in force 2021-06-28 MODIFIED+402 −446§
Amended by Regulation (EU) 2019/834 32019R0834 · Regulation (EU) 2019/876 32019R0876 · Regulation (EU) 2021/962 32021R0962
applies from: unchanged
The formula for the hypothetical capital calculation in paragraph 2 has been rewritten, replacing the earlier version that used separate exposure-before-risk-mitigation, initial margin and default fund contribution terms with a single exposure amount (EAD) term per clearing member that already incorporates collateral held, including pre-funded default fund contributions.
The definitions listed after the formula changed accordingly, dropping the separate EBRMi, IMi and DFi terms and instead defining KCCP, the index i, and EADi, while keeping the same risk weight of 20% and capital ratio of 8%.
The valuation timing reference changed from the end of the day before the final margin call to the end of the regulatory reporting date before the final margin call of that day is exchanged.
Cited: Art. 50a, v1 · Art. 50a, v2
text before / after
02012R0648-20210213 → 02012R0648-20210628
Article 50a
Calculation of KCCP
1. For the purposes of Article 308 of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms
OJ L 176, 27.6.2013,p.1., a CCP shall calculate KCCP as specified in paragraph 2 of this Article for all contracts and transactions it clears for all its clearing members falling within the coverage of the given default fund.
2. A CCP shall calculate the hypothetical capital (KCCP) as follows:KCCPimaxEBRMi IMi DFi;0 RW capital follows:KCCPi EADiRWcapital ratio
where:
EBRMi
exposure value before risk mitigation that is equal to KCCP
the hypothetical capital;
i
the index denoting the clearing member;
EADi
the exposure value amount of the CCP to clearing member i arising from all i, including the contracts and clearing member's own transactions with that the CCP, the client transactions guaranteed by the clearing member, calculated without taking into account and all values of collateral held by the collateral posted by that CCP, including the clearing member;
IMi
the initial margin posted to the CCP by clearing member i;
DFi
the member's pre-funded contribution of clearing member i;
RW
a risk weight of 20 %;
capital ratio
8 %.
All values in the formula in the first subparagraph shall relate default fund contribution, against those transactions, relating to the valuation at the end of the day regulatory reporting date before the margin called on the final margin call of that day is exchanged. exchanged;
RW
a risk weight of 20 %; and
capital ratio
8 %.
3. A CCP shall undertake the calculation required by paragraph 2 at least quarterly or more frequently where required by the competent authorities of those of its clearing members which are institutions.
4. For the purpose of paragraph 3, EBA shall develop draft implementing technical standards to specify the following:
(a) the frequency and dates of the calculation laid down in paragraph 2;
(b) the situations in which the competent authority of an institution acting as a clearing member may require higher frequencies of calculation and reporting than those referred to in point (a).
EBA shall submit those draft implementing technical standards to the Commission by 1 January 2014.
Power is conferred on the Commission to adopt the implementing technical standards referred to in the first subparagraph in accordance with Article 15 of Regulation (EU) No1093/2010.