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)

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 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.

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.

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.

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.

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 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 .

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