1. (1)

   Counterparties shall calculate variation margin in accordance with Article 10 at least on a daily basis.

2. (2)

   Counterparties shall calculate initial margin in accordance with Article 11 no later than the business day following one of these events:

   1. (a)

      where a new non-centrally cleared OTC derivative contract is executed or added to the netting set;

   2. (b)

      where an existing non-centrally cleared OTC derivative contract expires or is removed from the netting set;

   3. (c)

      where an existing non-centrally cleared OTC derivative contract triggers a payment or a delivery other than the posting and collecting of margins;

   4. (d)

      where the initial margin is calculated in accordance with the standardised approach referred to in Article 11(1) and an existing contract is reclassified in terms of the asset category referred to in paragraph 1 of Annex IV as a result of reduced time to maturity;

   5. (e)

      where no calculation has been performed in the preceding 10 business days.

3. (3)

   For the purpose of determining the calculation date for initial and variation margin, the following shall apply:

   1. (a)

      where two counterparties are located in the same time-zone, the calculation shall be based on the netting set of the previous business day;

   2. (b)

      where two counterparties are not located in the same time-zone, the calculation shall be based on the transactions in the netting set which are entered into before 16.00 of the previous business day of the time zone where it is first 16.00.

The amount of variation margin to be collected by a counterparty shall be the aggregation of the values calculated in accordance with Article 11(2) of Regulation (EU) No 648/2012 of all contracts in the netting set, minus the value of all variation margin previously collected, minus the net value of each contract in the netting set at the point of entry into the contract, and plus the value of all variation margin previously posted.

1. (1)

   Counterparties shall calculate the amount of initial margin to be collected using either the standardised approach set out in Annex IV or the initial margin models referred to in Section 4 or both.

2. (2)

   The collection of initial margin shall be performed without offsetting the initial margin amounts between the two counterparties.

3. (3)

   Where counterparties use both the standardised approach set out in Annex IV and the initial margin models referred to in Section 4 in relation to the same netting set, they shall use them consistently for each non-centrally cleared OTC derivative contract.

4. (4)

   Counterparties calculating the initial margin in accordance with Section 4 shall not take into account any correlations between the value of the unsecured exposure and the collateral in that calculation.

5. (5)

   Counterparties shall agree on the method each counterparty uses to determine the initial margin it has to collect but are not required to use a common methodology.

6. (6)

   Where one or both counterparties rely on an initial margin model they shall agree on the model developed pursuant to Section 4.

1. (1)

   The posting counterparty shall provide the variation margin as follows:

   1. (a)

      within the same business day of the calculation date determined in accordance with Article 9(3);

   2. (b)

      where the conditions in paragraph 2 are met, within 2 business days of the calculation date determined in accordance with Article 9(3).

2. (2)

   The provision of variation margin in accordance with paragraph 1(b) may only be applied to the following:

   1. (a)

      netting sets comprising derivative contracts not subject to initial margin requirements in accordance with this Regulation, where the posting counterparty has provided, at or before the calculation date of the variation margin, an advance amount of eligible collateral calculated in the same manner as that applicable to initial margins in accordance with Article 15, for which the collecting counterparty has used a margin period of risk ("MPOR") at least equal to the number of days in between and including the calculation date and the collection date;

   2. (b)

      netting sets comprising contracts subject to initial margin requirements in accordance with this Regulation, where the initial margin has been adjusted in one of the following ways:

      1. (i)

         by increasing the MPOR referred to in Article 15(2) by the number of days in between, and including, the calculation date determined in accordance with Article 9(3) and the collection date determined in accordance with paragraph 1 of this Article;

      2. (ii)

         by increasing the initial margin calculated in accordance with the standardised approach referred to in Article 11 using an appropriate methodology taking into account a MPOR that is increased by the number of days in between, and including, the calculation date determined in accordance with Article 9(3) and the collection date determined in accordance with paragraph 2 of this Article.

   For the purposes of point (a), in case no mechanism for segregation is in place between the two counterparties, those counterparties may offset the amounts to be provided.

3. (3)

   In the event of a dispute over the amount of variation margin due, counterparties shall provide, in the same time frame referred to in paragraph 1, at least the part of the variation margin amount that is not being disputed.

1. (1)

   The posting counterparty shall provide the initial margin in accordance with Section 5.

2. (2)

   The posting counterparty shall provide the initial margin within the same business day of the calculation date determined in accordance with Article 9(3).

3. (3)

   In the event of a dispute over the amount of initial margin due, counterparties shall provide at least the part of the initial margin amount that is not being disputed within the same business day of the calculation date determined in accordance with Article 9(3).