EBA欧洲银行-EBA-DP-2012-01Draft-discussion-paper-on-RTS-on-Article-12-3-EMIR-_27页_280kb

EBA Discussion Paper Summary: Draft Regulatory Technical Standards on Capital Requirements for CCPs

Core Content

This EBA Discussion Paper (EBA/DP/2012/1) focuses on the development of Regulatory Technical Standards (RTS) for the capital requirements of Central Counterparties (CCPs) under the draft Regulation on OTC derivatives, CCPs and Trade Repositories. The paper aims to gather stakeholder input to inform the final RTS, which will be submitted to the European Commission for endorsement.

The paper outlines the regulatory framework and prudential considerations that will shape the capital requirements for CCPs. It emphasizes the need for CCPs to maintain sufficient capital to cover both operational risk and credit, counterparty, and market risks arising from non-clearing activities (such as investment operations). The capital should be at least equal to the higher of two amounts: (i) the operational expenses during a winding-down or restructuring period, and (ii) the sum of capital requirements for the aforementioned risks.

The EBA bases its proposals on the CPSS-IOSCO Principles for Financial Markets Infrastructure (PFMIs) and the Capital Requirements Directive (CRD), which includes the Basic Indicator Approach (BIA), Standardised Approach (SA), and Advanced Measurement Approach (AMA) for capital measurement. The EBA also considers ESMA's views and seeks feedback on the appropriateness of these approaches for CCPs.

Main Views and Key Information

Capital Requirements for CCPs

• The capital of a CCP should include retained earnings and reserves.
• It must be sufficient to ensure:
  • An orderly winding-down or restructuring over an appropriate time span.
  • Adequate protection against credit, counterparty, market, operational, legal, and business risks not covered by specific financial resources (margins, default funds, etc.).
• The capital should be at least equal to the higher of two amounts:
  • Operational expenses for a period of winding-down or restructuring.
  • Sum of capital requirements for operational risk and credit, counterparty, and market risks from non-clearing activities.

Operational Expenses for Winding-Down or Restructuring

• The EBA proposes that operational expenses should be calculated as:
  • Annual ongoing expenses divided by 12.
  • Multiplied by the estimated number of months needed for winding-down or restructuring.
• The time period should be the longer of:
  • Internally estimated time.
  • A minimum of 6–12 months.
• CCPs should regularly analyse cash flows and operating expenses under various adverse scenarios to estimate the required capital.
• The EBA is considering the use of IAS 7 as a minimum standard for operational expenses.

Operational Risk Capital Requirements

• Operational risk is defined as the risk of loss due to internal processes, people, systems, or external events.
• The EBA is evaluating the use of banking capital measurement approaches:
  • Basic Indicator Approach (BIA): Capital requirement is 15% of the average of the relevant indicator over three years.
  • Standardised Approach (SA): Involves dividing activities into business lines or product types and applying different multipliers.
  • Advanced Measurement Approach (AMA): Requires internal models and is considered for CCPs under strict standards and with a backstop regime.
• The EBA is considering the use of a 18% multiplier for the BIA, given that payment & settlement is a key activity for CCPs.

Credit and Market Risks from Non-Clearing Activities

• CCPs face credit risk from clearing activities (e.g., clearing members defaulting).
• They also face credit, counterparty, and market risks from non-clearing activities (e.g., investment operations).
• These risks should be covered by additional capital.
• The EBA suggests using the Standardised Approach for:
  • Credit risk: Capital requirement is 8% of risk-weighted assets.
  • Market risk: Capital requirement is calculated using position risk adjustment factors applied to market values.
• CCPs may be allowed to use internal models for these risks, following approval.

Next Steps

• The EBA will conduct a public consultation and analyse the cost-benefit of the proposed standards.
• The draft RTS will be submitted to the European Commission by 30 September 2012.
• The consultation period for the EBA's discussion paper is until 2 April 2012.
• The EBA is also collaborating with ESMA and the European Systemic Risk Board (ESRB).
• A joint discussion paper by the ESAs (EBA, ESMA, EIOPA) is expected to address risk mitigation techniques for OTC derivatives.

Key Questions for Stakeholders

General Questions

• Do you support the EBA's approach to capital requirements?
• Are there alternative approaches that are more appropriate and consistent with Article 12 of the Regulation?

Questions for CCPs

• What criteria do you use to estimate the time span for winding-down or restructuring?

• What is your estimated number of months for winding-down or restructuring?

• Is a minimum list of items (e.g., IAS 7) useful for calculating operational expenses?

• How do you currently measure and capitalise for operational risk?

• Is the banking framework the most appropriate method for operational risk capital requirements? If not, which approach would be more suitable?

• What would be the cost of using the Basic Indicator Approach for operational risk?

• Is the Basic Indicator Approach appropriate for CCPs?

• Which alternative indicator should the EBA consider for the Basic Indicator Approach?

• What business lines or product types are relevant for operational risk under the Standardised Approach?

• Should CCPs be allowed to use internal models for operational risk capital requirements?

• What other approaches should the EBA consider for operational risk measurement?

Questions for Credit, Counterparty and Market Risks

• How do you currently measure and capitalise for credit, counterparty, and market risks from non-clearing activities?
• Is the banking framework the most appropriate method for these risks? If not, which method would be more suitable?

Conclusion

The EBA seeks to develop harmonised and robust capital requirements for CCPs that align with international standards and the CRD framework, while also addressing the specific risks associated with their operations. The consultation process aims to ensure that the final RTS reflects the views of stakeholders, including CCPs, and that it is practical, cost-effective, and legally binding once endorsed by the European Commission.