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π Back to Summary. π«π· French version: 2012R0648EMIR REFIT_FR.50 ter. Open the PDF. Direct link to EUR-LEX.
Article 50 β Settlement β¬ οΈ | β‘οΈ Article 50c β Reporting of information
Article 50b - General rules for the calculation of KCCP
For the purposes of the calculation laid down in Article 50a(2), the following shall apply:
(a) a CCP shall calculate the value of the exposures it has to its clearing members as follows:
(i) for exposures arising from contracts and transactions listed in Article 301(1)(a) and (d) of Regulation (EU) No 575/2013 it shall calculate them in accordance with the mark-to-market method laid down in Article 274 thereof;
(ii) for exposures arising from contracts and transactions listed in Article 301(1)(b), (c) and (e) of Regulation (EU) No 575/2013 it shall calculate them in accordance with the Financial Collateral Comprehensive Method specified in Article 223 of that Regulation with supervisory volatility adjustments, specified in Articles 223 and 224 of that Regulation. The exception set out in point (a) of Article 285(3) of that Regulation, shall not apply;
(iii) for exposures arising from transactions not listed in 2013 and which entails settlement risk only it shall calculate them in accordance with Part Three, Title V 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 Part Three, Title II of that Regulation;
(c) when calculating the values referred to in point (a), the CCP shall subtract from its exposures the collateral posted by its clearing members, appropriately reduced by the supervisory volatility adjustments in accordance with the Financial Collateral Comprehensive Method specified in 2013;
(e) where a CCP has exposures to one or more CCPs it shall treat any such 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 KCCP;
(f) where a CCP has in place a binding contractual arrangement with its clearing members that allows it to use all or part of the initial margin received from its clearing members as if they were pre-funded contributions, the CCP shall consider that initial margin as prefunded contributions for the purposes of the calculation in paragraph 1 and not as initial margin;
(h) when applying the Mark-to-Market Method as set out in 2013, a CCP shall replace the formula in point (c)(ii) of Article 298(1) of that Regulation with the following: where the numerator of NGR is calculated in accordance with Article 274(1) of that Regulation and just before the variation margin is actually exchanged at the end of the settlement period, and the denominator is gross replacement cost;
(i) where a CCP cannot calculate the value of NGR as set out in point (c)(ii) of 2013, it shall:
(i) notify those of its clearing members which are institutions and their competent authorities about its inability to calculate NGR and the reasons why it is unable to carry out the calculation;
(ii) for a period of three months, it may use a value of NGR of 0,3 to perform the calculation of PCEred specified in point (h) of this Article;
(j) where, at the end of the period specified in point (ii) of point (i), the CCP would still be unable to calculate the value of NGR, it shall do the following:
(i) stop calculating KCCP;
(ii) notify those of its clearing members which are institutions and their competent authorities that it has stopped calculating KCCP;
(k) for the purpose of calculating the potential future exposure for options and swaptions in accordance with the Mark-to-Market Method specified in 2013, a CCP shall multiply the notional amount of the contract by the absolute value of the optionβs delta (Ξ΄V/ Ξ΄p) as set out in point (a) of Article 280(1) of that Regulation;
(l) where a CCP has more than one default fund, it shall carry out the calculation laid down in Article 50a(2) for each default fund separately.