Commission Delegated Regulation (EU) No 153/2013

means the risk arising from less than perfectly correlated movements between two or more assets or contracts cleared by the central counterparty (CCP);

means the percentage of exposures movements for each financial instrument cleared with reference to a specific lookback period that a CCP is required to cover over a certain liquidation period;

means the benefits from direct ownership of the physical commodity and is affected both by market conditions and by factors such as physical storage costs;

means margins collected by the CCP to cover potential future exposure to clearing members providing the margin and, where relevant, interoperable CCPs in the interval between the last margin collection and the liquidation of positions following a default of a clearing member or of an interoperable CCP default;

means the risk that a counterparty or issuer defaults suddenly before the market has had time to factor in its increased default risk;

means the time period used for the calculation of the margins that the CCP estimates necessary to manage its exposure to a defaulting member and during which the CCP is exposed to market risk related to the management of the defaulter’s positions;

means the time horizon for the calculation of historical volatility;

means margins as referred to in Article 41 of Regulation (EU) No 648/2012 which may include initial margins and variation margins;

means the result of a test which shows that a CCP’s model or liquidity risk management framework did not result in the intended level of coverage;

means margins collected or paid out to reflect current exposures resulting from actual changes in market price;

means the risk arising from exposure to a counterparty or issuer when the collateral provided by that counterparty or issued by that issuer is highly correlated with its credit risk.