem obter uma validação independente, informar a autoridade competente e a ESMA dos resultados dos testes efetuados e obter a validação nos termos dos n.os 1-A a 1-E antes de adotarem quaisquer alterações significativas dos modelos e parâmetros. Caso uma CCP tencione adotar uma alteração de um modelo ou parâmetro a que se refere o primeiro parágrafo, deve proceder de uma das seguintes formas:
a)
Se a CCP considerar que a alteração pretendida é significativa nos termos do n.o 1-I, deve solicitar a validação da alteração em conformidade com o procedimento previsto no presente artigo;
b)
Se a CCP considerar que a alteração pretendida não é significativa nos termos do n.o 1-I do presente artigo, deve solicitar a validação da alteração em conformidade com o procedimento previsto no artigo 49.o-A.
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Article 49 1a.
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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.
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Article 49 1b.
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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.
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Article 49 1c.
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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.
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Article 49 1d.
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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.
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Article 49 1e.
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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.
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Article 49 1f.
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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.
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Article 49 1g.
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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.
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Article 49 1h.
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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.
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Article 49 1i.
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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.
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Artigo 49.o 2.
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As CCPs devem proceder regularmente a ensaios dos principais elementos dos procedimentos que aplicam em caso de incumprimento e tomar todas as medidas razoáveis para assegurar que todos os membros compensadores os compreendam e disponham de mecanismos apropriados para fazer face a situações de incumprimento.
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Artigo 49.o 3.
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As CCPs devem divulgar publicamente as informações fundamentais respeitantes ao seu modelo de gestão de riscos e aos pressupostos adotados na realização dos testes de esforço a que se refere o n.o 1.
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Artigo 49.o 4.
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A fim de assegurar uma aplicação coerente do presente artigo, a ESMA, após consulta da EBA, das outras autoridades competentes responsáveis e dos membros do SEBC, redige projetos de normas técnicas de regulamentação destinadas a especificar:
a)
O tipo de ensaios a realizar para as diferentes categorias de instrumentos financeiros e carteiras;
b)
A participação nos testes dos membros compensadores e outros interessados;
d)
O horizonte temporal dos testes;
e)
A informação fundamental referida no n.o 3.
A ESMA apresenta esses projetos de normas técnicas de regulamentação à Comissão até 30 de setembro de 2012. É delegado na Comissão o poder de adotar as normas técnicas de regulamentação a que se refere o primeiro parágrafo, nos termos dos artigos 10.o a 14.o do Regulamento (UE) n.o 1095/2010.
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Artigo 49.o 5.
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A ESMA elabora, em estreita cooperação com os membros do SEBC, projetos de normas técnicas de regulamentação que especifiquem mais pormenorizadamente:
a)
O que constitui uma diminuição ou um aumento significativo para efeitos do n.o 1-I, alíneas a) e c) a h);
b)
Os elementos a ter em conta na avaliação do cumprimento de cada uma das condições a que se refere o n.o 1-I;
c)
Outras alterações dos modelos que possam ser consideradas como já abrangidas pelo modelo aprovado e, por conseguinte, não sejam consideradas alterações do modelo e não estejam sujeitas aos procedimentos estabelecidos no presente artigo ou no artigo 49.o-A; e
d)
As listas de documentos exigidos que devem acompanhar um pedido de validação nos termos do n.o 1-C do presente artigo e do artigo 49.oA e as informações que esses documentos devem conter para demonstrar que a CCP cumpre todos os requisitos pertinentes do presente regulamento.
Os documentos e o nível de informação exigidos devem ser proporcionais ao tipo de validação do modelo, mas conter pormenores suficientes para assegurar uma análise adequada da alteração. Para efeitos do primeiro parágrafo, alínea a), a ESMA pode fixar valores diferentes para as diferentes alíneas do n.o 1-I. A ESMA apresenta à Comissão os projetos de normas técnicas de execução a que se refere o primeiro parágrafo até 25 de dezembro de 2025. A Comissão fica habilitada a completar o presente regulamento através da adoção das normas técnicas de regulamentação a que se refere o primeiro parágrafo do presente número, nos termos dos artigos 10.o a 14.o do Regulamento (UE) n.o 1095/2010.
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Artigo 49.o 6.
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A ESMA elabora projetos de normas técnicas de execução que especifiquem o formato eletrónico do pedido a apresentar à base de dados central para a validação a que se refere o n.o 1-A do presente artigo e o artigo 49.o-A. A ESMA apresenta à Comissão os projetos de normas técnicas de execução a que se refere o primeiro parágrafo até 25 de dezembro de 2025. A Comissão fica habilitada a adotar as normas técnicas de execução a que se refere o primeiro parágrafo do presente número, nos termos do artigo 15.o do Regulamento (UE) n.o 1095/2010.
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1.1 Referências
1.2 Requisitos identificados
1.3 Normas relacionadas
2. Requisitos identificados
Requisitos
| Fonte |
Requisito |
3. Normas relacionadas
- Builddate: 30.01.2027 00:00:00 -Doknr: CELEX:32012R0648
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