2017年-EBA欧洲银行管理局_Report_on_the_interaction_with_EMIR_28ESAS-2017-82_29_22页_738kb

Summary of EBA and ESMA Report on the Functioning of Regulation (EU) No 575/2013 (CRR) with Regulation (EU) No 648/2012 (EMIR)

Core Content

This report, prepared by the European Banking Authority (EBA) and the European Securities and Markets Authority (ESMA), examines the potential duplication of regulatory requirements between the Capital Requirements Regulation (CRR) and the European Market Infrastructure Regulation (EMIR), with a specific focus on institutions operating as central counterparties (CCPs). The objective is to ensure regulatory consistency and avoid unnecessary compliance burdens for competent authorities and market participants.

Main Areas of Analysis

The report analyses five key areas where potential duplication of requirements may arise:

1. Capital Requirements for CCPs Holding a Banking Licence

• Background: CCPs are legal entities that act as intermediaries in derivative transactions, taking on counterparty credit risk (CCR). They are required under EMIR to hold specific financial resources (margins and default funds) to mitigate such risks.
• CRR Perspective: The CRR applies to credit institutions and investment firms, requiring them to maintain capital for various risks. However, it does not distinguish between CCPs' clearing activities and other business activities.
• Key Finding: The capital requirements for CCPs under EMIR are already sufficient to cover the risks associated with clearing, including CCR. Therefore, applying additional CRR capital requirements for these activities would be redundant.
• Conclusion and Proposal: EBA and ESMA recommend that the Commission clarify that capital requirements in the CRR for CCPs with a banking licence should not apply to risks already covered by EMIR-specific financial resources. They also suggest that Articles 300 to 309 of the CRR should not apply to CCPs with a banking licence if they are compliant with EMIR interoperability arrangements.

2. Leverage and Liquidity for CCPs

• Leverage Ratio (LR): CCPs with a banking licence face challenges due to the low-risk, high-volume nature of clearing activities. The LR could constrain their operations.
• EMIR Exemption: The EBA and ESMA support the exemption of margins posted by clients to clearing members (CMs) from LR requirements, as it aligns with the clearing obligation under EMIR.
• Conclusion: EBA and ESMA recommend that the LR framework should not conflict with EMIR's clearing obligations. They also suggest that the Commission should consider exempting CCPs from LR requirements, pending international alignment.

3. Large Exposures

• CRR Requirements: Article 387 to 406 of the CRR sets limits on large exposures, which could be problematic for CCPs due to their significant reliance on commercial banks for liquidity.
• Exemption: Article 390(6c) of the CRR explicitly exempts CCPs from large exposure limits, avoiding any constraints.
• Conclusion: The current framework does not impose limitations on CCPs due to the exemption. Should this change in the future, further analysis may be required.

4. Difference in MPoR Application

• MPoR Definitions: The Margin Period of Risk (MPoR) under CRR and EMIR are used for different purposes. CRR uses it to calculate credit risk exposure, while EMIR uses it to determine margin requirements.
• Inconsistencies: The MPoR under EMIR may be shorter than that under CRR, leading to potential confusion.
• Conclusion: The MPoR under the two regulations serve different functions and are not directly comparable. Therefore, no duplication exists, and the difference is not a regulatory conflict.

5. Clients' Exposures to CMs

• Focus on Article 305 of the CRR: The report examines how clients' exposures to CMs are treated under the CRR, particularly in relation to segregation and porting of assets.
• Key Considerations: Segregation of client assets is crucial to ensure that they are not at risk of being used to cover CCPs' obligations. The legal opinion on segregation and porting is also relevant.
• Conclusion and Proposal: EBA and ESMA recommend that the Commission clarify that Articles 300 to 309 of the CRR are not applicable to CCPs with a banking licence that are compliant with EMIR interoperability arrangements.

Key Recommendations

• The Commission should clarify the overlap of capital requirements for CCPs holding a banking licence to avoid duplication.
• The wording of Article 305 of the CRR should be clarified to ensure that it does not apply to exposures of CCPs that are covered under EMIR.
• The LR and NSFR should be exempted for CCPs, in line with EMIR's clearing obligation and the nature of their business.
• The LCR should not be considered duplicative, as it is largely compatible with EMIR liquidity requirements.
• The MPoR under CRR and EMIR are different concepts and should not be compared directly.
• The large exposure requirements are currently not a constraint for CCPs due to the exemption in Article 390(6c) of the CRR.

Conclusion

The EBA and ESMA conclude that while the CRR and EMIR appear to have overlapping requirements for CCPs, they are based on different regulatory frameworks and objectives. The report recommends clarifications to avoid duplication and ensure consistency, particularly in capital and liquidity requirements, and to align with the EMIR's clearing obligations.