TITLE IVREQUIREMENTS FOR CCPs

F1 X1CHAPTER 4 Calculations and reporting for the purposes of Regulation (EU) No 575/2013

Article 50a 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 42 , 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:

KCCP=∑imaxEBRMi− IMi− DFi;0× RW × capital ratio

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).

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