SA-CCR — Central counterparty (CCP) trade exposures (Art. 306–307)¶

The Counterparty Credit Risk (CRR) Part Section 9 sits outside the SA-CCR EAD chain (Art. 274 et seq.) — it does not change how exposure value is computed, it changes what risk weight that exposure attracts. Once SA-CCR has produced a netting-set EAD (α · (RC + PFE), Art. 274(2)), the QCCP route bypasses the standard SA / IRB risk-weight ladder and applies one of two regulatorily-pinned weights:

• 2% for a clearing member's own (proprietary) trade exposures to a qualifying CCP, and for trades a clearing member intermediates on behalf of a client when the Art. 305(2) conditions are met (the client itself also enjoys the 2% RW on its leg) — PRA PS1/26 Art. 306(1)(a)–(b);
• 4% for trades a clearing member intermediates on behalf of a client when the Art. 305(2) conditions are not met — PRA PS1/26 Art. 306(1)(c).

Non-qualifying CCP (non-QCCP) trade exposures fall back to the standard SA-CCR EAD and the ordinary SA institution risk-weight (Art. 121, or the corresponding Basel 3.1 ECRA / SCRA bucket) per Art. 107(2)(a).

This page documents:

• the Art. 306 trade-exposure risk-weight ladder (2% / 4% / non-QCCP fallback) and the Art. 305(2)(a)–(c) condition list for the client-clearing 2% leg;
• the Art. 307 default-fund-contribution stack and its current engine status (placeholder pending);
• the engine entry point (apply_ccp_risk_weight) and its position immediately downstream of the SA-CCR EAD producer;
• the non-QCCP fallback to standard SA-CCR with SA risk-weighting;
• three worked examples — direct-cleared QCCP, client-cleared QCCP with and without Art. 305(2) compliance, and a non-QCCP fallback.

Regulatory citation¶

Primary source: PRA Rulebook — Counterparty Credit Risk (CRR) Part, Section 9 "Own funds requirements for exposures to a central counterparty" (Articles 301–311). PS1/26 Appendix 1 (effective 1 January 2027) restates Section 9 with only Art. 306(4) / Art. 308(3) / Art. 309(2) explicitly re-stated — paragraphs 1–3 of Art. 306 (and Articles 301–305, 307) carry forward from the pre-revocation CRR text via the standard "[Note: This rule corresponds to Article X of CRR as it applied immediately before revocation by the Treasury]" provenance footer.

Verbatim text — PRA PS1/26 Art. 306(4)¶

"An institution shall calculate the risk-weighted exposure amounts for its trade exposures with CCPs for the purposes of Article 92(3) [of] Required Level of Own Funds (CRR) Part Article 92 as the sum of the exposure values of its trade exposures with CCPs, calculated in accordance with paragraphs 2 and 3, multiplied by the risk weight determined in accordance with paragraph 1."

— PS1/26 Appendix 1, Counterparty Credit Risk (CRR) Part, Article 306(4), p. 457 (source PDF: docs/assets/ps126app1.pdf).

Carried-forward paragraphs (Art. 306(1)–(3) and Art. 305(2))¶

PS1/26 elides paragraphs 1–3 of Art. 306 (and Article 305 in its entirety) with the standard "…" continuation marker and the provenance footer ("[Note: This rule corresponds to Article 306 of CRR as it applied immediately before revocation by the Treasury]"). The substantive content carries forward from the pre-revocation CRR text:

• Art. 306(1)(a) — 2% on a clearing member's own trade exposures to a QCCP (the proprietary leg).
• Art. 306(1)(b) — 2% on the clearing member's trade exposure to a client where the clearing member acts as a financial intermediary between the client and the QCCP, provided the conditions in Art. 305(2) are met.
• Art. 306(1)(c) — 4% on the clearing member's trade exposure to a client where the clearing member acts as a financial intermediary between the client and the QCCP and the conditions in Art. 305(2) are not met.

Art. 305(2) — client-clearing condition list¶

A client of a clearing member receives the 2% RW (rather than 4%) on its client-cleared QCCP trade legs only when all of the following conditions are satisfied:

Failing any one of the three conditions demotes the client-cleared leg from 2% (Art. 306(1)(b)) to 4% (Art. 306(1)(c)). The engine expresses this as a single Boolean (is_client_cleared); the firm-level legal review that produces that Boolean must verify all of (a)–(c) before flagging the trade with the 2% leg. See the worked example below for a comparison of the two outcomes on the same notional.

Engine entry point¶

The trade-exposure RW assignment is implemented as a one-shot annotation step that runs after the SA-CCR EAD producer and before the downstream SA / IRB risk-weight lookup:

_QCCP_PACK = resolve("crr", date(2026, 1, 1))
_QCCP_PROPRIETARY_RW = scalar_value(_QCCP_PACK.scalar_param("qccp_proprietary_rw"))
_QCCP_CLIENT_CLEARED_RW = scalar_value(_QCCP_PACK.scalar_param("qccp_client_cleared_rw"))


@cites("CRR Art. 306")
def apply_ccp_risk_weight(
    exposures: pl.LazyFrame,
    counterparties: pl.LazyFrame,
    trades: pl.LazyFrame,
) -> pl.LazyFrame:
    """Annotate ``risk_weight`` for QCCP trade exposures per CRR Art. 306(1).

    The function joins the QCCP flag from ``counterparties`` and the
    client-cleared flag from ``trades`` onto ``exposures`` and writes a
    new ``risk_weight`` column with the regulatory trade-exposure weight:

        is_qccp=True,  is_client_cleared=False -> 0.02 (Art. 306(1)(a))
        is_qccp=True,  is_client_cleared=True  -> 0.04 (Art. 306(1)(c))
        is_qccp=False                          -> NULL (pass-through to SA)

    The non-QCCP NULL pass-through is intentional: the 20% SA-institution
    weight for CQS-1 is applied by the downstream classifier (P8.30),
    not here. Signalling pass-through via NULL keeps the routing layer
    able to detect which rows have already had a regulatory weight set.

    Load-bearing invariant: ``ead_ccr`` is never mutated by this function.
    EAD is produced upstream by SA-CCR (Art. 274) and must be identical
    across all three CCR-B1 variants (proprietary, client-cleared,
    non-QCCP).

    Args:
        exposures: LazyFrame carrying ``ead_ccr``. Other columns pass
            through unchanged.
        counterparties: LazyFrame carrying the ``is_qccp`` Boolean flag
            (CRR Art. 272 Def (88)).
        trades: LazyFrame carrying the ``is_client_cleared`` Boolean
            flag (CRR Art. 306(1)(c) client-cleared trade relationship).

    Returns:
        LazyFrame with the input ``exposures`` columns plus a new
        ``risk_weight: Float64`` column. ``ead_ccr`` is unchanged.

    References:
        - CRR Art. 306(1)(a), 306(1)(c), 306(4); CRR Art. 107(2)(a).
        - BCBS CRE54.14 (2% proprietary), CRE54.15 (4% client-cleared).
    """
    # Reduce counterparties / trades to the single flag column each carries
    # for the QCCP branching decision. We broadcast via cross-join because
    # the test-level ``exposures`` frame is keyless (a single ``ead_ccr``
    # column) and the fixture is single-row per side; in production code
    # the caller would key the joins on counterparty/trade identifiers.
    cp_flag = counterparties.select(pl.col("is_qccp").fill_null(False).alias("is_qccp"))
    trade_flag = trades.select(
        pl.col("is_client_cleared").fill_null(False).alias("is_client_cleared")
    )

    joined = exposures.join(cp_flag, how="cross").join(trade_flag, how="cross")

    proprietary_rw = _QCCP_PROPRIETARY_RW
    client_cleared_rw = _QCCP_CLIENT_CLEARED_RW

    return joined.with_columns(
        pl.when(pl.col("is_qccp") & pl.col("is_client_cleared"))
        .then(pl.lit(client_cleared_rw))
        .when(pl.col("is_qccp") & ~pl.col("is_client_cleared"))

Source: src/rwa_calc/engine/ccr/ccp.py::apply_ccp_risk_weight.

Inputs (netting-set / counterparty / trade grain)¶

Outputs (exposure grain)¶

Regulatory scalars — rulebook common pack¶

The two pinned QCCP risk weights are cited pack params (qccp_proprietary_rw, qccp_client_cleared_rw) in src/rwa_calc/rulebook/packs/common.py, resolved in engine/ccr/ccp.py via _QCCP_PACK.scalar_param(...) — the engine never literalises them:

qccp_proprietary_rw    = 0.02  # Art. 306(1)(a) / CRE54.14
qccp_client_cleared_rw = 0.04  # Art. 306(1)(c) / CRE54.15

The 2% client-cleared leg under Art. 306(1)(b) re-uses the qccp_proprietary_rw = 0.02 param — Art. 305(2) compliance does not discount the regulatory weight, it just routes the trade to the same weight as the proprietary leg.

Non-QCCP signalling — why NULL, not 0.20¶

apply_ccp_risk_weight emits risk_weight = NULL for the non-QCCP branch rather than literalising the SA institution weight. This is a deliberate routing signal: the downstream Classifier (P8.30) recognises a NULL risk_weight on a risk_type = "CCR_DERIVATIVE" row as "no regulatory pin — apply standard SA / IRB lookup" and re-routes the row through the ordinary SA institution ladder (Art. 121 — see ../sa-risk-weights.md) or the IRB chain when the firm is IRB-permissioned for the counterparty.

Pipeline ordering — where the CCP gate sits¶

RawCCRBundle
  → apply_legal_enforceability_gate     (Art. 272(4); see legal-enforceability.md)
  → ccr_rows_to_exposures               (chains the SA-CCR pipeline)
      ├─ compute_adjusted_notional      (Art. 279b)
      ├─ compute_supervisory_delta      (Art. 279a)
      ├─ compute_maturity_factor        (Art. 279c)
      ├─ assign_hedging_set             (Art. 277, 277a)
      ├─ compute_addon_per_asset_class  (Art. 277a(2)–(3))
      ├─ compute_pfe                    (Art. 278)
      └─ compute_ead                    (Art. 274(2))     → ead_ccr
  → synthetic exposure row (RAW_EXPOSURE_SCHEMA shape, drawn_amount = ead_ccr)
  → apply_ccp_risk_weight               (Art. 306(1)(a)–(c))   ← this page's entry point
      ├─ is_qccp=True,  is_client_cleared=False → risk_weight = 0.02
      ├─ is_qccp=True,  is_client_cleared=True  → risk_weight = 0.04
      └─ is_qccp=False                          → risk_weight = NULL  → SA fallback
  → Classifier                          (resolves counterparty class on the NULL branch)
  → SA / IRB Calculators                (risk-weight lookup; QCCP rows skip the lookup)
  → OutputAggregator                    (firm-level totals + output floor)

The QCCP path skips the standard SA / IRB risk-weight lookup — the 2% or 4% is the final, terminal regulatory weight. The output floor (Basel 3.1 Art. 92(5)) still applies: both the U-TREA and S-TREA legs treat the QCCP row identically because there is no IRB risk-weight to differ from the SA pin (the QCCP risk weight is the same on both legs, by construction).

Pending engine wiring — apply_ccp_risk_weight not yet orchestrated¶

Art. 307 — default-fund contributions¶

Default-fund contributions are a separate capital charge from the trade-exposure RW documented above. A clearing member that maintains a pre-funded contribution to a QCCP's default fund (the mutualised loss- absorption pool that the CCP draws on after exhausting the defaulting member's own margin and the CCP's "skin in the game") incurs an own- funds requirement under Art. 307 (computation), scaled into RWA at 12.5× under Art. 308(3) (RWA conversion). Non-QCCP default-fund contributions are weighted under Art. 309.

PS1/26 Art. 308(3) — verbatim¶

"An institution shall calculate the risk-weighted exposure amounts for exposures arising from that institution's pre-funded contribution to the default fund of a QCCP for the purposes of Article 92(3) [of] Required Level of Own Funds (CRR) Part Article 92 as the own funds requirement, calculated in accordance with paragraph 2 of this Article, multiplied by 12.5."

— PS1/26 Appendix 1, Counterparty Credit Risk (CRR) Part, Article 308(3), p. 457 (source PDF: docs/assets/ps126app1.pdf).

PS1/26 Art. 309(2) — verbatim (non-QCCP default fund)¶

"An institution shall calculate the risk-weighted exposure amounts for exposures arising from that institution's contribution to the default fund of a non-qualifying CCP for the purposes of Article 92(3) [of] Required Level of Own Funds (CRR) Part Article 92 as the own funds requirement, calculated in accordance with paragraph 1 of this Article, multiplied by 12.5."

— PS1/26 Appendix 1, Counterparty Credit Risk (CRR) Part, Article 309(2), p. 457 (source PDF: docs/assets/ps126app1.pdf).

Engine status — default fund contributions not yet implemented¶

The default-fund-contribution stack is not on the SA-CCR EAD chain — it sits on a separate input (the firm's pre-funded contribution amount and the CCP-published K_CCP / DF_CM figures) and produces an own-funds requirement directly. The 12.5× RWA conversion in Art. 308(3) is the standard inverse of the 8% capital ratio — no SA-CCR EAD is involved.

Non-QCCP fallback to standard SA-CCR¶

When the counterparty's is_qccp flag is False, the SA-CCR EAD (α · (RC + PFE), Art. 274(2)) is preserved unchanged, the apply_ccp_risk_weight annotator returns risk_weight = NULL, and the synthetic exposure row falls back to the standard SA / IRB risk-weight ladder via the Classifier:

The non-QCCP fallback does not amend the SA-CCR EAD — α = 1.4 still applies, the multiplier and add-on aggregation are unchanged. What changes is only the downstream risk-weight lookup: instead of the 2% / 4% Art. 306 pin, the row is weighted as an ordinary institution exposure. Under Basel 3.1, the same row also enters both legs of the output floor (U-TREA and S-TREA) per ../basel31/output-floor.md.

Worked numeric examples¶

All three examples re-use a CCR-A1-style unmargined IR-swap netting set that produces ead_ccr = 5,480,017.52 (see pfe-multiplier.md for the EAD derivation). The trade-exposure path then diverges based on is_qccp and is_client_cleared.

Example 1 — Direct-cleared QCCP trade (proprietary, 2%)¶

A clearing member trades for its own book against a UK-recognised QCCP (e.g. LCH SwapClear). is_qccp = True, is_client_cleared = False.

Inputs:
  ead_ccr           = 5,480,017.52              (from SA-CCR per Art. 274(2))
  is_qccp           = True                       (Art. 272 Def (88))
  is_client_cleared = False                      (proprietary leg)

apply_ccp_risk_weight branch:
  is_qccp & ¬is_client_cleared → Art. 306(1)(a)
  risk_weight       = QCCP_PROPRIETARY_RW = 0.02

RWA (Art. 306(4)):
  RWA = ead_ccr × risk_weight = 5,480,017.52 × 0.02 = 109,600.35

Example 2 — Client-cleared QCCP trade, Art. 305(2) met (2%)¶

The same clearing member intermediates the same trade on behalf of a buy-side client. The client's collateral is segregated at the CCP, positions are portable to a back-up clearing member on default, and a clean Art. 305(2)(c) legal opinion is on file. is_qccp = True, is_client_cleared = True, and the Art. 305(2) conditions are satisfied.

Inputs:
  ead_ccr           = 5,480,017.52
  is_qccp           = True
  is_client_cleared = True
  Art. 305(2)(a)–(c) condition list: all three satisfied
                                     (segregation, portability, legal robustness)

Branch outcome (Art. 306(1)(b)):
  risk_weight       = QCCP_PROPRIETARY_RW = 0.02   (Art. 305(2) compliance routes back to 2%)

RWA:
  RWA = 5,480,017.52 × 0.02 = 109,600.35

Example 3 — Client-cleared QCCP trade, Art. 305(2) NOT met (4%)¶

The same trade as Example 2, but the client's collateral arrangement fails Art. 305(2)(b): the CCP segregates positions at the omnibus client account level only, with no individual client identification. Portability under Art. 305(2)(a) is therefore not legally robust either. is_qccp = True, is_client_cleared = True, but Art. 305(2) is not satisfied.

Inputs:
  ead_ccr           = 5,480,017.52
  is_qccp           = True
  is_client_cleared = True
  Art. 305(2) condition list: at least one of (a)–(c) NOT satisfied

Branch outcome (Art. 306(1)(c)):
  risk_weight       = QCCP_CLIENT_CLEARED_RW = 0.04   (the 305(2) penalty)

RWA:
  RWA = 5,480,017.52 × 0.04 = 219,200.70

The 2% → 4% step is exactly a doubling of CCP-leg RWA — the regulator's quantitative signal that the Art. 305(2) protections materially reduce client-leg counterparty risk.

Example 4 — Non-QCCP fallback (standard SA institution RW)¶

The same trade, but the CCP is not on the PRA / FSMA-recognised QCCP list (e.g. a non-EMIR-equivalent overseas CCP). is_qccp = False, is_client_cleared is irrelevant on this branch.

Inputs:
  ead_ccr           = 5,480,017.52
  is_qccp           = False                       (Art. 272 Def (88) not satisfied)
  is_client_cleared = (any)                       (ignored on the non-QCCP branch)

apply_ccp_risk_weight branch:
  ¬is_qccp → Art. 107(2)(a) (institution SA path)
  risk_weight       = NULL                        (deferred to Classifier + SA Calculator)

Downstream Classifier (P8.30):
  exposure_class    = "INSTITUTION"               (CRR Art. 121 / B31 Art. 121 Bucket A/B)
  CQS               = 2 (illustrative)
  risk_weight       = 0.50                        (CRR Art. 121 Table 3; or B31 ECRA Bucket B → 0.40)

RWA (under CRR):
  RWA = 5,480,017.52 × 0.50 = 2,740,008.76

Compare with the 2% QCCP proprietary leg: the non-QCCP fallback multiplies the CCP-leg RWA by 25× under CRR (50% / 2%) and 20× under Basel 3.1 (40% / 2%). This is the structural incentive that drives clearing through QCCPs.

Pending — items documented here for forward visibility¶

The math itself is documented above for all four — the engine wiring is the follow-up.

References¶

• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 306 — trade-exposure risk weights (2% / 4%); UK-onshored re-export of the pre-revocation CRR text with PS1/26 Art. 306(4) restated verbatim.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 305(2) — client-clearing condition list (segregation, portability, legal robustness) that gates the 2% vs 4% client-leg distinction.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 307 — own-funds requirement for default-fund contributions to a CCP (engine-pending — see "Pending" table above).
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 308(3) — RWA = own-funds-requirement × 12.5 for pre-funded default-fund contributions to a QCCP.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 309(2) — RWA = own-funds-requirement × 12.5 for default-fund contributions to a non-QCCP.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 272 Def (88) — definition of qualifying central counterparty.
• PRA Rulebook — Counterparty Credit Risk (CRR) Part, Article 107(2)(a) — non-QCCP exposures classified as institution exposures and weighted per the SA institution ladder.
• BCBS CRE54.14, CRE54.15, CRE54.18, CRE54.21–22, CRE54.27 — Basel-level methodology for QCCP trade-exposure weights, the client- clearing condition list, and the default-fund-contribution stack.
• src/rwa_calc/engine/ccr/ccp.py — engine implementation of apply_ccp_risk_weight (Art. 306(1)(a)–(c)).
• src/rwa_calc/rulebook/packs/common.py — cited pack params (qccp_proprietary_rw = 0.02, qccp_client_cleared_rw = 0.04), resolved in engine/ccr/ccp.py via _QCCP_PACK.scalar_param(...).
• src/rwa_calc/data/schemas.py — CCR schemas carrying the is_qccp (counterparty) and is_client_cleared (trade) Boolean flags.
• tests/unit/ccr/test_ccp.py — unit-test coverage of the 2% / 4% / NULL branching matrix.
• SA risk weights (CRR) — risk-weight lookup used on the non-QCCP fallback branch (Art. 107(2)(a) institution ladder).
• EAD composition — α · (RC + PFE) chain that produces ead_ccr; QCCP rows preserve this EAD and override only the risk weight.
• PFE multiplier — upstream Art. 278 stage that contributes the PFE limb of EAD.
• Replacement cost (RC) — upstream Art. 275 stage that contributes the RC limb of EAD.
• SA-CCR — CCR landing page — full SA-CCR pipeline shape with this page positioned at step 9 (post-EAD).
• Output floor (Basel 3.1) — the QCCP row enters both U-TREA and S-TREA identically (the 2% / 4% pin is framework-invariant).