CESR and European System of Central Banks issued a CP adapting their recommendations for CCPs to address the potential financial stability risks of OTC derivatives, due to the greater complexity of OTC derivatives and the relative illiquidity of certain contracts. Key recommendations focus on:  

  • determination and handling of credit events for CDS;  
  • different types of risk models for clearing specific products;  
  • structure and contributions to clearing funds; and  
  • the way CCPs calculate prices as a basis for margin calculations.  

The CP does not contain any revisions to address comments received in the first consultation on clearing and settlement more generally, but instead focuses on OTC derivatives specifically.