EBA consults on draft technical standards for the specification of margin periods of risk for the treatment of clearing members exposures to clients

28 February 2014

The European Banking Authority (EBA) launches today a consultation on draft Regulatory Technical Standards (RTS) aimed at specifying the minimum margin periods of risk (MPOR) that institutions acting as clearing members may use for the calculation of their capital requirements for exposures to clients. These RTS will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union. The consultation runs until 9 May 2014.

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 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.

Consultation process

Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 9 May 2014.

All contributions received will be published following the close of the consultation, unless requested otherwise.

A public hearing will take place at the EBA premises on 27 March 2014 from 14:00 to 16:00 hours UK time.

Legal basis

The proposed draft RTS have been developed on the basis of Regulation of Regulation (EU) 575/2013 (Capital Requirements Regulation – CRR). The EBA is expected to submit these draft RTS to the European Commission for endorsement by 30 June 2014.