1
Application and Definitions
1.1
This Part applies to:
- (a) a firm that is a CRR firm; and
- (b) a CRR consolidation entity.
- 01/01/2022
1.2
In this Part, the following definitions shall apply:
means the net market value of all the transactions within a netting set gross of any collateral held or posted where positive and negative market values are netted in computing the CMV.
[Note: This rule corresponds to Article 272(12) of the CRR as it applied immediately before revocation by the Treasury.]
means a group of transactions within a single netting set for which full or partial offsetting is allowed for determining the potential future exposure under the methods set out in Section 3 or 4 of this Chapter.
[Note: This rule corresponds to Article 272(6) of the CRR as it applied immediately before revocation by the Treasury.]
means the largest amount of an exposure that remains outstanding before one party has the right to call for collateral.
[Note: This rule corresponds to Article 272(8) of the CRR as it applied immediately before revocation by the Treasury.]
net independent collateral amount or NICA
means the sum of the volatility-adjusted value of net collateral received or posted, as applicable, to the netting set other than variation margin.
means a margin agreement under which an institution is required to post variation margin to a counterparty but is not entitled to receive variation margin from that counterparty or vice-versa.
means one year expressed in business days.
means the payment agreed in an OTC derivative transaction with a linear risk profile which stipulates the exchange of a financial instrument for a payment.
In the case of transactions that stipulate the exchange of payment against payment, those two payment legs shall consist of the contractually agreed gross payments, including the notional amount of the transaction.
[Note: This rule corresponds to Article 272(26) of the CRR as it applied immediately before revocation by the Treasury.]
- 01/01/2022
1.3
For the purposes of Section 9 of this Part, the following definitions apply:
in relation to client assets, means that effective arrangements exist which ensure that those assets will not be available to the creditors of a CCP or of a clearing member in the event of the insolvency of that CCP or clearing member respectively, or that the assets will not be available to the clearing member to cover losses it incurred following the default of a client or clients other than those that provided those assets.
means a transaction in cash, debt instruments or equities, a spot foreign exchange transaction or a spot commodities transaction; however, repurchase transactions, securities or commodities lending transactions, and securities or commodities borrowing transactions, are not cash transactions.
means a contract or a transaction listed in Article 301(1) between a client and a clearing member that is directly related to a contract or a transaction listed in that paragraph between that clearing member and a CCP.
means a clearing member as defined in point (14) of Article 2 of Regulation (EU) No 648/2012.
means a client as defined in point (15) of Article 2 of Regulation (EU) No 648/2012 or an undertaking that has established indirect clearing arrangements with a clearing member in accordance with Article 4(3) of that Regulation.
fully guaranteed deposit lending or borrowing transaction
means a fully collateralised money market transaction in which two counterparties exchange deposits and a CCP interposes itself between them to ensure the performance of those counterparties' payment obligations.
means an entity providing clearing services to a lower-level client.
means an arrangement that meets the conditions set out in the second subparagraph of Article 4(3) of Regulation (EU) No 648/2012.
means an entity accessing the services of a CCP through a higher-level client.
means an indirect clearing arrangement under which clearing services are provided to an institution by an entity which is not a clearing member, but is itself a client of a clearing member or of a higher-level client.
unfunded contribution to a default fund
means a contribution that an institution that acts as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members.
[Note: This rule corresponds to Article 300 of the CRR as it applied immediately before revocation by the Treasury.]
- 01/01/2022