Clearing members’ exposure to clients: EBA says “Keep it simple”

On 4 July 2014, EBA published the final draft RTS on the clearing members’ exposure to clients.

The RTS addresses the minimum margin periods of risk (MPOR) that financial institutions acting as clearing members may use as input for the calculation of their capital requirements for exposure to clients.

MPOR reflects the time period from the most recent exchange of collateral with a potentially defaulting client, until the transactions are closed out and the resulting market risk is re-hedged.

For the sake of simplicity, EBA would allow clearing members to copy and paste the CCPs’ estimates of the liquidation period for margin purposes, subject to the regulatory minimum of 5 days.

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