Commission Delegated Regulation (EU) 2020/1303 of 14 July 2020 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to the criteria that ESMA should take into account to determine whether a central counterparty established in a third country is systemically important or likely to become systemically important for the financial stability of the Union or of one or more of its Member States (Text with EEA relevance)
The nature, size and complexity of the CCP’s business
1. When taking into account the criterion set out in point (a) of Article 25(2a) of Regulation (EU) No 648/2012, ESMA shall assess the following elements:
(a)
the countries where the CCP provides or intends to provide services;
(b)
the extent to which the CCP provides other services in addition to clearing services;
(c)
the type of financial instruments cleared or to be cleared by the CCP;
(d)
whether the financial instruments cleared or to be cleared by the CCP are subject to the clearing obligation under Article 4 of Regulation (EU) No 648/2012;
(e)
the average values cleared by the CCP over one year, at the following levels:
(i)
the level of the CCP;
(ii)
the level of each clearing member that is an entity established in the Union or an entity part of a group subject to consolidated supervision in the Union;
(iii)
the level of clearing members established outside of the Union or that are not part of a group subject to consolidated supervision in the Union where they clear on behalf of clients and indirect clients established in the Union, in aggregate;
(f)
whether the CCP has completed an assessment of its risk profile based on internationally agreed standards or otherwise, the methodology used and the result of the assessment.
2. For the purposes of point (e) of paragraph 1, ESMA shall assess the following values separately:
(a)
for securities transactions (including securities financing transactions according to Regulation (EU) 2015/2365 of the European Parliament and of the Council) ( 3 ) , the value of open positions or open interest;
(b)
for derivative transactions traded on a regulated market within the meaning of Directive 2014/65/EU of the European Parliament and of the Council ( 4 ) , the value of open interest or turnover;
(c)
for over-the-counter (OTC) derivatives transactions, the gross and net notional outstanding amount.
Those values shall be assessed per currency and per asset class.
3. Where any of the indicators referred to in Article 6 applies, ESMA, in addition to the elements listed in paragraph 1 of this Article, shall also assess the following elements:
(a)
the ownership structure of the CCP;
(b)
where the CCP belongs to the same group as another financial market infrastructure, such as another CCP or central securities depository, the corporate structure of the group to which the CCP belongs;
(c)
whether the CCP provides clearing services to clients or indirect clients established in the Union through clearing members established outside of the Union;
(d)
the nature, depth and liquidity of the markets served and the level of available information on the adequate pricing data to market participants and any generally accepted and reliable pricing sources;
(e)
whether quotes, pre-trade bid and offer prices and depths of trading interests are made public;
(f)
whether post-trade price, volume and time of the transactions executed or concluded, on and off the markets served by the CCP are made public.
The effect of failure of or a disruption to a CCP
1. When taking into account the criterion set out in point (b) of Article 25(2a) of Regulation (EU) No 648/2012, ESMA shall assess the following elements:
(a)
the capital, including retained earnings and reserves, of the CCP;
(b)
the type and amount of collateral accepted and held by the CCP, the haircuts applied, the corresponding haircut methodology, the currencies in which the collateral is denominated and the extent to which the collateral is provided by entities established in the Union or that are part of a group subject to consolidated supervision in the Union;
(c)
the maximum amount of margins collected by the CCP on a single day during a period of 365 days preceding ESMA’s assessment;
(d)
the maximum amount of margins collected by the CCP on a single day during a period of 365 days preceding ESMA’s assessment from each clearing member that is an entity established in the Union or an entity part of a group subject to consolidated supervision in the Union, per asset class or segregated default fund where applicable;
(e)
where applicable for each default fund of the CCP, the maximum default fund contributions required and held by the CCP on a single day during a period of 365 days preceding ESMA’s assessment;
(f)
where applicable for each default fund of the CCP, the maximum default fund contributions required and held by the CCP on a single day during a period of 365 days preceding ESMA’s assessment from each clearing member that is an entity established in the Union or an entity part of a group subject to consolidated supervision in the Union;
(g)
the estimated largest payment obligation on a single day in total and in each Union currency that would be caused by the default of any one or two largest single clearing members (and their affiliates) in extreme but plausible market conditions;
(h)
the total amount and for each Union currency of liquid financial resources to the CCP’s benefit separated by type of resources, including cash deposits, committed or uncommitted resources;
(i)
the amount of total liquid financial resources committed to the CCP by entities established in the Union or that are part of a group subject to consolidated supervision in the Union.
2. Where any of the indicators referred to in Article 6 applies, ESMA, in addition to the elements listed in paragraph 1 of this Article, shall also assess the following elements:
(a)
the identity of the liquidity providers established in the Union or which are part of a group subject to consolidated supervision in the Union;
(b)
the average and peak aggregate daily values of incoming and outgoing Union currency payments;
(c)
the extent to which central bank money is used for settlement and payment or whether other entities are used for settlement or payment;
(d)
the extent to which the CCP applies technologies such as distributed ledger technology in its settlement/payment process;
(e)
the recovery plan of the CCP;
(f)
the resolution regime applicable to the CCP;
(g)
whether a crisis management group has been established for that CCP.
The CCP’s clearing membership structure
1. When taking into account the criterion set out in point (c) of Article 25(2a) of Regulation (EU) No 648/2012 ESMA shall assess the following:
(a)
the clearing membership and, where the information is available, whether and which clients or indirect clients, established in the Union or that are part of a group subject to consolidated supervision in the Union are using the clearing services of the CCP; and
(b)
the different options available to access the clearing services of the CCP (including different membership and direct access models for clients), any conditions for granting, denying or terminating access.
2. Where any of the indicators referred to in Article 6 applies, ESMA, in addition to the elements listed in paragraph 1 of this Article, shall specifically assess any legal or prudential requirements imposed by the CCP on clearing members to access its clearing services.
Alternative clearing services provided by other CCPs
1. When taking into account the criterion set out in point (d) of Article 25(2a) of Regulation (EU) No 648/2012, ESMA shall assess whether clearing members and clients established in the Union may access some or all of the clearing services provided by a CCP through other CCPs and whether those CCPs are authorised or recognised under Articles 14 and 25 of that Regulation.
2. Where any of the indicators referred to in Article 6 applies, ESMA, in addition to the elements listed in paragraph 1 of this Article, shall also assess whether the services provided by the CCP relate to a class of derivatives subject to the clearing obligation under Article 4 of Regulation (EU) No 648/2012.
The CCP’s relationship, interdependencies, or other interactions
1. When taking into account the criterion set out in point (e) of Article 25(2a) of Regulation (EU) No 648/2012, ESMA shall assess the scope of functions, services or activities that have been outsourced by the CCP.
2. Where any of the indicators referred to in Article 6 applies, ESMA, in addition to the elements listed in paragraph 1 of this Article, shall also assess the following elements:
(a)
the possible effects that the inability of the provider of outsourced functions, services or activities to comply with its obligations under the outsourcing arrangements would have on the Union or one or more of its Members States;
(b)
whether the CCP serves trading venues established in the Union;
(c)
whether the CCP has interoperability arrangements or cross-margining agreements with CCPs established in the Union, or links with or participation in other financial market infrastructures located in the Union, such as Central Securities Depositaries or payment systems.
Indicators of minimum exposure of clearing members and clients established in the Union to the CCP
1. The indicators for the purpose of Articles 1 to 5 are the following:
(a)
the maximum open interest of securities transactions, including securities financing transactions, or exchange traded derivatives denominated in Union currencies cleared by the CCP over a period of one year prior to the assessment or intended to be cleared by the CCP over a period of one year following the assessment is more than EUR 1 000 billion;
(b)
the maximum notional outstanding of OTC derivatives transactions denominated in Union currencies cleared by the CCP over a period of one year prior to the assessment or intended to be cleared by the CCP over a period of one year following the assessment is more than EUR 1 000 billion;
(c)
the average aggregated margin requirement and default fund contributions for accounts held at the CCP by clearing members that are entities established in the Union or part of a group subject to consolidated supervision in the Union, calculated by the CCP on a net basis at clearing member account level over a period of two years prior to the assessment is more than EUR 25 billion;
(d)
the estimated largest payment obligation committed by entities established in the Union or part of a group subject to consolidated supervision in the Union and computed over a period of one year prior to the assessment, that would result from the default of at least the two largest single clearing members and their affiliates, in extreme but plausible market conditions is more than EUR 3 billion.
For the purposes of point (d), the payment obligation shall aggregate the commitments in all currencies of the Union converted into EUR as necessary.
2. ESMA may only determine, based on the criteria specified in Articles 1 to 5, that a third-country CCP is a Tier 2 CCP where at least one of the indicators in paragraph 1 is met.
Entry into force
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union .
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
