(43)

in Article 41, paragraphs 1, 2 and 3 are replaced by the following: ‘1. A CCP shall impose, call and collect margins to limit its credit exposures from its clearing members and, where relevant, from CCPs with which it has interoperability arrangements. Such margins shall be sufficient to cover potential exposures that the CCP considers will arise until the liquidation of the relevant positions. They shall also be sufficient to cover losses that result from at least 99 % of the exposures movements over an appropriate time horizon and they shall ensure that a CCP fully collateralises its exposures with all its clearing members, and, where relevant, with CCPs with which it has interoperability arrangements, at least on a daily basis. A CCP shall continuously monitor and revise the level of its margins to reflect current market conditions taking into account any potentially procyclical effects of such revisions. 2. A CCP shall adopt models and parameters in setting its margin requirements that capture the risk characteristics of the products cleared and take into account the interval between margin collections, market liquidity and the possibility of changes over the duration of the transaction. The models and parameters shall be validated by the competent authority and subject to an opinion by the college referred to in Article 18 in accordance with Article 19 and an opinion of ESMA in accordance with Article 24a(7), first subparagraph, point (bc), issued in accordance with the procedure set out in Article 17b. 3. A CCP shall call and collect margins on an intraday basis, at least when predefined thresholds are exceeded. In doing so a CCP shall consider, to the extent possible, the potential impact of its intraday margin collections and payments on the liquidity position of its participants and on the resilience of the CCP. A CCP shall not, to the extent possible, hold intraday variation margin payments after it has collected all such payments due.’ ;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-16 · Text as adopted (Official Journal); later amendments are not incorporated in this text.