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)

[F1[X1 Article 50a U.K. Calculation of K CCP

1 . For the purposes of [F2Article 308 of Chapter 3 of the Counterparty Credit Risk (CRR) Part of the PRA Rulebook] [F3and Chapter 10 of the Prudential Sourcebook for MiFID Investment Firms (MIFIDPRU) in the FCA Handbook], 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.

[F4 2 .A CCP shall calculate the hypothetical capital as follows:

where:

  • KCCP = the hypothetical capital;

  • i = the index denoting the clearing member;

  • EADi = the exposure amount of the CCP to clearing member i, including the clearing member’s own transactions with the CCP, the client transactions guaranteed by the clearing member, and all values of collateral held by the CCP, including the clearing member’s pre-funded default fund contribution, against those transactions, relating to the valuation at the end of the regulatory reporting date before the margin called on the final margin call of that day is 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 [F5or FCA investment firms].

4 . For the purpose of paragraph 3, [F6the 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 [F7or FCA investment firm] acting as a clearing member may require higher frequencies of calculation and reporting than those referred to in point (a).

F8...

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