21.4.2023
EN
Official Journal of the European Union
L 107/35
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: 5
3
P 1⁄4 maxð10%; ðminð25%; ∑i1⁄41 Ai þ ∑i1⁄41 Bi Þ) where: ‘A’ = parameters A1 to A5 which the CCP shall calculate in accordance with sections 2 to 6 of this Annex; ‘B’ = parameters B1 to B3 which the CCP shall calculate in accordance with sections 7 to 9 of this Annex.
Parameters A1 to A5 reflect the structure, internal organisation as well as the nature scope and complexity of a CCP’s activities, and the parameters B1 to B3 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 A1 refers to the nature and the complexity of asset classes cleared.
The parameter A1 shall range from 1 % to 7 %.
The parameter A1 shall be calculated in accordance with the following formula: A1 1⁄4 Iassets þ IFX þ Isettl where: Iassets reflects the number of different asset classes cleared by the CCP.
The value of Iassetsshall be calculated in accordance with the following formula: Iassets 1⁄4 0; 01×minð5;Nassets Þ, where Nassets = the number of different asset classes cleared by the CCP; IFX reflects the number of currencies cleared by the CCP.
The value of IFX shall be 1 % where the CCP clears assets labelled in or offers settlement in more than one currency, and 0 % otherwise; Isettl reflects the settlement mode of derivatives.
The value of Isettl 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 A2 refers to the CCP’s relationships and interdependencies with other financial market infrastructures and other financial institutions.
The parameter A2shall range from 0 % to 2 %.
The parameter A2 shall be calculated in accordance with the following formula: A2 1⁄4 IFMI þ ICMs where: IFMI reflects the number of interdependencies.
The value of IFMI shall be 1 % where the CCP has more than five interdependencies with trading venues, payment systems and settlement systems, and 0 % otherwise; ICMs reflects the concentration of the CCP’s clearing membership.
The value of ICMs 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.