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)

New Commission Delegated Regulation (EU) 2023/840 as regards the determination of additional own funds required to be held by central counterparties (CCPs) pursuant to article 9(14) of the Regulation on a framework for the recovery and resolution of central counterparties (CCPRRR) was published in the Official Journal (OJ) of the EU.
In detail, the delegated regulation specifies the methodology for computing these amounts based upon a CCPs size, scope, risk, and interdependencies. Specifically, it sets out
– the minimum and maximum amounts of own funds to be additionally held in terms of a percentage of the currently required capital (minimum is 10%, maximum 25%);
– the factors that shall contribute to determining this percentage, including the following, among others:
– the types of asset classes cleared by the CCP (1% to 7%);
– the level of interdependencies (0% to 2%);
– the efficiency of a CCP’s internal organization (0% to 5%) as measured by the number of recommendations issued by the Board following non-compliance with the recommendations of the risk committee; or
– the adequacy of a CCP’s risk management framework (0% to 8%) as measured by the number of trade incidents, the adequacy of margins (to be determined via backtesting), and a few other factors.
– the permissible investments of such funds (highly liquid assets, including gold);
– the steps to be followed by CCPs, if the additional own funds are not available immediately following the default of a clearing member or another non-default event.