Basel II
In the first section below, OCC has published the following Key Summary Statistics to assist its clearing members in calculating their exposure to OCC as a central counterparty ("CCP") arising from default fund contributions under the Basel II regulatory capital framework. To arrive at these amounts, OCC has utilized a standardized template and its accompanying guidance published by the Basel Committee on Banking Supervision that is designed to facilitate consistency in the calculation of capital charges for exposures arising from default fund contributions across all clearinghouses and/or other CCPs of which banks and their affiliated entities are members. This template and associated publications released by the Basel Committee are available on the Bank for International Settlements' public website at http://www.bis.org/publ/bcbs227.htm.
To derive a clearing member's KCMi value, the clearing member will need to calculate the product of the C-factor listed below and the market value of Clearing Fund collateral deposits as of close-of-business at month-end. The latter data can be found on the Collateral Inventory by CMO report published by OCC.
Jurisdictions utilizing the Current Exposure Method As of September 30, 2024
|
Reporting currency (ISO code) |
USD |
|
Unit (1, 1000, 1000000) |
1.000 |
Key Summary Statistics
|
DFCCP, CCP's prefunded own resources |
139,984,000 |
|
DFCCP2, Prefunded CCP DF utilised alongside CM's DF |
11,978,000 |
|
DFCM, Prefunded default fund from all members |
19,963,063,676 |
|
DF', Total prefunded default fund contributions |
19,723,593,055 |
|
N, number of clearing members |
102 |
|
KCCP, hypothetical capital requirement |
1,304,479,300 |
|
Formula Selected in K*CM Calculation |
2 |
|
K*CM, aggregate capital requirement for all members |
1,294,969,325 |
|
Beta in allocation formula |
0.3908 |
|
Allocation scale for C-factor |
By DFi |
|
C-factor, RW used to calculate each CM capital requirement |
9.072% |
Historical C-factor Data
|
Date |
4/30/22 |
5/31/22 |
6/30/22 |
7/29/22 |
8/31/22 |
9/30/22 |
12/30/22 |
3/31/23 |
6/30/2023 |
9/29/23 |
12/29/23 |
3/28/24 |
6/28/24 |
9/30/24 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
C-factor |
5.580% |
6.476% |
4.888% |
6.712% |
7.558% |
6.187% |
6.605% |
8.323% |
10.203% |
10.682% |
10.773% |
11.688% |
9.121% |
9.072% |
Jurisdictions utilizing the Standardized Approach for Measuring Counterparty Credit Risk Exposures (SA-CCR)
Beginning June 1, 2018, OCC will provide clearing members access to reports and screens related to capital charges against default fund deposits (http://www.bis.org/publ/bcbs282.htm ) under the SA-CCR approach (http://www.bis.org/publ/bcbs279.htm) through the MyOCC web site. Clearing member staff with access to MyOCC will have access to these resources to view, among other things, OCC's Kccp value and their firm's Kcmi value under the SA-CCR methodology. Reports with high-level information will be available through ENCORE > Reports > Core > CMO/Exchange > Topic: Basel. Screens providing additional detail will be available at ENCORE > Risk > Basel Reporting > CMO Summary.
Any clearing member reviewing the information that wants to provide feedback or ask questions related to the data or product classifications should contact [email protected].
PLEASE NOTE:
Clearing members have requested OCC to provide certain information for purposes of calculating capital exposure amounts as may be required of the clearing member under Basel II. As an accommodation to clearing members, the following information is being provided to clearing members for their convenience for purposes of making such calculations. With respect to the question of OCC's status as a Qualifying CCP, we refer you to our separate discussion in Information Memorandums #33891, #34735, and #35828 available on OCC's public web site at https://infomemo.theocc.com/infomemo/search. Given the lack of regulatory guidance regarding data reporting, OCC has made certain assumptions and interpretations with respect to such information and makes no representation that the information is sufficient, adequate or useful in meeting any regulatory requirement, including making any calculations that may be required under Basel II. OCC accepts no responsibility for any errors or omissions, or the consequence of relying or acting upon, the information made available below. IN NO EVENT WILL OCC BE LIABLE FOR ANY CLAIMS FOR DAMAGES (INCLUDING DIRECT, INDIRECT, CONSEQUENTIAL OR SPECIAL DAMAGES), EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, ARISING OUT OF YOUR USE OF OR RELIANCE ON THIS INFORMATION. YOUR ABILITY TO ACCESS THIS INFORMATION MAY, FROM TIME TO TIME, BE DELAYED AND/OR INTERRUPTED DUE TO SCHEDULED AND/OR UNSCHEDULED CAUSES. THE INFORMATION IS PROVIDED ON AN "AS IS" AND "AS AVAILABLE" BASIS, WITHOUT ANY WARRANTY OF ANY KIND. OCC MAKES NO EXPRESS, IMPLIED OR STATUTORY REPRESENTATION OR WARRANTY REGARDING THIS INFORMATION. TO THE FULLEST EXTENT PERMITTED BY LAW, OCC SPECIFICALLY DISCLAIMS ALL REPRESENTATIONS OR WARRANTIES AS TO THE ACCURACY, COMPLETENESS, TIMELINESS, NON-INFRINGEMENT, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE OF THIS INFORMATION, AND ALL REPRESENTATIONS OR WARRANTIES ARISING FROM CUSTOM OR USAGE OR BY OPERATION OF LAW.