from: General Secretariat
to: Permanent Representatives Committee/Council
Subject: Proposal for a Regulation of the European Parliament and of the Council on OTC
derivatives, central counterparties and trade repositories
– Outcome of the European Parliament's proceedings
(Strasbourg, 4 to 7 July 2011)
1. A CCP shall accept highly liquid collateral, such as cash, gold, government and highquality corporate bonds, with minimal credit and market risk to cover its initial and ongoing exposure to its clearing members. For non-financial counterparties, CCPs may accept bank guarantees taking into account such guarantees in exposure to a bank that is a clearing member. It shall apply adequate haircuts to asset values that reflect the potential for their value to decline over the interval between their last revaluation and the time by which they can reasonably be assumed to be liquidated. It shall take into account the liquidity risk following the default of a market participant and the concentration risk on certain assets that may result in establishing the acceptable collateral and the relevant haircuts. These minimum standards shall be calibrated in accordance with the risk level and shall be regularly revised to reflect market conditions and in particular in response to emergency situations where it is concluded that doing so will mitigate systemic risk...."
[Mrt: This doc is about OTC derivatives, its handling, defaults, etc, need to still study, so far interesting]