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 |
||
|
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 (KCCP) |
|
|
Legal references |
||
|
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 (DFCM) |
|
|
Legal references |
||
|
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 (DFCCP) |
|
|
Legal references |
||
|
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 |
||
|
Calculation |
The number of the clearing members of the CCP. |
|
|
Format |
Integer number |
|
|
80 |
Concentration factor (β) |
|
|
Legal references |
||
|
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 |
|