Instructions for the tables included in Annex I of this Standard




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ANNEX II

REPORTING ON HYPOTHETICAL CAPITAL


  1. This Annex contains additional instructions for the tables included in Annex I of this Standard.

    GENERAL INSTRUCTIONS

  1. Frequency

    1. Reporting of the template shall be submitted with the frequency set out in Article 1 of this Regulation.

  2. Remittance dates

    1. The remittance dates as set out in Article 2 of this Regulation.

    TEMPLATE RELATED INSTRUCTIONS

  1. Sign convention

    1. All amounts shall be reported as positive figures.

    2. Included in the box below are some clarifications related to formats and legal references that need to be considered for completing the templates:

Template ID

Instructions

10

Central counterparty 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 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 (KCCP)

Legal references

Article 50c(1)(a) of Regulation (EU) 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 computed as prescribed in Art. 50a(2) of Regulation (EU) No 648/2012.

50

Sum of pre-funded contributions (DFCM)

Legal references

Article 50c(1)(b) of Regulation (EU) 648/2012.

Calculation

The pre-funded contributions shall be computed as the sum of the pre-funded contribution of clearing member as prescribed in Art. 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 (DFCCP)

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 computed as prescribed in Art. 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) 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) 648/2012

Calculation

The concentration factor shall be computed as prescribed in Art. 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) 648/2012.

Calculation

The total initial margin received by the CCP from its clearing members shall be computed as prescribed in Articles 24 to 27 of the Commission Delegated Regulation (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012.

Instructions

This information should 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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