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CCPRRR ToolDelegated Regulation 2023/451
Article 1

Article 1 - Delegated Regulation 2023/451

Article 1

Assessment of a CCP’s capital structure and financial risk

When assessing the adequacy of a CCP’s recovery plan in respect of that CCP’s capital structure and financial risk, competent authorities and supervisory colleges shall consider all of the following factors:

(a)

whether there are any inconsistencies between the CCP’s capital structure and the recovery measures designed to ensure timely recapitalisation of the CCP should its capital level fall below the notification threshold or capital requirements;

(b)

whether the recovery plan duly accounts for the additional amount of pre-funded dedicated own resources referred to in Article 9(14) of Regulation (EU) 2021/23;

(c)

whether, considering the types of products cleared, the measures in the recovery plan are well designed, feasible, credible and suitable for the CCP to:

(i)

restore the CCP’s matched book and capital;

(ii)

replenish pre-funded resources;

(iii)

maintain access to sufficient sources of liquidity;

(iv)

maintain or restore the financial viability and soundness of the CCP by undertaking certain recovery tools or measures, including loss allocation tools such as recovery cash calls, reduction in value of gains payable by the CCP to non-defaulting clearing members, position allocation and other liquidity actions;

(d)

whether the measures in the recovery plan are duly tested to allow for allocation and price discovery;

(e)

whether the measures in the recovery plan and the tools referred to in point (c)(iv) are sufficiently reliable and promptly available in case of both idiosyncratic and system-wide recovery events;

(f)

whether the recovery plan sets out arrangements to address both funding gaps and temporary liquidity gaps, and specifies the liquidity arrangements available to the CCP;

(g)

whether the measures in the recovery plan take into account the margin model and margin processes as well as the collateral framework, including a list of accepted collateral and collateral haircuts within the CCP, and in particular all of the following:

(i)

the maximum amount of margins collected by the CCP;

(ii)

where applicable, for each default fund of the CCP, the maximum default fund contributions required;

(iii)

an estimate of the largest amount in total that could fall due in payment obligations on a single day in the event of a default of one or two of the largest single clearing members and their affiliates in extreme but plausible market conditions;

(iv)

the possibility to transfer resources or liquidity across business lines;

(h)

whether the recovery plan envisages to use standing central bank facilities and clearly identifies the assets that would be expected to qualify as collateral under the terms of the central bank facility.