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