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Hypothetical capital

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).