EBA欧洲银行-Report-on-the-interaction-with-EMIR-28ESAS-2017-82-29_22页_741kb

Summary of EBA and ESMA Report on the Functioning of CRR with EMIR

Core Content

This report by the European Banking Authority (EBA) and the European Securities and Markets Authority (ESMA) analyses the potential duplication of regulatory requirements between the Capital Requirements Regulation (CRR) and the European Market Infrastructure Regulation (EMIR), particularly for institutions operating as Central Counterparties (CCPs) and their interactions with Clearing Members (CMs).

Main Issues and Findings

1. Capital Requirements for CCPs Holding a Banking Licence

• Background:

  • CCPs are defined as legal entities that interpose themselves between counterparties to contracts, becoming the buyer to every seller and the seller to every buyer.
  • EMIR requires CCPs to use specific financial resources (margins and default funds) to cover clearing-related risks, such as counterparty credit risk (CCR).
  • CRR applies to credit institutions, which includes banks, and outlines capital requirements for various risks, including credit, market, and operational risks.

• Key Findings:

  • The EMIR already covers the risks associated with clearing activities, including CCR, through dedicated financial resources.
  • The CRR, however, does not distinguish between clearing-related and other banking activities for CCPs, potentially leading to duplication.
  • Delegated Regulation (EU) No 152/2013 provides a framework for calculating capital for CCPs, but it does not include internal models, only standardized approaches.

• Conclusion and Proposal:

  • The EBA and ESMA recommend clarifying that for CCPs with a banking licence, the capital requirements in CRR should be limited to those risks not already covered by EMIR.
  • They propose that the Commission should clarify that Articles 92(3) a) to d) and f) of the CRR are limited to risks not covered by EMIR's financial resources.
  • Also, they suggest that Articles 300 to 309 of the CRR should not apply to CCPs with a banking licence that have interoperability arrangements in compliance with EMIR.

2. Leverage and Liquidity for CCPs

• Leverage Ratio (LR):

  • LR applies to all credit institutions, including CCPs with banking licences.
  • The application of LR to CCPs could constrain their clearing activities due to the low-risk, high-volume nature of clearing.
  • The EBA and ESMA support the idea of an exemption for margins posted by clients to CMs, as these are already covered by EMIR's clearing obligations.

• Liquidity Requirements (NSFR and LCR):

  • The EBA and ESMA note that liquidity requirements under EMIR are more stringent and tailored to the needs of CCPs.
  • The CRR's LCR and NSFR are not considered duplicative but may be less meaningful in the context of CCPs due to their unique liquidity management practices.
  • The EBA and ESMA do not propose changes to the LCR framework at this time.

3. Large Exposures

• Background:

  • The CRR imposes limits on large exposures, defined as exposures exceeding 25% of eligible capital or EUR 150 million.
  • CCPs with banking licences may face challenges in meeting these limits due to the nature of their operations and the need to deposit large amounts of cash with commercial banks.

• Conclusion:

  • The EBA and ESMA note that due to an explicit exemption in Article 390(6c) of the CRR, large exposure requirements do not currently affect CCPs.
  • They suggest that if the CRR framework changes, the issue may need to be reconsidered.

4. Difference in MPoR Application

• Background:

  • MPoR (Margin Period of Risk) is used in both CRR and EMIR but for different purposes.
  • Under the CRR, MPoR is part of the calculation of counterparty credit risk (CCR).
  • Under EMIR, MPoR is used to determine margin requirements for clearing activities.

• Key Findings:

  • The MPoR under CRR and EMIR are different in application and methodology.
  • The apparent inconsistency arises from the different objectives and calculations of the two regulations.
  • The EBA and ESMA argue that the two MPoR concepts are not directly comparable as they serve different regulatory purposes.

• Conclusion:

  • The EBA and ESMA conclude that the MPoR under the CRR and EMIR are distinct concepts and should not be treated as the same parameter.
  • No specific proposal is made for the MPoR, as the two frameworks are not considered to be in conflict.

5. Exposures to CCPs

• Background:

  • The report also examines exposures that clients or CMs may have to CCPs.
  • These exposures are subject to CRR rules, including large exposure requirements.

• Key Findings:

  • The EBA and ESMA highlight the need to ensure that these exposures are not subject to unnecessary capital requirements, especially where they are already mitigated by EMIR mechanisms.

• Conclusion and Proposal:

  • The EBA and ESMA recommend that the Commission clarify the applicability of CRR Articles 300 to 309 to CCPs with banking licences that have interoperability arrangements in compliance with EMIR.

Key Recommendations

• Clarify that capital requirements under CRR for CCPs with a banking licence should be limited to risks not already covered by EMIR.
• Explicitly exempt margins and default fund contributions from CRR capital requirements.
• Clarify that Articles 300 to 309 of the CRR do not apply to CCPs with banking licences that have interoperability arrangements in compliance with EMIR.
• Support the exemption of margins posted by clients to CMs from the LR framework to avoid conflict with EMIR's clearing obligations.
• Acknowledge that EMIR's liquidity requirements are more stringent and appropriate for CCPs, and that CRR liquidity rules are not duplicative.

Conclusion

The EBA and ESMA conclude that while there may be overlapping requirements between the CRR and EMIR, they are based on different definitions and purposes. The report recommends clarifications to ensure regulatory consistency and avoid unnecessary duplication, especially for CCPs with banking licences. The main focus is on aligning the capital, leverage, and liquidity requirements of CCPs with those of EMIR to ensure effective and non-conflicting regulatory oversight.