Chapter IV, Article 23, Paragraph 2. · Commission Delegated Regulation (EU) 2023/1616

Contents

2.The valuer shall consider the following costs for clearing members:

(a)the hypothetical credit exposures of the clearing members to the CCP at the time of reopening the comparable net positions, had those positions remained open at the CCP until that date;

(b)any liquidity and concentration costs incurred by clearing members when reopening the comparable net positions;

(c)any material unavoidable operating costs incurred by clearing members in relation to the new connections or transactions between clearing members and any counterparty or CCP, including membership, trading, clearing, payment, settlement and custody fees;

(d)any additional material funding cost stemming from the difference in applicable margin requirements and default fund contributions and associated with the reopening of net positions with any counterparty or CCP.

Defined terms · 9

Show every defined term

disposal value
means the value calculated in accordance with Article 17(5);
equity value
means an estimated market price for transferred or issued shares that results from the application of generally accepted valuation methodologies and that, depending on the nature of the assets or business, could comprise franchise value;
fair value
means the price that would be received for the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the valuation date, as defined in the relevant accounting framework;
franchise value
means the net present value of cash flows, higher or lower than the value arising from the contractual terms and conditions of assets and liabilities existing at the valuation date, that can reasonably be expected to result from the maintenance and renewal of assets and liabilities or businesses and which includes the impact of any business opportunities, as relevant, including those stemming from the different resolution actions that are assessed by the valuer;
hold value
means the present value, discounted at an appropriate rate, of cash flows that the CCP can reasonably expect under fair, prudent and realistic assumptions from retaining particular assets and liabilities, considering factors affecting customer or counterparty behaviour or other valuation parameters in the context of resolution;
measurement basis
means the approach for determining the monetary amounts at which assets or liabilities are presented by the valuer;
relevant public authority
means:
resolution decision date
means the date of the decision of the resolution authority to take resolution action in relation to a CCP in accordance with Article 71 of Regulation (EU) 2021/23.
valuer
means a legal or natural person appointed to carry out the valuations referred to in Articles 24, 26(1) and 61 of Regulation (EU) 2021/23;