Commission Implementing Regulation (EU) No 484/2014 of 12 May 2014 laying down implementing technical standards with regard to the hypothetical capital of a central counterparty according to Regulation (EU) No 648/2012 of the European Parliament and of the Council Text with EEA relevance
Frequency and dates of the calculation required by Article 50a(3) of Regulation (EU) No 648/2012
1. The frequency of the calculation specified in Article 50a(3) of Regulation (EU) No 648/2012 shall be monthly except where the discretion provided for in Article 3(1) of this Regulation is exercised, in which case the frequency shall be either weekly or daily.
2. Where the frequency of the calculation referred to in paragraph 1 is monthly, the CCP shall apply both of the following:
(a)
the reference days for that calculation shall be as follows:
January 31, February 28 (or February 29 in a leap year), March 31, April 30, May 31, June 30, July 31, August 31, September 30, October 31, November 30, December 31;
(b)
the day on which the CCP shall undertake that calculation (day of calculation) shall be respectively:
February 1, March 1, April 1, May 1, June 1, July 1, August 1, September 1, October 1, November 1, December 1, January 1.
3. Where the frequency referred to in paragraph 1 is weekly or daily, the day of the first calculation shall fall on the day following the day of the request of the competent authority. The first reference day shall be the day of the request of the competent authority. For the subsequent calculations the reference day shall be the day before the day of calculation. In case of weekly calculation, the time span between the days of calculation shall be 5 working days.
4. Where the day of calculation is a public holiday, Saturday or Sunday, the calculation shall be carried out on the following working day.
Frequency, dates and uniform format of the reporting required by Articles 50c(2) and 89(5a) of Regulation (EU) No 648/2012
1. The frequency of the reporting required by Article 50c(2) of Regulation (EU) No 648/2012 and, where applicable, by the third subparagraph of Article 89(5a) of Regulation (EU) No 648/2012 shall be monthly, except where the discretion provided for in Article 3(1) of this Regulation is exercised, in which case the frequency shall be either weekly or daily.
2. Where the frequency of the reporting in accordance with paragraph 1 is monthly, the reporting date shall fall within five working days from the day of calculation set in Article 1, or earlier where possible.
3. Where the frequency of the reporting referred to in paragraph 1 is daily or weekly, the reporting date shall be the day following the day of calculation.
4. Where the reporting date is a public holiday, Saturday or Sunday, the reporting date shall be the following working day.
5. CCPs shall report the information referred to in paragraph 1 using the template set out in Annex I (Information related to hypothetical capital) completed in accordance with the instructions set out in Annex II (Instructions for reporting of information related to hypothetical capital).
Conditions for higher frequencies of calculation and reporting in accordance with Article 50a(3) and Article 50c(2) of Regulation (EU) No 648/2012
1. Competent authorities of an institution acting as a clearing member may require any CCP in which that institution acts as a clearing member to undertake the calculation referred to in Article 1(1) and the reporting referred to in Article 2(1) with either a daily or a weekly frequency in either of the following situations:
(a)
where, following the default of one clearing member, a CCP is obliged to use any portion of the pre-funded financial resources that it contributed to the default waterfall in accordance with Article 43 of Regulation (EU) No 648/2012;
(b)
where, following the default of one clearing member a CCP is obliged to make use of the default fund contributions of non-defaulting clearing members in accordance with Article 42 of Regulation (EU) No 648/2012.
2. Competent authorities shall base the choice between daily and weekly frequency as provided for in paragraph 1 on the degree of actual or foreseen depletion of the pre-funded financial resources.
3. Where competent authorities require a higher frequency of calculation and reporting from a CCP in accordance with point (a) of paragraph 1, the higher frequency shall apply until the pre-funded financial resources that were contributed by the CCP to the default waterfall are restored at the levels set in Article 35 of Commission Delegated Regulation (EU) No 153/2013 ( 4 ) .
4. Where competent authorities require a higher frequency of calculation and reporting from a CCP in accordance with point (b) of paragraph 1, the higher frequency shall apply until the default fund contributions of the non-defaulting members of the CCP are restored to the levels set out in Article 42 of Regulation (EU) No 648/2012.
Transitional provision
By way of derogation from Article 2(2), during the period from the date of application of this Regulation until 31 December 2014, CCPs shall report the information referred to in that paragraph at the latest by fifteen working days after the reference day, or earlier where possible.
Entry into force and date of application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
It shall apply from 2 June 2014, except for Article 1(3), Article 2(3) and Article 3, which shall apply from 1 January 2015.
Supplementary provisions
ANNEX ISupplementary provisions
ANNEX I
Informationrelated to hypothetical capital
ID
Item
Legal references
Amount
10
Central Counterparty
—
20
Default fund identifier
Art. 50c(1), Regulation (EU) 648/2012
30
Calculation date
Art. 1(2), Commission Implementing Regulation (EU) No 484/2014
40
Hypothetical capital (K CCP )
Art. 50c(1)(a), Regulation (EU) 648/2012
50
Sum of pre-funded contributions (DF CM )
Art. 50c(1)(b), Regulation (EU) 648/2012
60
Amount of pre-funded financial resources that it is required to use before using the default fund contributions of the remaining clearing members (DF CCP )
Art. 50c(1)(c), Regulation (EU) 648/2012
70
Total number of clearing members (N)
Art. 50c(1)(d), Regulation (EU) 648/2012
80
Concentration factor (β)
Art. 50c(1)(e), Regulation (EU) 648/2012
90
Total amount of initial margin
Art. 89(5a) third subparagraph, Regulation (EU) 648/2012
Instructions for reporting information related to hypothetical capital
ANNEX IISupplementary provisions
ANNEX II
Instructions for reporting information related to hypothetical capital
1. This Annex contains additional instructions for the table provided in Annex I.
GENERAL INSTRUCTIONS
2. Frequency
2.1. Reporting of the template shall be submitted with the frequency set out in Article 1 of this Regulation.
3. Remittance dates
3.1. The remittance dates are set out in Article 2.
TEMPLATE RELATED INSTRUCTIONS
4. Sign convention
4.1. All amounts shall be reported as positive figures.
4.2. The following formats and legal references shall be taken into account for completing the templates:
Template ID
Instructions
10
Central counterparty (CCP) name
Format
Text, any number of characters
20
Default fund identifier
Legal references
Article 50c(1) of Regulation (EU) No 648/2012
Instruction
In accordance with Article 50c(1) where the CCP has more than one default fund, it shall report the information in the first subparagraph of that Article for each default fund separately.
Format
Text, any number of characters
Calculation
None
30
Calculation date
Legal references
Article 1(2) of this Regulation
Note
Calculation date in accordance with Article 1(2) of this Regulation depending on the required frequency.
Format
YYYY-MM-DD
Four-digit year, hyphen, two-digit month, hyphen, two-digit day
Calculation
None
40
Hypothetical capital (K CCP )
Legal references
Article 50c(1)(a) of Regulation (EU) No 648/2012
Instructions
The reporting currency shall be identified using ISO 4217 currency code followed by a space and the amount. Figures can be rounded with a rounding error smaller than 1 %.
Format
ISO-Code amount
Calculation
The hypothetical capital shall be calculated as required in Article 50a(2) of Regulation (EU) No 648/2012.
50
Sum of pre-funded contributions (DF CM )
Legal references
Article 50c(1)(b) of Regulation (EU) No 648/2012.
Calculation
The pre-funded contributions shall be calculated as the sum of the pre-funded contribution of clearing member as required in Article 308(2) of Regulation (EU) No 575/2013.
Instructions
The reporting currency shall be identified using ISO 4217 currency code followed by a space and the amount. Figures can be rounded with a rounding error smaller than 1 %.
Format
ISO-Code amount
60
Amount of pre-funded financial resources that it is required to use before using the default fund contributions of the remaining clearing members (DF CCP )
Legal references
Article 50c(1)(c) of Regulation (EU) No 648/2012
Calculation
The sum of pre-funded contributions of all clearing members of the CCP shall be calculated as required in Article 308(3)(c) of Regulation (EU) No 575/2013.
Instructions
The reporting currency shall be identified using ISO 4217 currency code followed by a space and the amount. Figures can be rounded with a rounding error smaller than 1 %.
Format
ISO-Code amount
70
Total number of clearing members (N)
Legal references
Article 50c(1)(d) of Regulation (EU) No 648/2012
Calculation
The number of the clearing members of the CCP.
Format
Integer number
80
Concentration factor (β)
Legal references
Article 50c(1)(e) of Regulation (EU) No 648/2012
Calculation
The concentration factor shall be calculated as required in Article 50d(c) of Regulation (EU) No 648/2012.
Instructions
The reporting currency shall be identified using ISO 4217 currency code followed by a space and the amount. Figures can be rounded with a rounding error smaller than 1 %.
Format
ISO-Code amount
90
Total amount of initial margin
Legal references
Third subparagraph of Article 89(5a) of Regulation (EU) No 648/2012.
Calculation
The total initial margin received by the CCP from its clearing members shall be calculated as required in Articles 24 to 27 of the Delegated Regulation (EU) No 153/2013.
Instructions
This information shall be reported only where applicable. The reporting currency shall be identified using ISO 4217 currency code followed by a space and the amount. Figures can be rounded with a rounding error smaller than 1 %.
Format
ISO-Code amount
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