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05 April 2016

EMIR: ESMA proposes one-day margin period of risk for CCP client accounts

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ESMA's RTS detail the margin period of risk for CCP client accounts, e.g. the amount of initial margins collected by a CCP. The amended RTS would allow EU-based CCPs to margin on a one-day MPOR basis.

The amended draft RTS reduces from two-day to one-day the MPOR for gross omnibus accounts and individual segregated accounts for exchange traded derivatives and securities. Following the US equivalence decision by the European Commission, the amended RTS would provide a level playing field between European and US CCPs of one-day MPOR. The client account structures together with the conditions that they need to respect for the CCPs to margin on a one-day MPOR basis ensure a sufficient level of protection to the CCPs and a greater protection for clients.

ESMA received a strong support from the respondents to the CP on the proposed amendment introducing the possibility for EU CCPs to margin on a one day gross basis for clients’ accounts. The responses to the consultation confirm that a one day gross account structure provides a sufficient level of protection to the CCPs and to the clients.

On the proposed conditions linked to this type of account, the majority of the respondents are of the view that they are needed to ensure the safety of the CCPs. Some clarifications or slight amendments have been introduced following the comments received, in particular on intraday margins calls and on entities belonging to the same group as clearing members.

Next Steps

Following the submission of the amended draft RTS to the European Commission, it has three months to decide whether to endorse ESMA’s draft RTS.

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