The Chair of the European Parliament’s Committee on Economic and Monetary Affairs, Irene Tinagli (S&D, Italian), recommended on Monday 6 March that no objections be raised to the European Commission’s delegated regulation of 20 January 2023 amending delegated regulation (EU) 2015/63 as regards the methodology for the calculation of liabilities arising from derivatives.
The delegated regulation reinstates the derivatives calculation methodology in force up to and including the 2022 contribution cycle, which had introduced a new methodology that was not suitable for the purpose of calculating contributions to resolution financing arrangements.
The methodology relates to the leverage of derivatives and allows for the determination of liabilities related to a derivative. These changes replaced the former Current Exposure Method (CEM) for calculating the value of derivatives using the new Standardised Approach – Counterparty Credit Risk (SA-CCR).
This delegated act comes at a time of high volatility in the energy derivatives market as a result of the war in Ukraine and the resulting socio-economic context.
To consult the decision recommendation: https://aeur.eu/f/5nu (Original version in French by Anne Damiani)