Elderlake Partners

03 · CCP exposures

Art 300–311 CRR

Purpose & history

Concentrating risk on purpose

Post-2008 policy pushed derivatives into central clearing deliberately: netting multilateralised, margining standardised, contagion channels cut. The capital regime is the incentive half of that bargain — trade exposures to a qualifying CCP weight at 2%, an order of magnitude below bilateral — and the honesty half: clearing members mutualise each other's failures through the default fund, so default-fund contributions carry a charge keyed to KCCP, the hypothetical capital of the CCP itself, allocated pro rata. The unresolved question is the one the design created: CCPs are now the most systemic nodes in finance, and their own recovery-and-resolution regime is younger and less tested than the banks' one it was meant to protect. The 2% is a policy price, not a risk price — and everyone involved knows it.

Requirements

QCCP status monitoringQualification depends on EMIR authorisation/recognition — a live register, with capital consequences the day a CCP drops off it.
Exposure splitTrade exposures (incl. initial margin not bankruptcy-remote) vs default-fund contributions tracked separately per CCP.
KCCP data feedQuarterly hypothetical-capital disclosures from each CCP consumed into the default-fund charge; stale data has a penal fallback.
Client-clearing treatmentActing as clearing member for clients: exposures to clients capitalised; segregation and portability conditions determine the client-side reliefs.
Margin liquidityThe capital saving migrated into liquidity risk — intraday and stress VM calls belong in ILAAP, not footnotes.

Calculations

Trade exposure — the 2% Cleared IRS book, SA-CCR EAD €50m → RWA = 50 × 2% = €1.0m vs €30–40m for the same book bilateral. That ratio is the clearing mandate, expressed as capital.
Default fund — mutualisation priced CCP discloses KCCP = €300m · prefunded default fund €6bn · our contribution €150m (2.5%)
K ≈ 2.5% × 300m = €7.5m own funds (RWA-eq. ≈ €94m) — small next to the trade book, but it scales with everyone else's risk, not yours.
Non-qualifying CCP Trade exposures at bilateral weights, default fund at 1250%: the same €150m contribution → RWA €1.875bn. Qualification is worth twenty times the exposure.
Where it flows CCP RWA sit in credit risk in both floor towers; cleared trades leave CVA scope (Art 382) — one more quiet subsidy to clearing.

Changes & sources

  • Sources: Art 300–311 CRR; EMIR (incl. EMIR 3 active-account requirements pushing euro clearing into the EU); CCP recovery & resolution regulation.
  • Watch: EMIR 3 implementation reshuffling where cleared books sit, and the perennial KCCP methodology debates — the 2% itself is politically untouchable.

Independent analysis by Elderlake Partners, as at August 2026. Not legal, accounting or supervisory advice.