Calculation of the value of exposures resulting from the settlement of debt instruments and equities processed through a delivery-versus-payment (DvP) mechanism.

1. Can it be understood that exposures arising from the settlement of debt instruments and equities, both to the client and the CCP, do not have a capital requirement under Pillar 1, which seems to be the proposed treatment under Basel II (paragraph 89). 2. As for Article 390, 6, b do the exposures mentioned in question 1 fall outside large exposure calculations, regardless of being to the client or to the CCP? 3. Since the settlement of debt instruments and equities seams to falls out of the scope CRR’s own funds requirements for exposures to CCP’s, what is the corresponding treatment (for both own funds and large exposure calculations) for collateral posted and contributions to the default fund of a CCP for such instruments? 4. Should collateral posted as required by the CCP to the General Clearing Member but deriving from transactions with their non-clearing members be considered as an exposure to the clients? If so, the treatment would be such as in questions 1 and 2 for capital and large exposures calculation purposes?

The Reform of the Clearing, Settlement & Registry System in Spain should lead to a higher degree of standardisation between Spain's post-trade activities and those in other European countries. The reform entails, firstly, creating a Central Counterparty within post-trade services, which will interpose itself, on its own account, between buyers and sellers in securities trades, assuming the counterparty risk and clearing transactions where appropriate. The reform introduces several fundamental changes, one of them being a new structure of Members categories. One of those is General Clearing Member (GCM) of the CCP. GCM may register transactions for its own account or for the account of Clients, and is liable vis-à-vis the CCP for compliance with all obligations inherent to the transactions registered in their accounts, including the obligation to contribute to the Default Fund and those deriving from transactions with their Non-Clearing Members. The above mentioned obligations result, for a GCM in exposures to the client and to the CCP, as well as requirements to post collateral. To the CCP, the GCM’s exposures arise from the moment of novation of the trades as the CCP will act as counterparty and, from that point on, will act as seller in buy trades and as buyer in sell trades. Also the GCM has to contribute to the Default Fund and those deriving from transactions with their Non-Clearing Members. To their clients, the GCM’s exposures arise from fact that it has to comply with all the obligations inherent to the transactions registered in their behalf. The CCP requires collateral from the GCM to cover the risks from the transactions for its own account or for the account of Clients. GCM may call for collateral from its clients to cover the settlement risk derive from their transactions. In the answer to the Single Rulebook Question ID: 2013_474 , for large exposure purposes, trade exposures, including those arising from posted collateral, are exempted from the application of Article 395(1) of the CRR in accordance with Article 400(1)(j). More detailed information on the Reform may be found at the BMEClearing web site ( http://www.bmeclearing.es/docs/docsSubidos/SituacionReforma240914en.pdf )