The bank must monitor and report all CCP exposures to senior management and the board and stress test whether capital covers them, whether or not the CCP qualifies (CRE54.3 to 54.5). For a qualifying CCP it applies 2% to trade exposures as clearing member, 2% to client exposures where client positions are protected from clearing member and co-client default, and 4% where only joint default protection is missing, using a minimum 10-day MPOR for OTC derivatives (CRE54.7 to 54.17). Posted collateral keeps its own risk weight plus CCR where not bankruptcy remote (CRE54.18 to 54.23). Default fund contributions are capitalised through the KCCP formula with a 20% risk weight, 8% capital ratio and 10-business-day MPOR, capped at the non-qualifying treatment (CRE54.25 to 54.40). A CCP that stops qualifying may be treated as qualifying for three months only; non-qualifying CCPs attract standardised weights on trade exposures and 1250% on default fund contributions (CRE54.6, 54.41 to 54.42). Trading book CCR must be calculated separately from market risk using banking book risk weights (CRE55.1 to 55.4). Where permitted, in-scope non-centrally cleared SFTs with unregulated counterparties must meet haircut floors from 0.5% to 7% for debt, 6% for main index equities and 10% for other assets, or be treated as unsecured loans (CRE56.1 to 56.12).
The graph holds this control, the 0 it maps to, and the evidence behind each claim, over MCP and REST.