The European Association of CCP Clearing Houses (EACH) published its response to the European Securities and Markets Authority consultation on draft regulatory technical standards setting the conditions and documentation for validating CCP changes to models and parameters under EMIR Articles 49 and 49a. While supporting the EMIR 3 objective of leaner and clearer approval processes, EACH argues the draft RTS would reclassify many routine adjustments as “significant”, expanding the use of the full Article 49 procedure and adding governance and evidentiary demands that would slow model improvements. EACH’s comments focus on raising and aligning quantitative thresholds and narrowing what must be assessed and submitted. It considers the proposed thresholds too low in several areas, proposing higher materiality levels such as 20% for certain conditions, including where a 15% general threshold is proposed, and increasing a 5% collateral-value trigger to 20% to avoid treating most haircut-model changes as significant. For default fund-related tests, EACH asks ESMA to remove thresholds tied to default fund segmentation or liquidation groups and to recalibrate individual contribution triggers, suggesting alternatives including higher contribution and default-fund percentage tests and an absolute threshold linked to CCP “skin in the game”. It also challenges requirements for broad, production-parallel simulations of the entire risk framework and extended testing evidence, recommending that quantitative analysis be limited to elements directly affected by the change and that a 12-month stress test period be aligned to a 6-month approach. On process and documentation, EACH opposes a board certification requirement, supports more proportionate submission content (for example, limiting parameter and assumption listings to those affected), and calls for more workable lookback and “trigger” mechanics to prevent isolated outliers from forcing a full approval route. ESMA will consider comments received by 7 April 2025 and will publish contributions after the consultation closes unless respondents request non-disclosure.
European Association of CCP Clearing Houses 2025-02-07
European Association of CCP Clearing Houses urges ESMA to recalibrate EMIR 3 model change validation thresholds and documentation requirements
The European Association of CCP Clearing Houses (EACH) responded to the European Securities and Markets Authority's consultation on draft regulatory technical standards under EMIR Articles 49 and 49a. EACH supports the EMIR 3 objective of streamlined approval processes but argues the draft standards would unnecessarily classify routine adjustments as significant, complicating model improvements. EACH suggests raising quantitative thresholds and revising documentation requirements to prevent delays and excessive governance.