Regulation (EU) No 575/2013 of the European Parliament and of the CouncilDangos y teitl llawn

[X1 Article 287 U.K. Organisation structures for CCR management

1 . An institution using the IMM shall establish and maintain:

( a ) a risk control unit that complies with paragraph 2;

( b ) a collateral management unit that complies with paragraph 3.

2 . The risk control unit shall be responsible for the design and implementation of its CCR management, including the initial and on-going validation of the model, and shall carry out the following functions and meet the following requirements:

( a ) it shall be responsible for the design and implementation of the CCR management system of the institution;

( b ) it shall produce daily reports on and analyse the output of the institution's risk measurement model. That analysis shall include an evaluation of the relationship between measures of CCR exposure values and trading limits;

( c ) it shall control input data integrity and produce and analyse reports on the output of the institution's risk measurement model, including an evaluation of the relationship between measures of risk exposure and credit and trading limits;

( d ) it shall be independent from units responsible for originating, renewing or trading exposures and free from undue influence;

( e ) it shall be adequately staffed;

( f ) it shall report directly to the senior management of the institution;

( g ) its work shall be closely integrated into the day-to-day credit risk management process of the institution;

( h ) its output shall be an integral part of the process of planning, monitoring and controlling the institution's credit and overall risk profile.

3 . The collateral management unit shall carry out the following tasks and functions:

( a ) calculating and making margin calls, managing margin call disputes and reporting levels of independent amounts, initial margins and variation margins accurately on a daily basis;

( b ) controlling the integrity of the data used to make margin calls, and ensuring that it is consistent and reconciled regularly with all relevant sources of data within the institution;

( c ) tracking the extent of re-use of collateral and any amendment of the rights of the institution to or in connection with the collateral that it posts;

( d ) reporting to the appropriate level of management the types of collateral assets that are reused, and the terms of such reuse including instrument, credit quality and maturity;

( e ) tracking concentration to individual types of collateral assets accepted by the institution;

( f ) reporting collateral management information on a regular basis, but at least quarterly, to senior management, including information on the type of collateral received and posted, the size, aging and cause for margin call disputes. That internal reporting shall also reflect trends in these figures.

4 . Senior management shall allocate sufficient resources to the collateral management unit required under paragraph 1(b) to ensure that its systems achieve an appropriate level of operational performance, as measured by the timeliness and accuracy of margin calls by the institution and the timeliness of the response of the institution to margin calls by its counterparties. Senior management shall ensure that the unit is adequately staffed to process calls and disputes in a timely manner even under severe market crisis, and to enable the institution to limit its number of large disputes caused by trade volumes. ]

Editorial Information

X1 Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).