Institutions must meet higher capital requirements as long as CCPs are not qualified. Most of the Clearing organisations are working for many years on the derivative market. Will EBA (or national competent authorities) create an interim agreement for that special issue? CCPs are already supervised by their national financial authorities.
The Capital Requirements Regulation (CRR – EU 575/2013) differentiates between ‘qualified’ and ‘non-qualified’ Central Counterparties. A ‘Qualified Central Counterparty’ needs to be authorised by ESMA, related to article 14 of the European Market Infrastructure Regulation (EMIR – EU 648/2013) or – in case of third-country CCPs – they will be accepted under Article 25 of EMIR. Otherwise a Central Counterparty is a ‘non-qualified CCP’. ESMA has informed that there is no authorised Central Counterparty in Europe, and they do not expect authorisations until 1Q 2014. From an institution's point of view is it very important to manage their trade exposures by ‘Qualified CCPs’ because those circumstances have an impact on the capital requirements of institutions. If an institution transacts a derivative by a ‘Qualified CCP’, the derivative will have a risk weight of two per cent – in relation to Article 306 (1)(a) of CRR. Is the CCP ‘non-qualified’, the credit risk will be calculated accordingly to Article 107 (2 b) CRR – based on Article 306 (1b) – which means: Credit Risk Standardised Approach. Based on Article 112 (g) - which is the next step in that “waterfall-model” - the exposure class ‘Corporates’ has to be used. The table of Article 122 shows the risk weights for corporates, percentages between 20 and 150, which means normally 100 per cent. The next point is: CCPs have to be rated in accordance with article 136 et seq. Under this article EBA, EIOPA and ESMA have to formulate technical operating standards no later than 1st July 2014. (But this is only a 'sideshow'.) Institutions are in a difficult situation at the moment. Central question – two per cent or 100 per cent risk weigt for trade exposure?
If a central counterparty ("CCP") has been either authorised or recognised in accordance with Regulation (EU) No 648/2012 (EMIR), then it is a qualifying CCP and can be treated as such for the purposes of Regulation (EU) No 575/2013 (CRR).
If a CCP has not yet been authorised or recognised in accordance with EMIR and the grandfathering period (including any extension thereof) specified in Article 497 of the CRR has not yet elapsed, then the CCP can be treated as a QCCP for the purposes of the CRR.
If a CCP has not yet been authorised or recognised in accordance with EMIR and the grandfathering period (including any extension thereof) specified in Article 497 of the CRR has elapsed, then the CCP must be treated as a non-qualifying CCP for the purposes of the CRR.
Please also refer to Q&A 1126 for further details.
This question goes beyond matters of consistent and effective application of the regulatory framework. A Directorate General of the Commission (Directorate General for Internal Market and Services) has prepared the answer, albeit that only the Court of Justice of the European Union can provide definitive interpretations of EU legislation. This is an unofficial opinion of that Directorate General, which the European Banking Authority publishes on its behalf. The answers are not binding on the European Commission as an institution. You should be aware that the European Commission could adopt a position different from the one expressed in such Q&As, for instance in infringement proceedings or after a detailed examination of a specific case or on the basis of any new legal or factual elements that may have been brought to its attention.
Update 26.03.2021: This Q&A has not yet been reviewed by the European Commission in the light of the changes introduced to Regulation (EU) No 575/2013 (CRR).