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PRU A4.9.17

An Authorised Person must next calculate the capital requirement for each clearing member in accordance with the following formula:

where:

KCMi = the capital requirement on the default fund contribution of clearing member i;

DFprefCM = the total prefunded default fund contributions from clearing members;

DFCCP = the prefunded own resources of the CCP (e.g. contributed capital, retained earnings, etc.), which are contributed to the default waterfall, where these are junior or pari passu to prefunded member contributions; and

DFprefi = the prefunded default fund contributions provided by clearing member i.