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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 June 29, 2018:

Reporting currency (ISO code) USD
Unit (1, 1000, 1000000) 1.000

Key Summary Statistics

DFCCP, CCP's prefunded own resources 0
DFCCP2, Pre-funded CCP DF utilised alongside CM's DF 0
DFCM, Prefunded default fund from all members 15,617,029,037
DF', Total prefunded default fund contributions 15,316,701,556
N, number of clearing members 104
KCCP, hypothetical capital requirement 417,994,752
Formula Selected in K*CM Calculation 2
K*CM, aggregate capital requirement for all members 498,917,427
Beta in allocation formula 0.3632
Allocation scale for C-factor By DFi
C-factor, RW used to calculate each CM capital requirement 4.378%

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 https://myocc.theocc.com 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 creditriskanalysts@theocc.com.