Version in force , Modified +2,133 −1,466§
Amended by Regulation (EU) 2019/2033 32019R2033 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2021/558 32021R0558 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2020/873 32020R0873 on EUR-Lex (external, EUR-Lex)
dates removed: 2014-06-30
Explanation, written by a model and checked against the cited text
Paragraph 1 now refers to institutions in the singular ('An institution ... shall calculate') rather than the plural formulation, and its cross-reference has been expanded to include Section 4 of Chapter 4 of this Title alongside Title VI.
Paragraphs 3 and 4, which previously set out shorter margin periods of risk and scalar multipliers for the Mark-to-Market, Standardised and Original Exposure Methods, have been replaced with new rules on margin periods of risk for clients and CCPs, disregarding certain netting-set limits, and treatment where a CCP retains variation margin, and new paragraphs 4 and 5 instead introduce fixed maturity factors of 0,21 by way of derogation from Article 281(2) and Article 282(4) for institutions using Section 4 or Section 5 methods.
The former paragraph 5, which mandated EBA to develop regulatory technical standards on margin periods of risk with a submission deadline of 30 June 2014, has been removed and replaced by new paragraphs 6 and 7 addressing the use of reduced exposure at default for CVA risk calculations and the recognition of collateral passed on to a CCP, including in multi-level client structures.
Cited: Art. 304, v1 (external, EUR-Lex) · Art. 304, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
texts differ too much for an inline diff; shown separately
Previous version, in force 28 December 2020 02013R0575-20201228
Article 304 Treatment of clearing members' exposures to clients 1. Where an institution acts as a clearing member and, in that capacity, acts as a financial intermediary between a client and a CCP, it shall calculate the own funds requirements for its CCP-related transactions with the client in accordance with Sections 1 to 8 of this Chapter and with Title VI of Part Three, as applicable. 2. Where an institution acting as a clearing member enters into a contractual arrangement with a client of another clearing member that facilitates, in accordance with Article 48(5) and (6), of Regulation (EU) No 648/2012, the transfer of positions and collateral referred to in Article 305(2)(b) of this Regulation for that client, and that contractual agreement gives rise to a contingent obligation for that institution, that institution may attribute an exposure value of zero to that contingent obligation. 3. An institution acting as a clearing member may apply a shorter margin period of risk when calculating the own funds requirement for its exposures to a client in accordance with the Internal Model Method. The margin period of risk applied by the institution shall not be less than five days. 4. An institution acting as a clearing member may multiply its EAD by a scalar when calculating the own funds requirement for its exposures to a client in accordance with the Mark-to-Market Method, the Standardised Method or the Original Exposure Method. The scalars that the institutions may apply are the following: (a) 0,71 for a margin period of risk of five days; (b) 0,77 for a margin period of risk of six days; (c) 0,84 for a margin period of risk of seven days; (d) 0,89 for a margin period of risk of eight days; (e) 0,95 for a margin period of risk of nine days; (f) 1 for a margin period of risk of ten days or more. 5. EBA shall develop draft regulatory technical standards to specify the margin periods of risk that institutions may use for the purposes of paragraphs 3 and 4. When developing those draft regulatory technical standards, EBA shall apply the following principles: (a) it shall define the margin period of risk for each of the types of contracts and transactions listed in Article 301(1); (b) the margin periods of risk to be defined in point (a) shall reflect the close-out period of the contracts and transactions referred to in that point. EBA shall submit those draft regulatory technical standards to the Commission by 30 June 2014. Power is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.
this version, in force 28 June 2021 02013R0575-20210629
Article 304 Treatment of clearing members' exposures to clients 1. An institution that acts as a clearing member and, in that capacity, acts as a financial intermediary between a client and a CCP shall calculate the own funds requirements for its CCP-related transactions with that client in accordance with Sections 1 to 8 of this Chapter, with Section 4 of Chapter 4 of this Title and with Title VI, as applicable. 2. Where an institution acting as a clearing member enters into a contractual arrangement with a client of another clearing member that facilitates, in accordance with Article 48(5) and (6), of Regulation (EU) No 648/2012, the transfer of positions and collateral referred to in Article 305(2)(b) of this Regulation for that client, and that contractual agreement gives rise to a contingent obligation for that institution, that institution may attribute an exposure value of zero to that contingent obligation. 3. Where an institution that acts as a clearing member uses the methods set out in Section 3 or 6 of this Chapter to calculate the own funds requirement for its exposures, the following provisions shall apply: (a) by way of derogation from Article 285(2), the institution may use a margin period of risk of at least five business days for its exposures to a client; (b) the institution shall apply a margin period of risk of at least 10 business days for its exposures to a CCP; (c) by way of derogation from Article 285(3), where a netting set included in the calculation meets the condition set out in point (a) of that paragraph, the institution may disregard the limit set out in that point, provided that the netting set does not meet the condition set out in point (b) of that paragraph and does not contain disputed trades or exotic options; (d) where a CCP retains variation margin against a transaction, and the institution's collateral is not protected against the insolvency of the CCP, the institution shall apply a margin period of risk that is the lower of one year and the remaining maturity of the transaction, with a floor of 10 business days. 4. By way of derogation from point (i) of Article 281(2), where an institution that acts as a clearing member uses the method set out in Section 4 to calculate the own funds requirement for its exposures to a client, the institution may use a maturity factor of 0,21 for its calculation. 5. By way of derogation from point (d) of Article 282(4), where an institution that acts as a clearing member uses the method set out in Section 5 to calculate the own funds requirement for its exposures to a client, that institution may use a maturity factor of 0,21 in that calculation. 6. An institution that acts as a clearing member may use the reduced exposure at default resulting from the calculations set out in paragraphs 3, 4 and 5 for the purposes of calculating its own funds requirements for CVA risk in accordance with Title VI. 7. An institution that acts as a clearing member that collects collateral from a client for a CCP-related transaction and passes the collateral on to the CCP may recognise that collateral to reduce its exposure to the client for that CCP-related transaction. In the case of a multi-level client structure, the treatment set out in the first subparagraph may be applied at each level of that structure.