Own funds requirements for pre-funded contributions to the default fund of a Q CCP
Article 308
1. The exposure value for an institution's pre-funded contribution to the default fund of a Q CCP (DFi) shall be the amount paid in or the market value of the assets delivered by that institution reduced by any amount of that contribution that the Q CCP has already used to absorb its losses following the default of one or more of its clearing members. 2. An institution shall calculate the own funds requirement (K i ) to cover the exposure arising from its pre-funded contribution (DF i ) as follows: where: β = the concentration factor communicated to the institution by the CCP; N = the number of clearing members communicated to the institution by the CCP; DF CM = the sum of pre-funded contributions of all clearing members of the CCP communicated to the institution by the CCP; K CM = the sum of the own funds requirements of all clearing members of the CCP calculated in accordance with the applicable formula specified in paragraph 3 . 3. An institution shall calculate K CM as follows: (a) where K CCP ≤ DF CCP , the institution shall use the following formula: ; (b) where DF CCP < K CCP ≤DF*, the institution shall use the following formula: ; (c) where DF* < K CCP , the institution shall use the following formula: where: DF CCP = the pre-funded financial resources of the CCP communicated to the institution by the CCP; K CCP = the hypothetical capital of the CCP communicated to the institution by the CCP; DF* = ; = = the average pre-funded contribution, , communicated to the institution by the CCP; c 1 = a capital factor equal to c 2 = a capital factor equal to 100 %; μ = 1,2. 4. An institution shall calculate the risk weighted exposure amounts for exposures arising from an institution's pre-funded contribution for the purposes of Article 92(3) as the own funds requirement (K i ) determined in accordance with paragraph 2 multiplied by 12,5. 5. Where K CCP is equal to zero, institutions shall use the value for c1 of 0,16 % for the purpose of the calculation in paragraph 3.