22 Juillet 2014

ESMA : Calculation of counterparty risk by UCITS for OTC financial derivative transactions subject to clearing obligations

22 juillet 2014 voir le communiqué de presse


This discussion paper distinguishes between different clearing arrangements:

 1.      Direct clearing arrangements, i.e. the UCITS is a client of the clearing member with:


  • Individual client segregation;

  • Omnibus client segregation;

  • Other types of segregation arrangement; or

  • Segregation arrangements with a non-EU CCP outside the scope of EMIR.
2.     Indirect clearing arrangements between the CCP, the clearing member, the client of the clearing member and the UCITS

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