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Commission Delegated Regulation (EU) 2017/567 CHAPTER IV — DERIVATIVES

Article 17–Article 18 · 2 articles

Compiled from an official source version. Later amendments or repeals may not be reflected; the official text prevails. · Read the official text ↗

Elements of Portfolio compression

Article 17

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1. For the purposes of Article 31(1) of Regulation (EU) No 600/2014, investment firms and market operators providing portfolio compression shall fulfil the conditions in paragraphs 2 to 6. 2. Investment firms and market operators shall conclude an agreement with the participants to the portfolio compression providing for the compression process and its legal effects, including identifying the point in time at which each portfolio compression becomes legally binding. 3. The agreement referred to in paragraph 2 shall include all relevant legal documentation describing how derivatives submitted for inclusion in the portfolio compression are terminated and how they are replaced by other derivatives. 4. Before each compression process is initiated, investment firms and market operators providing portfolio compression shall: (a) require each participant to the portfolio compression to specify the participant's risk tolerance including specifying a limit for counterparty risk, a limit for market risk and a cash payment tolerance. Investment firms and market operators shall respect the risk tolerance specified by the participants in the portfolio compression; (b) link the derivatives submitted for portfolio compression and submit to each participant a portfolio compression proposal that includes the following information: (i) the identification of the counterparties affected by the compression, (ii) the related change to the combined notional value of the derivatives, (iii) the variation of the combined notional amount compared to the risk tolerance specified. 5. In order to adjust the compression to the risk tolerance set by the participants to the portfolio compression and in order to maximise the efficiency of the portfolio compression, investment firms and market operators may grant participants additional time to add derivatives eligible for termination or reduction. 6. Investment firms and market operators shall only perform the portfolio compression once all participants to the portfolio compression have agreed to the portfolio compression proposal.

Publication requirements for Portfolio compression

Article 18

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1. For the purposes of Article 31(2) of Regulation (EU) No 600/2014 investment firms and market operators shall make the following information public through an APA for each portfolio compression cycle: (a) a list of derivatives submitted for inclusion in the portfolio compression, (b) a list of derivatives replacing the terminated derivatives, (c) a list of derivatives changed or terminated as a result of the portfolio compression, (d) the number of derivatives and their value expressed in terms of notional amount. The information referred to in the first subparagraph shall be disaggregated per type of derivative and per currency. 2. Investment firms and market operators shall make public the information referred to in paragraph 1 as close to real-time as is technically possible and no later than the close of the following business day after a compression proposal becomes legally binding in accordance with the agreement referred to in Article 17(2).

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