(fra kommisjonsforordningen)

(1) Regulation (EU) No 648/2012 has been amended by Regulation (EU) 2024/2987 of the European Parliament and of the Council. Those amendments have, inter alia, enhanced the provisions regarding margin transparency by central counterparties (CCPs) towards their clearing members, and introduced margin transparency requirements in Article 38 of Regulation (EU) No 648/2012 for clearing members providing clearing services and clients providing clearing services (‘clearing service providers’ or ‘CSPs’) towards their clients. 

(2) The information to be provided by a CCP on the design and functioning of its initial margin model should enable the CCP’s clearing members to obtain an in-depth understanding of how the margin model works, so that they can better predict their margin obligations towards the CCP. Such information should therefore cover all elements of the initial margin model. In that context, elements of the initial margin model should be understood as the core margin and all margin add-ons. The information should be clear on the type of model used for the core margin, including parametric model, historical simulation or Monte Carlo simulation. Furthermore, that information should include details on the model parameters, including the confidence level, the lookback period, and the time horizon for the liquidation period, with a description of their functions. The CCP should also provide a detailed description of the model including logical steps and mathematical and statistical specifications. The information should also include the risk that each initial margin model element covers, and where the core margin covers for other risks than market risk, the information should be clear on how the additional risks are taken into account. As regards the margin add-ons, the information should include, where applicable, margin add-ons which cover the risk of the individual portfolios, including liquidity, concentration and wrong-way risk add-ons; margin add-ons which cover the risk of the aggregate impact of all the portfolios of the clearing member, including default fund concentration addon; margin add-ons related to the individual risk of the clearing member, including credit risk add-on; and other margin add-ons, including margin requirements related to model risk or resulting from margin overrides. In addition, the CCP should provide information on the operational arrangements related to margin calls and on the governance procedures related to the review of the initial margin model by the CCP. 

(3) In order for clearing members to understand the key assumptions and limitations of the CCP’s initial margin model, the CCP should provide to their clearing members a description of the events that could lead to a breach of the assumptions and qualitative and quantitative information on the potential impact on margin requirements, and information on the performance of the model and on the behaviour of the model during stressed market conditions, including at least the backtesting results. The CCP should also provide information with regard to the processes it would use to regularly monitor and, where necessary, revise the level of its margins to reflect current market conditions taking into account potentially procyclical effects of such revisions; information with regard to the conditions under which an override of the initial margin model could be required, including during a market stress event; and information on how extraordinary margin calls, in case of a margin model override, would be calculated and called. In that context, extraordinary margins should be understood as the additional margins referred to in Article 56 of Commission Delegated Regulation (EU) No 153/2013. 

(4) All the information on the CCP’s initial margin model and the description of the CCP’s margin simulation tool scenarios, should be provided by the CCP to its clearing members in a documented form, which should be written in a clear and comprehensive manner so that the clearing members can obtain an in-depth understanding of how the margin model works, and be up to date. Clearing service providers should also provide that information to their clients. 

(5) As regards the CCP’s margin simulation tool, in order for a clearing member to be able to distinguish between the impact on the initial margin in respect of its existing positions and the initial margin in respect of new transactions under a hypothetical scenario, the amount provided in the simulation tool referring to the initial margin for the existing positions should be distinguished from the amount for new transactions. The simulation tool should include the core margin and the margin add-ons that are related to the portfolio where the new transactions would be margined, and thus systematically required across clearing members, including the portfolio concentration add-on. The CCP, in its simulation tool, should clearly list the type of risks covered by each amount provided. For the avoidance of doubt, the amount for each add-on should be provided separately. 

(6) In order for clearing members to be able to estimate and better predict their margin requirements, in particular under stressed market conditions, it is necessary to provide for a number of scenarios to be included in CCPs’ margin simulation tools. Therefore, in addition to the current market conditions scenario, a CCP should include in its margin simulation tool three hypothetical and two historical market stress scenarios identified by the CCP. However, in order to ensure a minimum level of comparability, the design of those scenarios should be subject to certain requirements, in particular as regards the impact on the initial margin model. In addition, recognising the heterogeneity of CCPs, the CCP should consider identifying and including, in its simulation tool, additional market stress scenarios, taking into account its size, complexity, risk management practices, membership structure and the characteristics of the products it clears. 

(7) Clearing service providers might use different methodologies to calculate the margins called to their clients for transactions cleared through a CCP. Some clearing service providers use the margin model of the CCP without applying additional margins. Some clearing service providers use the margin model of the CCP and apply additional margins, including by applying CSP multipliers, coefficients or add-ons to account for counterparty or credit risk or by calculating clients’ margins on an individual or gross basis compared to a net basis calculation. Some clearing service providers do not use the margin model of the CCP as they use their own proprietary models. It is therefore necessary to take such differences into account when specifying the margin transparency requirements for clearing service providers, so that all clients can benefit equally from those requirements and so as to ensure a level playing field in clients’ understanding of liquidity demands and preparedness for potential future margin calls, irrespective of the methodology used by their clearing service provider. The scope of margin transparency requirements for clearing service providers is limited to client transactions cleared through a CCP. 

(8) In order for clients to understand the operational arrangements regarding margins, all CSPs should be required to provide their clients with information on the operational arrangements for the collection of any margin requirements, including the deadlines for meeting margin calls, collateral posting cut-off times, collateral collection schedule, thresholds which might trigger margin calls where applicable, exposure limits where applicable, and for the restitution of excess collateral. 

(9) A clearing service provider should provide its clients with margin simulations that are relevant to those clients. The relevance of those simulations will depend on the margin model applied by a clearing service provider when calculating the margins that the clearing service provider will require from a client. In this respect, a clearing service provider may use the margin model of the CCP and not require any additional margins, use the margin model of the CCP and require additional margins from a client, or use a different margin model than the one used by the CCP.

 (10) A clearing service provider that uses the margin model of the CCP and does not require any additional margins should provide its client with margin simulations indicating the initial margin amount required for each CCP. 

(11) A clearing service provider that uses the margin model of the CCP and requires additional margins from a client, should provide information to the client with regard to the rationale for, and magnitude of, those deviations in order for that client to understand how the margins required by its clearing service provider differ from the margins required by the CCP. That clearing service provider should also provide its client with information on the risks that each type of the additional margin covers and a detailed description of how such risk is calculated including during stressed market conditions; and the procedures to review the calculation of the additional margin requirements, with the applicable notice period. In addition, that clearing service provider should provide its client with margin simulations distinguishing, for each CCP, between the initial margin amount required using the CCP margin model and any additional margin amounts required by the clearing service provider, and between the amounts for each type of additional margin required by the clearing service provider, so that the client can easily identify the deviations and differences between the margins called by the CCP and the margins charged by the clearing service provider. 

(12) A clearing service provider that uses a different margin model than the one used by the CCP should provide its client, to which the margin model of the clearing service provider applies, with information with regard to the rationale for, and magnitude of, the margin deviations in order for that client to understand how the margins required by its clearing service provider differ from the margins required by the CCP. That clearing service provider should also provide its client with information on the key elements of the design and limitations of its model, including information on the risk that each margin model element (i.e. the core margin and any add-ons) covers and how it is calculated including during stressed market conditions; the type of model used for the core margin; the model parameters, such as the confidence interval, the lookback periods, and the time horizon for the lookback period, with a description of their respective functions; and the procedures to review the methodology for the calculation of the margins, with the applicable notice period. Additionally, that clearing service provider should provide its client with margin simulations distinguishing between the initial margin amounts required for each CCP using the CCP margin model and the amount required by the clearing service provider, and between the core margin amount and amounts for each of the margin add-ons of the model used by the clearing service provider. For the avoidance of doubt, the amount for each add-on should be provided separately. 

13) In order to reduce administrative burden, it is also necessary to establish the frequency of the margin information and margin simulations disclosures by all clearing service providers to their clients. Therefore, a clearing service provider should provide the respective margin information to a client when the client is onboarded and when there are material changes to that information. In addition, a clearing service provider should provide margin simulations to a client when the client is onboarded and in addition upon request of the client. 

(14) In order for clients to be able to estimate and better predict their margin requirements, in particular under stressed market conditions, it is necessary to provide for a number of scenarios to be included in clearing service providers’ margin simulations. Therefore, in addition to the current market conditions scenario, all clearing service providers should include in their margin simulations at least three hypothetical and two historical market stress scenarios. In that respect, clearing service providers should not be required to tailor the scenarios to the individual situation of each client and may, instead, use the same scenarios as the ones used by the CCP in its margin simulation tool. However, the margin simulations to be provided by clearing service providers should not be understood as interactive simulation tools as such a requirement would be disproportionate. Instead, clearing service providers are expected to provide their clients with at least the various amounts of margins that would be required from the clients under the different scenarios. 

(15) CCPs should be given sufficient time to make the necessary changes to their existing simulation tools in order to meet the new requirements applicable to those tools. Similarly, clearing service providers should also be given sufficient time to implement the requirements related to the simulations they are required to provide to their clients. The date of application of the corresponding provisions of this Regulation should be therefore deferred. 

(16) This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Securities and Markets Authority (ESMA). 

(17) ESMA has developed the draft regulatory technical standards in consultation with the European Banking Authority and the European System of Central Banks. ESMA conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and the Council