Commission Delegated Regulation (EU) 2023/840 of 25 November 2022 supplementing Regulation (EU) 2021/23 of the European Parliament and of the Council with regard to regulatory technical standards specifying the methodology for calculation and maintenance of the additional amount of pre-funded dedicated own resources to be used in accordance with Article 9(14) of that Regulation (Text with EEA relevance)

Calculation and allocation of the additional amount of the CCP’s pre-funded dedicated own resources

Article 1

1.   CCPs shall calculate the additional amount of pre-funded dedicated own resources referred to in Article 9(14) of Regulation (EU) 2021/23 by multiplying the risk-based capital requirements calculated in accordance with Article 16(2) of Regulation (EU) No 648/2012 and Commission Delegated Regulation (EU) No 152/2013  ( 4 ) with the percentage level ‘P’ of the additional amount of the CCPs’ pre-funded dedicated own resources determined in accordance with Article 2. 2.   CCPs shall review the determination of the percentage level and the additional amount of pre-funded dedicated own resources calculated in accordance with paragraph 1 following every material change to their risk-based capital requirements calculated in accordance with Article 16(2) of Regulation (EU) No 648/2012, and at least once a year. 3.   CCPs that decide to voluntarily apply the maximum 25 % percentage to calculate the additional amount of pre-funded dedicated own resources referred to in Article 9(14) of Regulation (EU) 2021/23 shall not be required to determine the percentage level referred to in Article 2 of this Regulation. 4.   CCPs that have established more than one default fund for the different classes of financial instruments they clear, shall allocate the additional amount of pre-funded dedicated own resources calculated in accordance with paragraph 1 to each of the default funds in proportion to the size of each default fund. CCPs shall indicate the allocation separately in their balance sheets. CCPs shall use the additional amounts allocated to a default fund for defaults arising in the market segments to which the default fund refers. In the case of a non-default event, CCPs shall allocate the full amount of the additional amount of pre-funded dedicated own resources calculated in accordance with paragraph 1 against the losses incurred as a result of the non-default event.

Determination of the percentage level of the additional amount of the CCP’s pre-funded dedicated own resources

Article 2

CCPs shall calculate the percentage level of the additional amount of the CCP’s pre-funded dedicated own resources referred to in Article 1(1) in accordance with the formulas set out in Annex.

Maintenance of the additional amount of the CCPs’ pre-funded dedicated own resources

Article 3

1.   CCPs shall immediately notify their competent authority in writing where the additional amount of pre-funded dedicated own resources falls below the required additional amount calculated in accordance with Article 1(1), and in case of any subsequent reductions of that additional amount. That written notification shall set out in detail the remaining additional amount of pre-funded dedicated own resources and inform the competent authority of whether any further reduction to that amount is to be expected in the five business days following that notification. The written notification shall also set out why the additional amount of pre-funded dedicated own resources has fallen below the required additional amount and contain a comprehensive description of the measures and the timetable for the replenishment of that amount. 2.   CCPs shall use only the residual amount of the additional amount of pre-funded dedicated own resources for the purposes of Article 9(14) of Regulation (EU) 2021/23 where a subsequent default of one or more clearing members or a non-default event occurs before the CCP concerned has replenished the full additional amount of its pre-funded dedicated own resources as calculated in accordance with Article 1(1). 3.   CCPs shall replenish the additional amount of pre-funded dedicated own resources at the latest within 20 working days from the first notification in writing referred to in paragraph 1. 4.   Where the percentage level determined in accordance with Article 2 is higher than 10 %, CCPs may, invest the excess requested amount of additional pre-funded dedicated own resources in gold and in financial instruments considered to be highly liquid collateral in accordance with Article 46(1) of Regulation (EU) No 648/2012, provided that: (a) such assets are included in the CCPs’ collateral policy; (b) such assets are not bank guarantees, derivatives or equities; (c) the CCPs concerned have in place the procedures set out in Article 4 and Article 5 of this Regulation.

Procedure for applying recovery measures where the additional amount is not immediately available

Article 4

1.   CCPs shall immediately inform their competent authority and their clearing members of the fact that, following a default or a non-default event, the additional amount of pre-funded dedicated own resources calculated in accordance with Article 1 is not immediately available. They shall also provide their competent authority and their clearing members with a detailed description of the additional amount of pre-funded dedicated own resources unavailable, and the reason for that unavailability. 2.   Where, following a default or non-default event, CCPs collect financial resources from non-defaulting clearing members, the amount shall be equal to the unavailable additional amount of pre-funded dedicated own resources and the CCPs concerned shall distribute that amount among the non-defaulting clearing members proportionally to their default fund contributions.

Procedure for the compensation of non-defaulting clearing members that have provided a financial contribution where the additional amount is not immediately available

Article 5

1.   CCPs shall take all reasonable measures to reimburse non-defaulting clearing members that have contributed financially to the CCP in accordance with Article 4(2). They shall do so by monetising the assets used to invest the additional amount of pre-funded dedicated own resources calculated in accordance with Article 1(1) at the latest within 20 working days after notification of the funds’ unavailability referred to in Article 4(1). 2.   Subject to paragraph 4, CCPs shall reimburse the non-defaulting clearing members within a reasonable timeframe and continue until all amounts have been recouped. 3.   The reimbursement of all amounts due to non-defaulting clearing members shall be made in cash, in the same currency in which the non-defaulting clearing member contributed financially to the CCP. 4.   CCPs shall pay non-defaulting clearing members their amounts due after all of the following has occurred: (a) operational costs have been serviced; (b) any due and payable debt obligation has been paid; (c) any recompense to be paid within the timeframe set out in Article 3 of Commission Delegated Regulation (EU) 2023/450  ( 5 ) has been paid. 5.   CCPs shall pay an annual interest on the amounts due where the full reimbursement takes more than 120 working days from the date of the initial recovery measure that required the financial contribution of non-defaulting clearing members. The interest rate shall be set at the default interest rate calculated in accordance with Article 99 of Regulation (EU, Euratom) 2018/1046 of the European Parliament and of the Council  ( 6 ) .

Entry into force

Article 6

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .

ANNEXSupplementary provisions

ANNEX 1.    General instructions The percentage level of the additional amount of the CCP’s prefunded dedicated own resources referred to in Article 1(1) shall be calculated by the CCP in accordance with the following formula: ) where: ‘A’ = parameters A 1 to A 5 which the CCP shall calculate in accordance with sections 2 to 6 of this Annex; ‘B’ = parameters B 1 to B 3 which the CCP shall calculate in accordance with sections 7 to 9 of this Annex. Parameters A 1 to A 5 reflect the structure, internal organisation as well as the nature scope and complexity of a CCP’s activities, and the parameters B 1 to B 3 reflect the structure of incentives of the CCP’s shareholders, management and clearing members, including clients of those clearing members. The final percentage level (P) shall be rounded to the closest whole number. 2.    The nature and complexity of asset classes cleared The parameter A 1 refers to the nature and the complexity of asset classes cleared. The parameter A 1 shall range from 1 % to 7 %. The parameter A 1 shall be calculated in accordance with the following formula: where: I assets reflects the number of different asset classes cleared by the CCP. The value of I assets shall be calculated in accordance with the following formula: , where N assets = the number of different asset classes cleared by the CCP; I FX reflects the number of currencies cleared by the CCP. The value of I FX shall be 1 % where the CCP clears assets labelled in or offers settlement in more than one currency, and 0 % otherwise; I settl reflects the settlement mode of derivatives. The value of I settl shall be 1 % where the CCP offers physical settlement of derivatives contracts, and 0 % otherwise. 3.    The CCP’s relationships and interdependencies with other financial market infrastructures and other financial institutions The parameter A 2 refers to the CCP’s relationships and interdependencies with other financial market infrastructures and other financial institutions. The parameter A 2 shall range from 0 % to 2 %. The parameter A 2 shall be calculated in accordance with the following formula: where: I FMI reflects the number of interdependencies. The value of I FMI shall be 1 % where the CCP has more than five interdependencies with trading venues, payment systems and settlement systems, and 0 % otherwise; I CMs reflects the concentration of the CCP’s clearing membership. The value of I CMs shall be 1 % where the CCP’s top five clearing members represent more than 40 % of the CCP’s total pre-funded resources, aggregated across all services and default funds, and 0 % otherwise. CCP shall determine the share of the top five clearing members’ resources based on a yearly average. 4.    The internal organisation of the CCP The parameter A 3 refers to the efficiency of the CCP’s internal organisation. The value of A 3 shall range from 0 % to 5 %. The parameter A 3 shall be calculated in accordance with the following formula: where: I Riskco reflects the interaction between the board and the risk committee established pursuant to Article 28 of Regulation (EU) 648/2012. The value of I RiskCo shall be 2 % where the CCP’s Board has taken more than 3 decisions over the last 3 years where the recommendation or advised position of the risk committee was not followed, and 0 % otherwise; I reporting reflects the reporting level for model validation. The value of I reporting shall be 0 % where model validation is structurally independent from model development, and 1 % otherwise; I Riskstaff reflects the proportion of staff allocated to the risk management function. The value of I Riskstaff shall range between 0 % and 2 %, and shall be calculated in accordance with the following formula: where P risk = the proportion of risk management full-time equivalents as part of the total CCP’s full-time equivalents, including outsourced functions. The value of I Riskstaff shall be 2 % where the P risk is equal to 0 %, and 0 % where the P risk is equal to 20 %. 5.    The robustness of the CCP’s risk management framework The parameter A 4 refers to the robustness of the CCP’s risk management framework. The value of A 4 shall range from 0 % to 8 %. The parameter A 4 shall be calculated in accordance with the following formula: where: I BT reflects the adequacy of the CCP’s margins as assessed by its back-tests. The value of I BT shall range between 0 % and 4 % and shall be calculated in accordance with the following formula: where P BT = the percentage of the CCP’s clearing accounts, calculated as the number of clearing accounts meeting the criterion compared to the total number of clearing accounts of the CCP, for which margin back-tests’ performance is below the EMIR minimum requirement as specified under Article 24 of Commission Delegated Regulation (EU) No 153/2013  ( 1 ) over the last 12 months. The value of I BT shall be 4 % where P BT is at 100 %; I incident reflects the operational robustness of the CCP, based on the number of trade incidents. The value of I incident shall range between 0 % and 2 % and shall be calculated in accordance with the following formula: where N days = the number of days on which the CCP has been unable to process new trades for 2 hours or more over the last 12 months. The value of I incident shall be 2 % where N days = 10 days; I payments reflects the operational robustness of the CCP, based on the number of payment incidents. The value of I payments shall range between 0 % and 2 % and be calculated in accordance with the following formula: where N days = the number of days on which the CCP has been unable to process or receive payments for 2 hours or more over the last 12 months. The value of I payments shall be 2 % where N days = 10 days. 6.    Pending remedial actions following findings by the CCP’s competent authority The parameter A 5 refers to the number of material pending remedial actions following findings from the CCP’s competent authority. The value of A 5 shall range from 0 % to 2 %. The value of A 5 shall be calculated in accordance with the following formula: where: I reco reflects the pending actions on prudential matters. The value of I reco shall be 2 % where the CCP has at least one pending material remedial action following findings from its competent authority for which the CCP exceeded the deadline set by the competent authority in the remedial plan, and 0 % otherwise; For the purposes of this formula, a remedial action shall be considered material where the CCP or the competent authority concerned has allocated that remedial action the highest priority, based either on the CCP’s internal materiality matrix or on the competent authority’s own classification. 7.    The CCP’s ownership, capital structure and profitability The parameter B 1 refers to the CCP’s ownership and capital structure. The value of B 1 shall range from 0 % to 4 %. The value of B 1 shall be calculated in accordance with the following formula: where: I majority reflects the nature of the CCP’s parent undertaking. The value of I majority shall be 2 % where the CCP has a parent undertaking, other than publicly owned groups, unrated or rated below investment grade, and 0 % otherwise. The rating shall be the worst rating of the entity provided by an authorised credit rating agency; I support reflects the support from the CCPs parent undertaking. The value of I support shall be 0 % where the CCP benefits from contractually agreed material financial support from its parent undertaking in the event or a default or non-default event, including committed lines or insurance contracts, and 2 % otherwise. 8.    Remuneration of the senior management The parameter B 2 refers to the extent to which the remuneration of the senior management can be contractually impacted following a default or a non-default event. The value of B 2 shall range from 0 % to 2 %. The value of B 2 shall be calculated in accordance with the following formula: where: I %amount reflects the share of the senior management total variable remuneration subject to claw back clauses. The value of I %amount shall range between 0 % and 1 % and shall be calculated in accordance with the following formula: where P amount = the percentage of the CCP’s senior management total yearly variable remuneration subject to claw back clauses in a default/or non-default event. The value of I %amount shall be 1 % where P amount is 0 %; I %staff reflects the percentage of the senior management staff subject to claw back clauses in case of default or non-default losses. The value of I %staff shall range between 0 % and 1 % and shall be calculated in accordance with the following formula: where P %staff = the percentage of the CCP’s senior management, expressed as a % of the yearly average senior management FTEs, subject to variable remuneration claw back clause. 9.    The clearing members’ and clients’ involvement in the CCP’s risk governance The parameter B 3 refers to the clearing members’ and clients’ involvement in the CCP’s risk governance. The value of B 3 shall range from 0 % to 2 %. The value of B 3 shall be calculated in accordance with the following formula: where: I investment reflects the involvement of clearing members and clients in the investment decision process. The value of I investment shall be 0 % where clearing members are involved in the investment decision and bear some of the potential losses, and 1 % otherwise. For the purposes of the determination of the value of I investment indicator, CCPs shall consider clearing members to be involved in the investment decision where they are consulted in either the approval process of the CCP’s investment policy, or in each separate investment decision; I incentives reflects the incentives for clearing members in the default management process. The value of I incentives shall be 0 % where there are incentives for clearing members to participate in the default management process, and 1 % otherwise. ( 1 )   Commission Delegated Regulation (EU) No 153/2013 of 19 December 2012 supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with regard to regulatory technical standards on requirements for central counterparties Text with EEA relevance ( OJ L 52, 23.2.2013, p. 41 ).