AI Summary of Article 520 Amendment of Regulation (EU) No 648/2012
Regulation (EU) No 648/2012 has been amended to include detailed provisions for the calculation of hypothetical capital (KCCP) by central counterparties (CCPs) as part of compliance with Regulation (EU) No 575/2013. This includes calculating exposure values, initial margins, and default fund contributions, with defined risk weights and capital ratios.
Furthermore, CCPs are required to report specified information to clearing members and competent authorities quarterly, including KCCP and related financial resources. The European Banking Authority is tasked with developing implementing technical standards to ensure consistent reporting and calculation practices across the sector.
Article 520 Amendment of Regulation (EU) No 648/2012
Regulation (EU) No 648/2012 is amended as follows:
(1) the following Chapter is added in Title IV:
"Chapter 4 Calculations and reporting for the purposes of Regulation (EU) No 575/2013
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 [OJ L 176, 27.6.2013, p. 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:
where:
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 %.