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Regulation (EU) No 648/2012 of the European Parliament and of the CouncilShow full title
Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (Text with EEA relevance)
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Changes over time for: Article 50a
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Regulation (EU) No 648/2012 of the European Parliament and of the Council,
Article 50a
is up to date with all changes known to be in force on or before 12 January 2025. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
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[F1[X1 Article 50a U.K. Calculation of K CCP
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 (1) , a CCP shall calculate K CCP 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 (K CCP ) as follows:
where:
EBRM i
=
exposure value before risk mitigation that is equal to the exposure value of the CCP to clearing member i arising from all the contracts and transactions with that clearing member, calculated without taking into account the collateral posted by that clearing member;
IM i
=
the initial margin posted to the CCP by clearing member i;
DF i
=
the 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 to the valuation at the end of the day before the margin called on the final margin call of that day is exchanged.
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, [F2the Bank of England, having consulted the PRA and the FCA, may make technical standards specifying] 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).
F3...
F3... ]]
Editorial Information
X1Substituted by Corrigendum to 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 and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
Textual Amendments
F1Inserted by 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 and amending Regulation (EU) No 648/2012 (Text with EEA relevance).
F2Words in Art. 50a(4) substituted (31.12.2020) by The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 51(a) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F3Words in Art. 50a(4) omitted (31.12.2020) by virtue of The Over the Counter Derivatives, Central Counterparties and Trade Repositories (Amendment, etc., and Transitional Provision) (EU Exit) Regulations 2019 (S.I. 2019/335), regs. 1(1), 51(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
(1)
[F1 [X1 OJ L 176, 27.6.2013,p.1 .] ]
Editorial Information
X1Substituted by Corrigendum to 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 and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
Textual Amendments
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