In order to incentivise the use of central counterparties (CCPs), and in line with the international standards that amended the Basel II text, the Capital Requirements Regulation (CRR) introduces a special treatment for centrally cleared derivatives. In this respect, these draft RTS deal with the capital requirements that institutions acting as clearing members need in order to calculate their exposures to clients arising from cleared derivatives. These draft RTS do not deal with institutions' exposures to central counterparties (CCPs).

 

In particular, these draft Regulatory Technical Standards (RTS) specify the level of a particular parameter, the margin period of risk, that clearing members may use when they apply the Internal Model Method (IMM) or other non-internal methods to calculate the regulatory requirements for Counterparty Credit Risk (CCR). The proposed methodology aims at properly capturing the risk arising from derivatives exposures to clients adding very limited operational burden on institutions. This is done by identifying the liquidation periods estimated by CCPs for margin purposes as proxies for the margin periods of risk.

 

Comments to this consultation can be sent to the EBA by 9 May, 2014. A public hearing will take place at the EBA premises on 27 March 2014 from 14:00 to 16:00 hours UK time.

 

Press release

 

Consultation Paper