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Basel III

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.

As of January 31, 2017:

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 7,005,583,133
DF', Total prefunded default fund contributions 6,877,040,323
N, number of clearing members 109
KCCP, hypothetical capital requirement 450,674,347
Formula Selected in K*CM Calculation 2
K*CM, aggregate capital requirement for all members 496,070,998
Beta in allocation formula 0.2994
Allocation scale for C-factor By DFi
C-factor, RW used to calculate each CM capital requirement 9.241%