Version in force , Modified +708 −980§
Amended by Regulation (EU) 2019/2033 32019R2033 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2021/558 32021R0558 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2020/873 32020R0873 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
Paragraph 2 replaces the earlier concentration-factor based formula, which referenced beta, N, DFCM and KCM, with a new formula defining Ki as the greater of a KCCP/DFCCP-scaled term and a fixed percentage of DFi, accompanied by a new set of variable definitions including references to Article 50c of Regulation (EU) No 648/2012.
Paragraph 3, which previously set out three separate KCM calculation formulas depending on whether KCCP was below, within, or above certain thresholds involving DFCCP, DF* and capital factors c1, c2 and mu, is replaced by a new paragraph 3 stating that risk-weighted exposure amounts are calculated as the own funds requirement from paragraph 2 multiplied by 12,5.
The former paragraph 4 on risk-weighted exposure amounts remains present in the after text but is now duplicated by the new paragraph 3, and paragraph 5 still refers to c1 and paragraph 3 even though the c1 variable no longer appears in the new paragraph 3 wording.
Cited: Art. 308, v1 (external, EUR-Lex) · Art. 308, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 December 2020 02013R0575-20201228 → this version, in force 28 June 2021 02013R0575-20210629
Article 308
Own funds requirements for pre-funded contributions to the default fund of a QCCP
1. The exposure value for an institution's pre-funded contribution to the default fund of a QCCP (DFi) shall be the amount paid in or the market value of the assets delivered by that institution reduced by any amount of that contribution that the QCCP has already used to absorb its losses following the default of one or more of its clearing members.
2. An institution shall calculate the own funds requirement (Ki) to cover the exposure arising from its pre-funded contribution (DFi) as follows:Ki1β NN 2 DFiDFCM KCM follows:KimaxKCCPDFiDFCCPDFCM , 8 %2 %DFi
where:
β Ki
the concentration factor own funds requirement;
i
the index denoting the clearing member;
KCCP
the hypothetical capital of the QCCP communicated to the institution by the CCP;
N
the number of clearing members communicated to the institution by the CCP;
DFCM
the sum of pre-funded contributions of all clearing members of the CCP iDFicommunicated to the institution by the CCP;
KCM
the sum of the own funds requirements of all clearing members of the CCP calculated QCCP in accordance with Article 50c of Regulation (EU) No 648/2012;
DFi
the applicable formula specified in paragraph 3 iKi.
3. An institution shall calculate KCM as follows:
(a) where KCCP ≤ DFCCP, the institution shall use the following formula:
KCMc1 DFCM*;
(b) where DFCCP < KCCP ≤DF*, the institution shall use the following formula:
KCMc2 KCCP DFCCPc1 DF* KCCP;
(c) where DF* < KCCP, the institution shall use the following formula:
KCMc2 μ KCCP DF*c2 DFCM*
where: pre-funded contribution;
DFCCP
the pre-funded financial resources of the CCP communicated to the institution by the CCP;
KCCP CCP in accordance with Article 50c of Regulation (EU) No 648/2012; and
DFCM
the hypothetical capital sum of pre-funded contributions of all clearing members of the CCP QCCP communicated to the institution by the CCP;
DF*
DFCCP DFCM*;
DFCM*
DFCM 2 DFi;
DFi QCCP in accordance with Article 50c of Regulation (EU) No 648/2012.
3. An institution shall calculate the average risk-weighted exposure amounts for exposures arising from that institution's pre-funded contribution, 1N DFCM, communicated contribution to the institution default fund of a QCCP for the purposes of Article 92(3) as the own funds requirement, calculated in accordance with paragraph 2 of this Article, multiplied by the CCP;
c1
a capital factor equal to max 1.6 %DF*KCCP0.3,0.16%
c2
a capital factor equal to 100 %;
μ
1,2. 12,5.
4. An institution shall calculate the risk-weighted exposure amounts for exposures arising from an institution's pre-funded contribution for the purposes of Article 92(3) as the own funds requirement (Ki) determined in accordance with paragraph 2 multiplied by 12,5.
5. Where KCCP is equal to zero, institutions shall use the value for c1 of 0,16 % for the purpose of the calculation in paragraph 3.