In the context of buy-back programmes under Article 5(1) of MAR, which transactions should be included in the average daily volume for the purpose of the calculation of the 25% limit foreseen in Article 3(3) of CDR 2016/1052? Should that include the total volume traded on-venue or should transactions executed under a pre-trade transparency waiver be excluded?

Is the ancillary activity exemption under Article 2(1)(j)(ii) of MiFID II available to persons whose main business is the execution of client orders in physically settled wholesale energy products traded on an organised trading facility (C6 carve-out products)?

(a) Stress-testing, back-testing and sensitivity analysis for new entities: What parameters, data and methodologies, time horizons should a new entity that applies for authorisation as CCP use in order to perform stress-testing, back-testing or sensitivity analysis, if the respective entity has no clearing members yet?

(b) Model validation for authorisation purposes: Is it compulsory for a CCP to conduct a comprehensive validation of models, methodologies and risk management framework before getting authorisation, in accordance with to Article 47 Model Validation (of the Commission delegated Regulation (EU) No 153/2013 of 19.12.2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 with regard to regulatory technical standards developed by ESMA on requirements for central counterparties)?

(a) When setting up models to access its clearing services (e.g. sponsored models, direct clearing models), whatever the purpose of such an access (e.g. to facilitate buy-side or small participant
access to CCPs, to allow for better capital treatment, or for other purposes)

1. can a CCP introduce a new category of entities which would have a direct contractual link with the CCP, mixing some of the clearing member and some of the client features;
2. who bears the responsibility to comply with the financial obligations vis-à-vis the CCP?

(b) Can a CCP set up a clearing model where a client (“the Client”) has the possibility to pay to the CCP the financial obligations corresponding to its positions in lieu of the clearing member?
(c) Can a CCP accept an individual as a clearing member?

Article 46 of Regulation (EU) No 648/2012 requires CCPs to accept highly liquid collateral with minimal credit and market risk to cover its initial and ongoing exposure to its clearing members. Article 37 of Commission Delegated Regulation (EU) 153/2013 requires CCPs to monitor on a regular basis the adequacy of their collateral policies and procedures, as new market developments may require changes.

a) What types of market developments should CCPs monitor?
b) How can CCPs ensure the monitoring of these market developments is efficient?