EBA欧洲银行-EBA-RTS-2014-09-Final-draft-RTS-on-Margin-Periods-of-Risk_20页_559kb

EBA Final Draft Regulatory Technical Standards on Margin Periods of Risk for Clearing Members' Exposures to Clients

Core Content

This document outlines the European Banking Authority (EBA)'s draft Regulatory Technical Standards (RTS) on Margin Periods of Risk (MPOR) for financial institutions acting as clearing members when calculating capital requirements for their exposures to clients under Article 304(5) of the Capital Requirements Regulation (CRR), Regulation (EU) No 575/2013.

The MPOR is a critical parameter in determining the capital requirements for counterparty credit risk. The EBA proposes that CCP liquidation periods be used as a proxy for MPOR, considering the similarities in how both are calculated and their sensitivity to market conditions.

Main Points and Key Information

1. Purpose of the RTS

• The RTS aim to define the minimum MPOR for clearing members, which is used as an input for capital requirement calculations.
• MPOR is used in both Internal Model Method (IMM) and non-IMM approaches.
• The minimum MPOR is set at five working days, as per Article 304(3) of the CRR.

2. Use of CCP Liquidation Periods

• CCP liquidation periods are considered the best available proxy for MPOR.
• These estimates are subject to supervisory approval and are harmonised under EMIR.
• The EBA recommends that clearing members use the longest liquidation period disclosed by qualifying central counterparties (QCCPs) for MPOR, unless the five-day minimum is longer.
• Additional periods in CCP liquidation estimates for novation to non-defaulting members are excluded from the MPOR calculation.

3. Differentiation Between CCPs and Clearing Members

• CCPs have additional resources (e.g., default funds) to absorb losses, while clearing members rely solely on their own capital.
• The risk profile of a CCP is different from that of a clearing member, particularly in terms of portfolio complexity and liquidity management.
• Despite these differences, the EBA concludes that using CCP liquidation periods as a proxy for MPOR is reasonable and prudent, given that it reflects market conditions and allows for dynamic risk assessment.

4. Regulatory Framework

• The RTS are based on the EBA's draft and public consultation.
• The EBA considered three options for setting MPOR:
  • Option 1: Static list of MPORs
  • Option 2: Internal estimates by clearing members
  • Option 3: Use of CCP liquidation periods as proxies

5. Final Recommendation

• The EBA selected Option 3 as the most suitable, due to its dynamic nature, availability of data, and alignment with EMIR.
• The final RTS sets MPOR as the longer of:
  • The regulatory minimum of five days, or
  • The longest liquidation period disclosed by the QCCP for the transactions in the netting set.

Key Considerations

1. Cost-Benefit Analysis

• Industry cost: Expected to be low, as the data is already available from CCPs.
• Supervisory cost: Minimal, as methodologies are already reviewed during CCP authorisation.
• Risks of a static MPOR: May not reflect changing market conditions or product liquidity.
• Risks of internal estimates: Could lead to inconsistent application and increased costs for non-IMM institutions.

2. Consultation Feedback

• Most respondents supported the approach, though some requested clarification on the use of weighted average liquidation periods.
• One respondent expressed concerns about the five-day minimum MPOR being applied equally to OTC and exchange-traded derivatives (ETDs), suggesting it may discourage central clearing for OTC products.

3. EBA's Response

• The weighted average approach is not adopted due to the risk of non-harmonised implementation and increased complexity.
• The five-day minimum is retained, as it is mandated by the CRR and cannot be changed under the current mandate.

Conclusion

The EBA draft RTS provide a flexible and risk-sensitive approach to setting MPOR for clearing members, using CCP liquidation periods as the best proxy. The five-day minimum is retained, and QCCP disclosures are used to ensure transparency and harmonisation. The final approach balances prudential requirements with market realities, and is expected to reduce capital burden while ensuring adequate risk coverage.