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Version status: Entered into force | Document consolidation status: Updated to reflect all known changes
Version date: 15 March 2013 - onwards
Version 2 of 2

Article 24 Percentage

1. A CCP shall calculate the initial margins to cover the exposures arising from market movements for each financial instrument that is collateralised on a product basis, over the time period defined in Article 25 and assuming a time horizon for the liquidation of the position as defined in Article 26. For the calculation of initial margins the CCP shall at least respect the following confidence intervals:

(a) for OTC derivatives, 99,5 %;

(b) for financial instruments other than OTC derivatives, 99 %.

2. For the determination of the adequate confidence interval for each class of financial instruments it clears, a CCP shall in addition consider at least the following factors:

(a) the complexities and level of pricing uncertainties of the class of financial instruments which may limit the validation of the calculation of initial and variation margin;

(b) the risk characteristics of the class of financial instruments, which can include, but are not limited to, volatility, duration, liquidity, non-linear price characteristics, jump to default risk and wrong way risk;

(c) the degree to which other risk controls do not adequately limit credit exposures;