(a)

CCPs shall calculate the value of the exposures they have to their clearing members as follows: for exposures arising from contracts and transactions listed in points (a) and (c) of Article 301(1) of Regulation (EU) No 575/2013, CCPs shall calculate the value in accordance with the method set out in Section 3 of Chapter 6 of Title II of Part Three of that Regulation by using a margin period of risk of 10 business days; for exposures arising from contracts and transactions listed in point (b) of Article 301(1) of Regulation (EU) No 575/2013, CCPs shall calculate the value (EADi) in accordance with the following formula: EADi = max{EBRMi – IMi – DFi; 0} where: All values in this formula shall relate to the valuation at the end of the day before the margin called on the final margin call of that day is exchanged; EADi | = | the exposure value; i | = | the index denoting the clearing member; EBRMi | = | the exposure value before risk mitigation that is equal to the exposure value of the CCP to clearing member i arising from all the contracts and transactions with that clearing member, calculated without taking into account the collateral posted by that clearing member; IMi | = | the initial margin posted with the CCP by clearing member i; DFi | = | the pre-funded default fund contribution of clearing member i. for situations referred to in the third sentence of the second subparagraph of Article 301(1) of Regulation (EU) No 575/2013, CCPs shall calculate the value of the transactions referred to in the first sentence of that subparagraph in accordance with the formula set out in point (a)(ii) of this Article, and shall determine EBRMi in accordance with Title V of Part Three of that Regulation;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.