FESE agrees with the objectives of EBA to harmonise the way investment firms can adjust K-DTF coefficients in exceptional circumstances and to recognise the nature of exchange traded options in the K-DTF formula. However, we believe that the proposed adjustment for K-DTF only in “situations of extreme volatility” would effectively have no real impact on K-DTF calculations and should be replaced by “stressed market conditions”. In addition, while FESE supports EBA’s intention on the usage of an options premium, we would like to highlight that further amendments may be required to result in such a state of affairs.
Regarding K-CMG, FESE believes that the current draft text could overestimate risk scenarios leading to disproportional capital restraints. We also believe that the methodology discourages investment firms to use multiple clearing members, even though, from a macroeconomic risk perspective, the use of multiple clearing members is advantageous for the overall market.
Finally, FESE considers that the IFR consolidation regime must be scoped cautiously and proportionately to investment firms’ risk profiles as the non-targeted application of the framework may render European investment firms uncompetitive.