The central counterparty shall require its participants to provide appropriate collateral, particularly in the form of initial margins, variation margins and default fund contributions.
This collateral shall be calculated at least in such a way that:
a participant's variation margins cover the current credit exposures based on realised market price movements;
a participant's initial margins will, with a high degree of confidence, cover the potential credit exposures arising for a central counterparty upon the participant's default based on expected market price movements;
the initial margins, variation margins and default fund contributions will be sufficient to cover the loss resulting under extreme but plausible market conditions from the default of the participant to which the central counterparty has its greatest exposure.
The central counterparty shall accept only liquid collateral with low credit and market risks. It shall value the collateral prudently.
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