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EBA consults on margin periods for risk under the CRR

14 March 2014  |  1482 views  |  0

The European Banking Authority (EBA) has published a consultation paper on draft regulatory technical standards (RTS) on the margin periods for risk used for the treatment of clearing members’ exposures to clients under the Capital Requirements Regulation (CRR).

In order to incentivise the use of central counterparties (CCPs) the CRR introduces a special treatment for centrally cleared derivatives.  The 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.

The proposed methodology to calculate the margin period of risk aims to capture the risk arising from derivatives exposures to clients adding very limited operational burden on institutions by identifying the liquidation periods estimated by CCPs for margin purposes as proxies for the margin periods of risk.

Comments are requested by 9 May 2014.

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