CHAPTER II

SPECIFIC PROVISIONS ON RISK MANAGEMENT PROCEDURES
SECTION 2

Exemptions in calculating levels of initial margin

Threshold based on notional amount
Article 28
1
By way of derogation from Article 2(2), counterparties may provide in their risk management procedures that initial margins are not collected for all new OTC derivative contracts entered into within a calendar year where one of the two counterparties has an aggregate month-end average notional amount of non-centrally cleared OTC derivatives for the months March, April and May of the preceding year of below EUR 8 billion.
The aggregate month-end average notional amount referred to in the first subparagraph shall be calculated at the counterparty level or at the group level where the counterparty belongs to a group.
2
Where a counterparty belongs to a group, the calculation of the group aggregate month-end average notional amount shall include all non-centrally cleared OTC derivative contracts of the group including all intragroup non-centrally cleared OTC derivatives contracts.
For the purposes of the first subparagraph, OTC derivative contracts which are internal transactions shall only be taken into account once.
3
UCITS authorised in accordance with Directive 2009/65/EC and alternative investment funds managed by alternative investment fund managers authorised or registered in accordance with Directive 2011/61/EU of the European Parliament and of the Council shall be considered distinct entities and treated separately when applying the thresholds referred to in paragraph 1 where the following conditions are met:
a
the funds are distinct segregated pools of assets for the purposes of the fund's insolvency or bankruptcy;
b
the segregated pools of assets are not collateralised, guaranteed or otherwise financially supported by other investment funds or their managers.
Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1).