(a) EMIR Article 38(3) states that “a CCP shall disclose to its clearing members and to its competent authority the price information used to calculate its end-of-day exposures to its clearing members”. In some cases, particularly for OTC products, the final prices used to value trades may be combined from different sources, for example quotes from different market participants. Should CCPs also disclose these intermediate price inputs?

(b) EMIR Article 38(1) states that “a CCP and its clearing members shall publicly disclose the prices and fees associated with the services provided”. What are the criteria for considering that the prices and fees are publicly disclosed?

(c) EMIR Article 38(5) states that “a CCP shall publicly disclose any breaches by clearing members of the criteria referred to in Article 37(1) and the requirements laid down in paragraph 1 of this Article” (i.e. Article 38 of EMIR). Through which tool should the CCP disclose this information?

(d) Article 38(1) of EMIR states that “a CCP and its clearing members shall publicly disclose the prices and fees associated with the services provided”. What information regarding prices and fees must CCPs and clearing members actually disclose in order to meet the requirement to “disclose fees and prices associated with the services provided”? In particular, do CCPs and clearing members need to publish a numerical figure or would a narrative or qualitative discussion of the factors that will drive prices and fees meet the requirement under Article 38(1) of EMIR? Furthermore, should the publicly disclosed prices and fees be those for a brand new client with no history, the average prices and fees across all clients or the lowest prices and fees charged to a client?

Where a CCP has established more than one default fund for the different classes of financial instruments it clears, is it compulsory under Article 35(3) of Commission Delegated Regulation No 153/2013 for the total amount of dedicated own resources referred to in Article 35(1) of Commission Delegated Regulation No 153/2013 to be allocated to each of the default funds in proportion to the size of each default fund, or just the minimum own resources required under Article 35(2) of Commission Delegated Regulation No 153/2013? In other words, can the CCP choose to allocate additional own resources above the minimum fungibly or must it allocate any additional own resources to specific default funds? If so, must it be allocated in the same proportion as it allocates the minimum amount?

Article 2(28) of EMIR provides that an “independent member” of the board means a member of the board who has no business, family or other relationship that raises a conflict of interests regarding the CCP concerned or its controlling shareholders, its management or its clearing members, and who has had no such relationship during the five years preceding his membership of the board. If a board member is considered independent in respect of the parent company of a CCP (according to the definition under Article 2(28) of EMIR), can this person also fulfil the requirements for being an independent board member of the CCP?

a) Article 3(3) of Commission Delegated Regulation No 2013/153 requires a CCP to ensure that the functions of the chief risk officer, chief compliance officer and chief technology officer are carried out by different individuals and provides that these positions shall be held by employees of the CCP entrusted with the exclusive responsibility of performing these functions. Can these officers have other duties in addition to taking responsibility for the risk, compliance and technology functions respectively?

b) Pursuant to Article 3(2) of RTS 153/2013, a CCP shall not share its staff with other group entities, unless under the terms of an outsourcing arrangement in accordance with Article 35 of EMIR. Does the term “staff” extend to the senior management of the CCP (for example the chief executive officer of the CCP) or is it limited to those individuals with clerical or administrative roles

(a) Articles 42(2), 42(3) and 43(2) of EMIR require each CCP to hold financial resources including a default fund sufficient in size to cover losses arising from the default of the two largest members. However the CCP has the right in a default to transfer the positions of clients with porting arrangements to other clearing members. For the purposes of calculating the size of its default fund(s) and members’ contributions, can a CCP exclude those client positions that are held in segregated and portable accounts?

(b) Article 30 of Commission Delegated Regulation (EU) No 153/2013 requires that “when implementing an internal policy framework for defining the types of extreme but plausible market conditions thatcould expose the CCP to greatest risk, a CCP shall specify (for each market to which a CCP is exposed in a clearing member default scenario) extreme but plausible conditions based at least on… (a) a range of historical scenarios… that would have exposed the CCP to greatest financial risk; and (b) a range of potential future scenarios… drawing on both quantitative and qualitative assessments of potential market conditions”.
1. Is a CCP required to exactly replicate actual historical events in order to satisfy the requirement to use a range of historical scenarios or can a CCP use only quantitative and qualitative scenarios which are generated based on statistics derived from historical price changes?
2. When replicating actual historical events is a CCP required to exactly replicate actual historical price changes in all cleared instruments or can a CCP approximate prices moves based on similar instruments or market indices?