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Basel III

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 III 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 December 30, 2022

Due to an inadvertent error in the reported KCCP defining the capital held against OCC default fund contributions on November 15, 2022, OCC revised CEM Basel III results for September 2022 month-end. The inadvertent error did not have any impact to SA-CCR Basel III results for September 2022 month-end.

Please be aware that OCC will no longer publish or provide Basel CEM data after January 2023 because Basel SA-CCR has been established for a Central Clearing Party as the standard for measuring exposure at default. OCC Clearing Members may view Basel SA-CCR data in ENCORE. Please contact the Clearing Member’s OCC Credit Risk Analyst for further help.

Reporting currency (ISO code)

USD

Unit (1, 1000, 1000000)

1.000

 

Key Summary Statistics

DFCCP, CCP's prefunded own resources

229,521,000

DFCCP2, Prefunded CCP DF utilised alongside CM's DF

8,837,000

DFCM, Prefunded default fund from all members

12,928,953,032

DF', Total prefunded default fund contributions

12,934,356,923

N, number of clearing members

111

KCCP, hypothetical capital requirement

758,730,258

Formula Selected in K*CM Calculation

2

K*CM, aggregate capital requirement for all members

612,407,486

Beta in allocation formula

0.3873

Allocation scale for C-factor

By DFi

C-factor, RW used to calculate each CM capital requirement

6.605%

Historical C-factor Data

Date

10/29/21

11/30/21

12/31/21

1/31/22

2/28/22

3/31/22

4/30/22

5/31/22

6/30/22

7/29/22

8/31/22

9/30/22

12/30/2022

C-factor

7.217%

6.222%

6.005%

6.264%

6.770%

6.287%

5.580%

6.476%

4.888%

6.712%

7.558%

6.187%

6.605%






 

 

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 III. 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 III. 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.

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