Article 50b — General rules for the calculation of KCCP — compare
Showing 9 of 9Release 10 Nov 2026Details
- Coverage
- Not covered: national guidance, court decisions.
- Freshness
- Release 2d86bd12 published 10 Nov 2026, 17:06 CET. Verified against EUR-Lex on 9 Nov 2026.
- Shown
- Showing 9 of 9
- Failures
- None.
- Incomplete
- No.
- From
- 12 August 2022 · Consolidated version of 12 August 2022 · Verified 9 Nov 2026 · Official source
- To
- 11 November 2026 · Consolidated version of 24 December 2024 · Verified 9 Nov 2026 · Official source
For the purpose of calculating KCCP referred to in Article 50a(2), the following provisions shall apply:
(i)for exposures arising from contracts and transactions listed in points (a) and (c) of Article 301(1) of Regulation (EU) No 575/2013, CCPs shall calculate the value in accordance with the method set out in Section 3 of Chapter 6 of Title II of Part Three of that Regulation by using a margin period of risk of 10 business days;
(ii)for exposures arising from contracts and transactions listed in point (b) of Article 301(1) of Regulation (EU) No 575/2013, CCPs shall calculate the value (EADi) in accordance with the following formula:
(iii)for situations referred to in the third sentence of the second subparagraph of Article 301(1) of Regulation (EU) No 575/2013, CCPs shall calculate the value of the transactions referred to in the first sentence of that subparagraph in accordance with the formula set out in point (a)(ii) of this Article, and shall determine EBRMi in accordance with Title V of Part Three of that Regulation;
(b)for institutions that fall under the scope of Regulation (EU) No 575/2013 the netting sets are the same as those defined in point (4) of Article 272 of that Regulation;
(d)a CCP that has in place a binding contractual arrangement with its clearing members that allows that CCP to use all or part of the initial margin received from its clearing members as if they were pre-funded contributions shall consider that initial margin as pre-funded contributions for the purposes of the calculation in paragraph 1 and not as initial margin;
(e)where collateral is held against an account containing more than one of the types of contracts and transactions referred to in Article 301(1) of Regulation (EU) No 575/2013, CCPs shall allocate the initial margin provided by their clearing members or clients, as applicable, in proportion to the EADs of the respective types of contracts and transactions calculated in accordance with point (a) of this paragraph, without taking into account initial margin in the calculation;
(i)CCPs shall not carry out the calculation in accordance with Article 50a(2) where the default fund covers cash transactions only.
For the purposes of point (a)(ii) of this Article, the CCP shall use the method specified in Article 223 of Regulation (EU) No 575/2013 with supervisory volatility adjustments set out in Article 224 of that Regulation to calculate the exposure value.