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Text as of 12 Aug 2022 · Consolidated version of 12 August 2022 · The wording differs from today’s text.Today’s text

Article 50a — Calculation of KCCP

Financial servicesLevel 1RegulationEMIRIn forceVerifiedOfficial source

50a(1)

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 KCCP 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.

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50a(2)

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

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Formula printed as an image in the official text — Article 50a(2)

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 %.

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.

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50a(4)

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

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50a(4)(a)
(a)the frequency and dates of the calculation laid down in paragraph 2;
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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).
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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.