Treatment of clearing members' exposures to clients
Where an institution that acts as a clearing member uses the methods set out in Section 3 or 6 of this Chapter to calculate the own funds requirement for its exposures, the following provisions shall apply:
by way of derogation from Article 285(2), the institution may use a margin period of risk of at least five business days for its exposures to a client;
the institution shall apply a margin period of risk of at least 10 business days for its exposures to a CCP;
by way of derogation from Article 285(3), where a netting set included in the calculation meets the condition set out in point (a) of that paragraph, the institution may disregard the limit set out in that point, provided that the netting set does not meet the condition set out in point (b) of that paragraph and does not contain disputed trades or exotic options;
where a CCP retains variation margin against a transaction, and the institution's collateral is not protected against the insolvency of the CCP, the institution shall apply a margin period of risk that is the lower of one year and the remaining maturity of the transaction, with a floor of 10 business days.
In the case of a multi-level client structure, the treatment set out in the first subparagraph may be applied at each level of that structure.