CCP12 supports SA-CCR, warns against punitive charges to clearing firms

Position of CCP12 in regards to the Basel III Leverage Ratio Framework

CCP12 would like to emphasize again its reservations in regards to the Basel III Leverage Ratio (LR) and especially the application of the LR on CCP cleared client business. In accordance with the letter on concerns regarding the consequences of the current measurement of risk of positions in exchange traded derivatives in the context of the Basel III Leverage Ratio (LR) Framework published by Optiver and other industry participants in July CCP12 would like to like to highlight following points.

As already stated in its response to BCBS in 2016 concerning the revision of the Leverage Ratio Framework, CCP12 supports in general the concept of the leverage ratio, however capital requirements shall be kept at appropriate levels. Additionally, the introduction of the Standard Approach for Measuring Counterparty Credit Risk (“SA-CCR”) model is a good solution to proceed with, as the calculation in the Current Exposure Method (“CEM “) does not take into account risk reducing metrics in derivatives contracts, which will unnecessarily increase capital costs and create further pressure for market makers to exit the business. In our opinion it would also be very beneficial to use the SA-CCR with immediate effect.

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