Information on hypothetical capital for the purposes of Article 308 of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms
As a qualifying central counterparty (QCCP), KDPW_CCP is required to determine and notify clearing members of hypothetical capital for the calculation of own funds requirements for exposures from default fund contributions. Starting in June 2021
, hypothetical capital is calculated according to Regulation (EU) No 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 and Regulation (EU) No 648/2012. The mark-to-market method (CEM) used to determine derivatives exposures has been replaced with the Standardised Approach for Counterparty Credit Risk (SA-CCR).