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Version date: 11 February 2014 - onwards

CCP Question 18: Use of margins posted by non-defaulted Clearing Members [last update 11 February 2014]

Article 45(4) of EMIR

Article 45(4) of EMIR - Use of margins posted by non-defaulted Clearing Members

(a) Can a CCP have provisions in their rules under which the CCP can reduce pro-rata the amount of variation margin it is due to pay clearing members with a positive change in their positions in order to cover losses resulting from the default of another clearing member (variation margin haircutting) where:

1. The variation margin reduction is limited to a pre-defined monetary amount (e.g. an assessment of up to EUR XX million per clearing member)?

2. The variation margin reduction is limited to an amount which is relative to the exposure that the clearing member brings to the CCP (e.g. an assessment of up to X times the clearing member’s prefunded default fund contribution)?

3. There is no pre-defined monetary or relative limit on the size of the variation margin reduction?

b) Can a CCP have provisions in their rules under which the CCP can use margins posted by a non-defaulting clearing member to cover a liquidity shortfall resulting from the default of a clearing member?

CCP Answer 18