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QA2023-20 - FMIR value of positions at CCP

QA2023-20 - FMIR value of positions at CCP

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Feb 01, 2024
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QA2023-20

Question


"Value of positions" at CCP is not precisely defined in the Guidance. The document only states that we should take the "daily average value at end of settlement day over the previous year" but does not indicate the definition of neither "value" nor "positions" for CCPs. To compute the value of positions at CCPs, what is the metric to which a daily averaging should be applied ?


Response


The "value of positions at CCPs" should be the daily average of the "net" Variation Margin, i.e. posted to - received from the CCPs.