The European Banking Authority (EBA) has published a Consultation Paper concerning draft regulatory technical standards on the margin periods for risk used for the treatment of clearing members’ exposures to clients under article 304(5) of the Capital Requirements Regulation (the CRR).
Article 304(5) CRR gives the EBA a mandate to draft regulatory technical standards (RTS) specifying the minimum margin periods of risk (MPOR) that institutions acting as clearing members may use as input for the calculation of their capital requirements for exposures to clients.
MPOR are used both for institutions authorised to use the internal model method (IMM) and for those using the non-internal methods (i.e. mark-to-market, standardised method or original exposure method). In the first case, the MPOR will be an input for the internal model, whereas in the other cases, the MPOR determine a multiplier of the exposure value that is less than one. The draft RTS specify different classes of derivatives to be used in both the internal as well as the standardised approaches, hence covering the full spectrum of derivative types for all counterparty credit risk models.
The deadline for comments on the Consultation Paper is 9 May 2014.