FIA, ISDA respond to ESMA consultation on MPOR for client accounts
On Feb. 1, FIA and ISDA submitted a response to ESMA's Consultation Paper reviewing Article 26 of RTS No 153/2013 regarding the margin period of risk (MPOR) for client accounts.
FIA and ISDA suggested that the regulatory framework for the calculation of margin should not prescribe one particular standard applicable to each element of a CCP’s margin calculation methodology. “We do not believe that a one-size fits all percentage threshold should be applied across all CCPs. A 120% materiality threshold for the collection of intraday margin seems arbitrary, especially in light of the varying credit risks posed by a CCP’s clearing members and the different risk profiles of each product a CCP clears,” FIA and ISDA wrote.
Instead, the calculation for client accounts at CCPs should take into account several factors and it should correspond with the risk and particular attributes of each product, asset class and portfolio, as well as the market it serves and the legal, regulatory and contractual framework of that market.
