in force 2024-12-24 MODIFIED+558 −44§
Amended by Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2022/1671 32022R1671
applies from: unchanged
In paragraph 1, the wording on how a CCP determines exposures changed from what it estimates will occur to what it considers will arise, and the monitoring and revision obligation changed from regular monitoring with revision only if necessary to continuous monitoring with revision.
In paragraph 2, the opinion requirement on models and parameters was expanded from a single opinion under Article 19 to include an opinion by the college referred to in Article 18 in accordance with Article 19 plus a separate opinion of ESMA issued under Article 24a(7), first subparagraph, point (bc), following the procedure in Article 17b.
Paragraph 3 gained two additional sentences requiring a CCP to consider, to the extent possible, the potential impact of its intraday margin collections and payments on participants' liquidity position and on the CCP's resilience, and stating that a CCP shall not, to the extent possible, hold intraday variation margin payments after collecting all such payments due.
Cited: Art. 41, v1 · Art. 41, v2
text before / after
02012R0648-20220812 → 02012R0648-20241224
Article 41
Margin requirements
1. A CCP shall impose, call and collect margins to limit its credit exposures from its clearing members and, where relevant, from CCPs with which it has interoperability arrangements. Such margins shall be sufficient to cover potential exposures that the CCP estimates considers will occur arise until the liquidation of the relevant positions. They shall also be sufficient to cover losses that result from at least 99 % of the exposures movements over an appropriate time horizon and they shall ensure that a CCP fully collateralises its exposures with all its clearing members, and, where relevant, with CCPs with which it has interoperability arrangements, at least on a daily basis. A CCP shall regularly continuously monitor and, if necessary, and revise the level of its margins to reflect current market conditions taking into account any potentially procyclical effects of such revisions.
2. A CCP shall adopt models and parameters in setting its margin requirements that capture the risk characteristics of the products cleared and take into account the interval between margin collections, market liquidity and the possibility of changes over the duration of the transaction. The models and parameters shall be validated by the competent authority and subject to an opinion by the college referred to in Article 18 in accordance with Article 19. 19 and an opinion of ESMA in accordance with Article 24a(7), first subparagraph, point (bc), issued in accordance with the procedure set out in Article 17b.
3. A CCP shall call and collect margins on an intraday basis, at least when predefined thresholds are exceeded.
In doing so a CCP shall consider, to the extent possible, the potential impact of its intraday margin collections and payments on the liquidity position of its participants and on the resilience of the CCP. A CCP shall not, to the extent possible, hold intraday variation margin payments after it has collected all such payments due.
4. A CCP shall call and collect margins that are adequate to cover the risk stemming from the positions registered in each account kept in accordance with Article 39 with respect to specific financial instruments. A CCP may calculate margins with respect to a portfolio of financial instruments provided that the methodology used is prudent and robust.
5. In order to ensure consistent application of this Article, ESMA shall, after consulting EBA and the ESCB, develop draft regulatory technical standards specifying the appropriate percentage and time horizons for the liquidation period and the calculation of historical volatility, as referred to in paragraph 1, to be considered for the different classes of financial instruments, taking into account the objective to limit procyclicality, and the conditions under which portfolio margining practices referred to in paragraph 4 can be implemented.
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.