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🔗 Back to Summary. 🇫🇷 French version: 2012R0648EMIR 2.2_FR.50. Open the PDF. Direct link to EUR-LEX.
Article 49 – Review of models, stress testing and back testing ⬅️ | ➡️ Article 50b – General rules for the calculation of KCCP
Article 50 - Settlement
1.
A CCP shall, where practical and available, use central bank money to settle its transactions. Where central bank money is not used, steps shall be taken to strictly limit cash settlement risks.
2.
A CCP shall clearly state its obligations with respect to deliveries of financial instruments, including whether it has an obligation to make or receive delivery of a financial instrument or whether it indemnifies participants for losses incurred in the delivery process.
3.
Where a CCP has an obligation to make or receive deliveries of financial instruments, it shall eliminate principal risk through the use of delivery-versus-payment mechanisms to the extent possible.
1.
For the purposes of 2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms (
18
), 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 %.
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:
(a) the frequency and dates of the calculation laid down in paragraph 2;
(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).
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.