(1)

The additional amount of pre-funded dedicated own resources to be used by CCPs in distress situations should be determined taking into account the individual characteristics of each CCP.

(2)

The methodology to calculate the additional amount of pre-funded dedicated own resources that are to be used by a CCP following a default or a non-default event should therefore allow for distinguishing between CCPs with a complex risk profile for which the amount of additional pre-funded dedicated own resources should be higher, and CCPs with less complex risk profiles or more conservative management of risks for which the amount of additional pre-funded dedicated own resources should be lower.

(3)

The methodology to calculate the additional amount of pre-funded dedicated own resources that are to be used by a central counterparty following a default or a non-default event should contain sufficiently clear and objective parameters to avoid assessment difficulties and should allow for a consistent application across CCPs. Those parameters should also make it possible to adapt the additional amount of pre-funded dedicated own resources to the structure and the internal organisation of the CCP, the nature, scope and complexity of its activities, and the structure of incentives of its shareholders, management and clearing members, and of the clients of those clearing members. Each parameter should be assigned a value expressed in percentage points. The sum of all parameters should yield the percentage level of the CCP’s risk-based capital used as the additional amount of pre-funded dedicated own resources that are to be used by central counterparties following a default or a non-default event.

(4)

To take into account the structure and the internal organisation of the CCP and the nature, scope and complexity of its activities, a CCP should assess the nature and complexity of the assets classes cleared, the number and complexity of its interdependencies with other financial market infrastructures and financial institutions, the efficiency of its internal organization, the robustness of its risk management framework, and the number of material pending remedial actions following findings from the CCP’s competent authority.

(5)

To take into account the structure of incentives of the shareholders, management and clearing members of CCPs and of the clients of clearing members, a CCP should assess the risks linked to its direct or indirect ownership and capital structure, the financial incentives embedded in the CCP’s senior management remuneration, as well as the degree of involvement of the clearing members and clients in the CCP’s risk governance.

(6)

CCPs should regularly review the additional amount of pre-funded dedicated own resources in order to ensure that that amount remains at an adequate level, including following a material change to a CCP’s risk-based capital requirements calculated in accordance with Article 16(2) of Regulation (EU) No 648/2012 of the European Parliament and of the Council (2).

(7)

In order to avoid unnecessary burdens, a CCP should not be required to undertake the calculation based on specific parameters of the methodology where it decides to voluntarily apply the maximum amount of additional pre-funded dedicated own resources at 25 %.

(8)

It is important that in a default scenario the additional amount of pre-funded dedicated own resources are fairly allocated. CCPs that have established more than one default fund for the different classes of financial instruments they clear should therefore allocate the additional amount of pre-funded dedicated own resources to each default fund in proportion to its size. In a non-default scenario, the full amount of additional pre-funded dedicated own resources should be available to cover losses.

(9)

The additional amount of dedicated own resources that are to be used by central counterparties following a default or a non-default event should reflect the relative importance of different parameters reflecting the internal organisation of the CCP, the nature, scope and complexity of its activities, and the structure of incentives of its stakeholders in reinforcing incentives for proper risk management. Therefore, without prejudice to the minimum and maximum percentages to be applied for determining the additional amount of pre-funded dedicated own resources, the calculation of the percentage to be applied for determining the additional amount of pre-funded dedicated own resources should be a cumulative sum of all percentage points assigned to each parameter. The percentage to be applied for each parameter should be the sum of the relevant quantitative indicators. A wide range for the quantitative indicators should be assigned to the most significant parameters in the assessment of the risks and complexity of a CCP, while a narrower range should be assigned to parameters which refer to a specific risk aspect of the CCP.

(10)

The methodology for the maintenance of additional pre-funded dedicated own resources should allow CCPs to mitigate the impact of the requirement for such additional resources by enabling them to invest those additional resources in assets other than those considered in the CCPs’ investment policy referred to in Article 47(1) of Regulation (EU) No 648/2012, provided that those CCPs implement the appropriate procedures for applying recovery measures to mitigate the risk of such assets not being immediately available.

(11)

It is necessary to mitigate the impact of the additional pre-funded dedicated own resources on CCPs. CCPs’ investment possibilities for the maintenance of additional pre-funded dedicated own resources should therefore be partially aligned with the list of assets eligible as collateral accepted by CCPs from clearing members. That approach would still guarantee that CCPs have the appropriate framework and procedures to manage the risks associated with those assets and their liquidation in times of stress. However, some assets which are eligible as collateral should remain excluded from the list of eligible investments as they cannot be considered to be sufficiently liquid, or would expose the CCP’s own resources to excessive credit and market risk, and therefore cannot be deemed suitable for a CCP’s investment.

(12)

When the additional amount of pre-funded dedicated own resources invested in assets other than those referred to in Article 47(1) of Regulation (EU) No 648/2012 is not immediately available, CCPs should, following a default or non-default event, inform their competent authority and their clearing members thereof. In such case, CCPs should be entitled to cover the unavailable additional amount of pre-funded dedicated own resources by requesting financial contributions from their non-defaulting clearing members. Such contributions should be allocated in a fair and proportionate manner.

(13)

CCPs should reimburse non-defaulting clearing members for the financial contribution that those clearing members provided to cover the unavailable additional amount of pre-funded dedicated own resources. In order to limit the exposure of the CCPs’ non-defaulting clearing members, and to ensure they are able to withstand any future cash contributions, such reimbursement should be provided within a reasonable timeframe, in cash and in the same currency in which the financial contribution was provided. The reimbursement should be paid only after the CCPs have complied with their other payment obligations. Where the reimbursement is not performed within a reasonable timeframe, CCPs should, as an incentive to recoup the amounts due, be required to pay an annual interest on those amounts.

(14)

In order to preserve the international competitiveness of Union CCPs, the European Securities and Markets Authority (ESMA), when developing the draft regulatory technical standards, analysed the rules applicable to and the practices of third-country CCPs, together with international developments in the recovery and resolution of CCPs. Based on those analyses, ESMA concluded that the methodology proposed for the calculation of additional amounts of pre-funded dedicated own resources for Union CCPs should not adversely affect the competitiveness of internationally active Union CCPs.

(15)

This Regulation is based on the draft regulatory technical standards submitted to the Commission by the ESMA.

(16)

ESMA developed the draft technical standards in cooperation with the European Banking Authority and after having consulted the European System of Central Banks. In accordance with Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (3), ESMA has conducted open public consultations on these draft regulatory technical standards, analysed the potential related costs and benefits and requested the advice of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010,