Contents
- 1. For the calculation of the annual fee due to the EBA by ea…
- 2. For the purposes of Article 4, the reference period shall…
- 3. For the purposes of Article 5, the reference period shall…
- 4. For each month of the reference period referred to in para…
- 5. Alternatively, for each month of the reference period refe…
- 6. For the purposes of paragraphs 4 and 5, when converting am…
- 7. By way of derogation from paragraphs 4 and 5, a counterpar…
1.For the calculation of the annual fee due to the EBA by each counterparty that is subject to the obligation to have its pro forma models validated, each counterparty using, or applying for validation to use, a pro forma model, as applicable, shall calculate the average notional amount by averaging the monthly notional amount of non-centrally cleared derivatives using a given pro forma model over the reference period concerned. Those counterparties shall calculate each monthly notional amount as of the last business day of the given month, using the equivalent portfolio notional method laid out in paragraph 4 or the alternative approaches laid out in paragraph 5 or 7, as applicable. A counterparty may exclude from the average notional amount calculations portfolios for which it does not collect initial margins as a result of the application of the derogation laid down in Article 29(1) of Commission Delegated Regulation (EU) 2016/2251note. A counterparty that choses to exclude such portfolios shall provide the number of portfolios it excluded as part of the information referred to in Article 8(1) of this Regulation.
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