Minimum Capital Requirements for Counterparty Credit Risk (CCR) and Credit Valuation Adjustment (CVA)

For derivatives, EAD i is calculated as the bilateral trade exposure the CCP has i against the clearing member using the SA-CCR. In applying the SA-CCR: (1) A MPOR of 10 business days must be used to calculate the CCP's potential future exposure to its clearing members on derivatives transactions (the 20 day floor on the MPOR for netting sets with more than 5000 trades does not apply). (2) All collateral held by a CCP to which that CCP has a legal claim in the event of the default of the member or client, including default fund contributions of that member ( DF i ), is used to offset the CCP's exposure to that member or i client, through inclusion in the PFE multiplier in accordance with 6.23 to 6.25 . 8.34 For SFTs, EAD i is equal to max( EBRM i - IM i - DF i ;0), where: (1) EBRM i denotes the exposure value to clearing member ‘i' before risk mitigation under 9.68 to 9.72 of the Minimum Capital Requirements for Credit Risk ; where, for the purposes of this calculation, variation margin that has been exchanged (before the margin called on the final margin call of that day) enters into the mark-to-market value of the transactions. (2) IM i ; is the initial margin collateral posted by the clearing member with the CCP. (3) DF i is the prefunded default fund contribution by the clearing member that will be applied upon such clearing member's default, either along with or immediately following such member's initial margin, to reduce the CCP loss.