Article 50a — Calculation of KCCP — compare

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From: 12 August 2022 · Consolidated version of 12 August 2022 · Verified 10 Nov 2026 · Official source
To: 11 November 2026 · Consolidated version of 24 December 2024 · Verified 10 Nov 2026 · Official source

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, 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.

50a(2)

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

where:

K_CCP = the hypothetical capital;

i = the index denoting the clearing member;

EAD_i = 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 %.

50a(3)

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.

50a(4)

4.For the purpose of paragraph 3, EBA shall develop draft implementing technical standards to specify the following:

50a(4)(a)

(a)the frequency and dates of the calculation laid down in paragraph 2;

50a(4)(b)

(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.