TITLE IV

REQUIREMENTS FOR CCPs
CHAPTER 4

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

General rules for the calculation of K CCP
Article 50b
For the purpose of calculating K
CCP
referred to in Article 50a(2), the following provisions shall apply:
a)
CCPs shall calculate the value of the exposures they have to their clearing members as follows:
i)
for exposures arising from contracts and transactions listed in points (a) or (c) of Article 301(1) of Chapter 3 of the Counterparty Credit Risk (CRR) Part of the PRA Rulebook, CCPs shall calculate the value in accordance with the method set out in Section 3 of Chapter 3 of the Counterparty Credit Risk (CRR) Part of the PRA Rulebook 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 Chapter 3 of the Counterparty Credit Risk (CRR) Part of the PRA Rulebook, CCPs shall calculate the value (EAD
i
) in accordance with the following formula:
EAD
i
= max {EBRM
i
– IM
i
– DF
i
; 0}
where:
- EAD
i =
the exposure value;
- i = the index denoting the clearing member;
- EBRM
i =
the 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 with the CCP by clearing member i;
- DF
i
= the pre-funded default fund contribution of clearing member i.
All values in this formula 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;
iii)
for situations referred to in the third sentence of the second subparagraph of Article 301(1) of Chapter 3 of the Counterparty Credit Risk (CRR) Part of the PRA Rulebook, 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 EBRM
i
in accordance with Title V of Part Three of the Capital Requirements Regulation;
b)
for institutions that fall under the scope of the Capital Requirements Regulation the netting sets are the same as those defined in point (4) of Article 272 of that Regulation;
ba)
for FCA investment firms that fall under the scope of Part 9C rules, the netting sets are the same as those set out in the definition of “netting set (in MIFIDPRU)” in the Glossary of the FCA Handbook;
c)
a CCP that has exposures to one or more CCPs shall treat those exposures as if they were exposures to clearing members and include any margin or pre-funded contributions received from those CCPs in the calculation of K
CCP
;
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 Chapter 3 of the Counterparty Credit Risk (CRR) Part of the PRA Rulebook, 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;
f)
CCPs that have more than one default fund shall carry out the calculation for each default fund separately;
g)
where a clearing member provides client clearing services, and the transactions and collateral of the clearing member’s clients are held in sub-accounts which are separate from those of the clearing member’s proprietary business, CCPs shall carry out the calculation of EAD
i
for each sub-account separately and shall calculate the clearing member’s total EAD
i
as the sum of the EADs of the clients’ sub-accounts and the EAD of the clearing member’s proprietary business sub-account;
h)
for the purposes of point (f), where DF
i
is not split between the clients’ sub-accounts and the clearing member’s proprietary business sub-accounts, CCPs shall allocate DF
i
per sub-account according to the respective fraction the initial margin of that sub-account has in relation to the total initial margin posted by the clearing member or for the account of the clearing member;
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 the Capital Requirements Regulation with supervisory volatility adjustments set out in Article 224 of that Regulation to calculate the exposure value.
Inserted by 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 and amending Regulation (EU) No 648/2012 (Text with EEA relevance).
Substituted by Corrigendum to 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 and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
Art. 50b substituted (1.1.2022) by The Financial Services Act 2021 (Prudential Regulation of Credit Institutions and Investment Firms) (Consequential Amendments and Miscellaneous Provisions) Regulations 2021 (S.I. 2021/1376), regs. 1(3), 24(6)
Art. 50b(ba) inserted (17.8.2022) by The Financial Services Act 2021 (Prudential Regulation of Credit Institutions and Investment Firms) (Consequential Amendments and Miscellaneous Provisions) Regulations 2022 (S.I. 2022/838), regs. 1(2), 19(4) (with regs. 24-26)