EBA · 2022_6382 Rejected question

SACCR - MPOR for derivatives between a clearing member and a CCP

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
279
Topic
Credit risk
Submitted by
Individual
Submitted
2022-02-21
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Question

Which is the MPOR that should be considered for derivatives between a clearing member and a CCP?

Background

According to article 279 quarter b of Regulation (EU) 2019/876, a MPOR of 5 days can be considered for derivatives between a client and a clearing member. This article does not specify differential treatment for transactions between a clearing member and a CCP. However, in consistency with article 279 quarter b, it seems to be able to apply a MPOR of 5 days in this type of derivatives. Please, can you confirm that this treatment is correct or should be applied a MPOR of 10 day corresponding to derivatives with daily collateral?
No answer published yet.

Original source: European Banking Authority, Q&A ID 2022_6382

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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