• PRU A4.9.2 PRU A4.9.2

    Authorised Persons must:

    (a) monitor all their exposures to CCPs; and must have adequate procedures for the regular reporting of information on those exposures to senior management and appropriate committee or committees of the management body; and
    (b) assess, through appropriate scenario analysis and stress testing, whether the level of capital held by the Authorised Person against exposures to a CCP is adequate.

    • Guidance

      The assessment under Rule A4.9.2(b) must cover the inherent risks of exposures to the CCP, including potential future credit exposures, exposures from default fund contributions and, where the Authorised Person is acting as a clearing member of the CCP, exposures resulting from contractual arrangements providing for commitments to take over or replace offsetting transactions from clients of another clearing member, in case such other clearing member defaults or becomes insolvent.