contents table
European Market Infrastructure Regulation (EMIR)
Article 50a

Article 50a — Calculation of KCCP

  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(1), 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.
  2. A CCP shall calculate the hypothetical capital (KCCP) as follows:
    $${K _{\mathrm{CCP}}} = {\sum \max \{\mathrm{EBRM} _{i} - \mathrm{IM} _{i} - \mathrm{DF} _{i} ; 0\} \cdot \mathrm{RW} \cdot \text{capital ratio}}$$


    • EBRMi = 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;
    • IMi = the initial margin posted to the CCP by clearing member i;
    • DFi = the pre-funded contribution of clearing member i;
    • RW = a risk weight of 20 %;
    • capital ratio = 8 %.

    All values in the formula in the first subparagraph 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.

  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.
  4. For the purpose of paragraph 3, EBA shall develop draft implementing technical standards to specify the following:
    1. the frequency and dates of the calculation laid down in paragraph 2;
    2. 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.