The European Banking Authority (EBA) has published its final draft regulatory technical standards (RTS) on the margin periods of risk (MPOR) used for the treatment of clearing members’ exposures to clients under Article 304(5) of the Capital Requirements Regulation (CRR).
The EBA was mandated under Article 304(5) to draft RTS specifying the minimum margin periods of risk that financial institutions acting as clearing members may use as input for the calculation of their capital requirements for exposures to clients. The draft RTS specify MPOR in a different manner for different classes of derivatives to be used in both the internal and standardised approaches, therefore covering the full spectrum of derivative types for all counterparty credit risk models. The draft RTS set the MPOR at a level that is equal to whichever is the longer period: the regulatory minimum of five days, or the liquidation period disclosed by the central counterparties.
