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23.2.2013 Official
Journal
of
the
European
Union L
52/37
COMMISSION DELEGATED REGULATION (EU) No 152/2013
of 19 December 2012
supplementing Regulation (EU) No 648/2012 of the European Parliament and of the Council with
regard to regulatory technical standards on capital requirements for central counterparties
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
or merging with — or transferring its clearing activities
to — another CCP. During the winding down or restruc
turing a CCP still needs to continue its operations. While
Having regard to the Treaty on the Functioning of the European
in this case some costs, such as marketing ones, may
Union,
decrease, other costs, such as legal expenses, may
increase. Therefore, using the gross annual operating
expenses is deemed to be an appropriate approximation
Having regard to the opinion of the European Central Bank (
of the actual expenses during the winding down or

1 ),
restructuring of a CCP’s operations. In order to take
into account the diversity of accounting practices
Having regard to Regulation (EU) No 648/2012 of the European
among CCPs, the operational expenses should be
Parliament and of the Council of 4 July 2012 on over the
considered in accordance with International Financial
counter (OTC) derivatives transactions, central counterparties
Reporting Standards (IFRS) adopted pursuant to Regu
and trade repositories (
lation (EC) No 1606/2002 of the European Parliament

2 ), and in particular Article 16(3) thereof,
and of the Council of 19 July 2002 on the application
of international accounting standards ( 3 ) or in accordance
with a number of limited other rules applicable in the
Whereas:
field, as indicated by Union law.
(1) Regulation
(EU)
No
648/2012
establishes,
among
other
matters, prudential requirements for central counter
(3) As
the
capital
shall
be
at
all
times
sufficient
to
ensure
an
parties (CCPs) to ensure that they are safe and sound
orderly winding down and an adequate protection
and comply at all times with the capital requirements.
against the relevant risks as required by Article 16(2)
Given that to a great extent risks stemming from clearing
of Regulation (EU) No 648/2012, it is necessary to
activities are covered by specific financial resources, such
establish an early warning tool to enable the competent
capital requirements should ensure that a CCP is at all
authorities to gain knowledge sufficiently in advance of
times adequately capitalised against credit risks,
the situation in which the capital of the CCP is close to
counterparty risks, market risks, operational risks, legal
the capital requirement, by introducing a notification
and business risks which are not already covered by
threshold set at 110 % of the capital requirement.
those specific financial resources and that it is able to
conduct an orderly winding down or restructuring of its
operations if necessary.
(4) Notwithstanding
the
difficulties
in
quantifying
the
exposure to operational risk, Directive 2006/48/EC of
the European Parliament and of the Council of 14 June
(2) The
capital
treatment
of
credit
institutions
and
investment firms should be specifically taken into
2006 relating to the taking up and pursuit of the
account in respect of technical standards because CCPs
business of credit institutions
( 4 ) is the relevant
are exposed, while performing non-covered activities, to
benchmark for the purpose of establishing the capital
risks that are similar to the risks incurred by credit insti
requirement for CCPs. Consistently with Directive
tutions and investment firms. Relevant parts of the Prin
2006/48/EC, the definition of operational risk should
ciples for Financial Market Infrastructure issued by the
include legal risk in respect of technical standards on
Committee on Payment and Settlement Systems and
capital requirements for central counterparties.
the International Organization of Securities Commissions
(‘CPSS-IOSCO Principles’) should also be taken into
account. In order to ensure that they are able to
(5) Directive
2006/48/EC
and
Directive
2006/49/EC
of
the
organise an orderly winding down or restructuring of
European Parliament and of the Council of 14 June 2006
their activities, CCPs should hold sufficient financial
on the capital adequacy of investment firms and credit
resources to withstand operational expenses over an
institutions ( 5 ) are an appropriate benchmark for the
appropriate period of time. A CCP should be able
purpose of establishing capital requirements to cover
during such a period of time to set up any kind of
credit, counterparty and market risks non covered by
arrangement in order to reorganise its critical operations,
specific financial resources, since they are similar to
including recapitalising, replacing management, revising
those carried out by credit institutions or investment
its business strategies, cost or fee structures, restructuring
firms.
the services it provides, liquidating its clearing portfolio
( 3 ) OJ L 243, 11.9.2002, p. 1.
( 1 ) Not yet published in the Official Journal.
( 4 ) OJ L 177, 30.6.2006, p. 1.
( 2 ) OJ L 201, 27.7.2012, p. 1.
( 5 ) OJ L 177, 30.6.2006, p. 201.

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L 52/38
EN
Official Journal of the European Union
23.2.2013
(6) A
CCP
does
not
have
to
hold
capital
for
trade
exposures
in accordance with Article 37 of Regulation (EU)
and default fund contributions which arise under an
No 1093/2010 of the European Parliament and of the
interoperability arrangement where the requirements of
Council ( 1 ).
Articles 52 and 53 of Regulation (EU) No 648/2012 are
fulfilled. However, where these requirements are not
fulfilled, links between CCPs might expose them to
additional risk if the collateral posted by them is not
(10) This Regulation is based on the draft regulatory technical
standards submitted by the European Supervisory
fully protected and bankruptcy remote or if the default
Authority (European Banking Authority) to the
fund contributions are at risk in case a clearing member
European Commission,
of the receiving CCP defaults. Therefore, in such cases

capital charges should apply to default fund
contributions and to trade exposures with other CCPs.
In order to avoid contagion effects, the treatment
HAS ADOPTED THIS REGULATION:
regarding default fund contributions to other CCPs
should in general be more conservative than the
treatment of credit institution exposures to CCPs. The
Article 1
own resources of a CCP used to contribute to the
default fund of another CCP should not be taken into
Capital requirements
account for the purposes of Article 16(2) of Regulation
(EU) No 648/2012 as they are not invested in accordance
1. A
CCP
shall
hold
capital,
including
retained
earnings
and
with its investment policy. They should also not be
reserves, which shall be at all times more than or equal to the
double-counted for the purpose of calculating risk
sum of:
weighted exposures stemming from these contributions.
(a) the CCP’s capital requirements for winding down or restruc
turing its activities calculated in accordance with Article 2;
(7) The
time
necessary
for
an
orderly
winding
down
is
strictly dependent on the clearing services provided by
the single CCP and on the market environment in which
(b) the CCP’s capital requirements for operational and legal
it operates, especially in the case where another CCP can
risks calculated in accordance with Article 3;
take on its services. Therefore, the number of months
required for winding down should be based on the
CCP’s own estimate, subject to the approval of the
competent authority. A minimum number of six
(c) the CCP’s capital requirements for credit, counterparty and
months needs to be introduced in order to ensure a
market risks calculated in accordance with Article 4;
prudent level of the capital requirements.
(d) the CCP’s capital requirements for business risk calculated in
accordance with Article 5.
(8)
Business risk refers to the risk a CCP assumes due to its
efficiency and potential changes in general business
conditions which are likely to impair its financial
position as a consequence of decline in its revenues or
2. A
CCP
shall
have
procedures
in
place
to
identify
all
an increase in its expenses resulting in a loss that must
sources of risks that may impact its on-going functions and
be charged against its capital. Since the level of business
shall consider the likelihood of potential adverse effects on its
risk is highly dependent on the individual situation of
revenues or expenses and its level of capital.
each CCP and can be caused by various factors such as
inefficient procedures, adverse market environment, inef
fective response to technological progress, or poor
3. If
the
amount
of
capital
held
by
a
CCP
according
to
execution of business strategies, the capital requirement
paragraph 1 is lower than 110 % of the capital requirements
should be based on a CCP’s own estimate subject to the
or lower than 110 % of EUR 7,5 million (‘notification thresh
approval of the competent authority. A floor needs to be
old’), the CCP shall immediately notify the competent authority
introduced in order to ensure a prudent level of the
and keep it updated at least weekly, until the amount of capital
capital requirements.
held by the CCP returns above the notification threshold.
4. That
notification
shall
be
made
in
writing
and
shall
(9) The
European
Banking
Authority
(EBA)
has
worked
in contain the following elements:
close cooperation with the European System of Central
Banks (ESCB) and has consulted the European Securities
and Markets Authority (ESMA) before submitting the
draft technical standards on which this Regulation is
(a) the reasons for the CCP’s capital being below the notifi
based. It has also conducted open public consultations
cation threshold and a description of the short-term
on the draft regulatory technical standards, analysed the
perspective of the CCP’s financial situation;
potential related costs and benefits and requested the
opinion of the Banking Stakeholder Group established
( 1 ) OJ L 331, 15.12.2010, p. 12.

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EN
23.2.2013 Official
Journal
of
the
European
Union L
52/39
(b) a comprehensive description of the measures the CCP
using either the Basic Indicator Approach or Advanced
intends to adopt to ensure the on-going compliance with
Measurement Approaches as provided in Directive 2006/48/EC
the capital requirements.
subject to the restrictions provided in paragraphs 2 to 7.
Article 2
2. A
CCP
may
use
the
basic
indicator
approach
in
order
to
Capital requirements for winding down or restructuring
calculate its capital requirements for operational risk in
1. A
CCP
shall
divide
its
annual
gross
operational
expenses accordance with Article 103 of Directive 2006/48/EC.
by twelve in order to determine its monthly gross operational
expenses, and multiply the resulting number by its time span
for winding down or restructuring its activities determined
according to paragraph 2. The result of this calculation is the
3. A
CCP
shall
have
in
place
a
well-documented
assessment
capital required to ensure an orderly winding down or restruc
and management system for operational risk with clear respon
turing of the activities of the CCP.
sibilities assigned for this system. It shall identify its exposures
to operational risk and track relevant operational risk data,
including material loss data. This system shall be subject to
2. In
order
to
determine
the
time
span
for
winding
down
or regular review carried out by an independent party possessing
restructuring its activities referred to in paragraph 1, a CCP shall
the necessary knowledge to carry out such review.
submit to the competent authority for approval in accordance
with that competent authority’s powers under Title III of Regu
lation (EU) No 648/2012 its own estimate of the appropriate
time span for winding down or restructuring its activities. The
4. A
CCP
operational
risk
assessment
system
shall
be
closely
estimated time span shall be sufficient to ensure, including in
integrated into the risk management processes of the CCP. Its
stressed market conditions, an orderly winding down or restruc
output shall be an integral part of the process of monitoring
turing of its activities, reorganising its operations, liquidating its
and controlling the CCP’s operational risk profile.
clearing portfolio or transferring its clearing activities to another
CCP. The estimate shall take into account the liquidity, size,
maturity structure and potential cross-border obstacles of the
positions of the CCP and the type of products cleared. The time
5. A
CCP
shall
implement
a
system
of
reporting
to
senior
span for winding down or restructuring its activities used for
management that provides operational risk reports to relevant
the calculation of the capital requirement is subject to a
functions within the institutions. A CCP shall have in place
minimum number of six months.
procedures for taking appropriate action according to the
information within the reports to management.
3. A
CCP
shall
update
its
estimate
of
the
appropriate
time
span for winding down or restructuring its activities whenever
there is a significant change in the assumptions underlying the
6. A
CCP
may
also
apply
to
its
competent
authority
for
estimation and submit this updated estimate to the competent
permission to use Advanced Measurement Approaches. The
authority for approval.
competent authority may grant the CCP the permission to use
Advanced Measurement Approaches based on its own oper
ational risk measurement systems in accordance with
4. For
the
purposes
of
this
Article,
operational
expenses
shall Article 105 of Directive 2006/48/EC.
be considered in accordance with International Financial
Reporting Standards (IFRS) adopted pursuant to Regulation
(EC) No 1606/2002 or, in accordance with Council Directives
78/660/EEC (
7. CCPs using the Advanced Measurement Approaches as

1 ), 83/349/EEC
( 2 ) and 86/635/EEC ( 3 ) or, in
accordance with generally accepted accounting principles of a
specified in paragraph 6 for the calculation of their capital
third country determined to be equivalent to IFRS in accordance
requirements for operational risk shall hold capital which is at
with Commission Regulation (EC) No
1569/2007
(
all times more than or equal to 80 % of the capital required

4 ) or
accounting standards of a third country the use of which is
using the basic indicator approach according to paragraph 2.
permitted in accordance with Article 4 of that Regulation, as
applicable. CCPs shall use the most recent audited information
from their annual financial statement.
Article 4
Capital requirements for credit risk, counterparty credit
Article 3
risk and market risk which are not already covered by
Capital requirements for operational and legal risks
specific financial resources as referred to in Articles 41
to 44 of Regulation (EU) No 648/2012
1. A
CCP
shall
calculate
its
capital
requirements
for
oper
ational — including legal — risk referred to in Article 1
1. A
CCP
shall
calculate
its
capital
requirements
referred
to
in Article 1 as the sum of 8 % of its risk-weighted exposure
amounts for credit and counterparty credit risk and its capital
( 1 ) OJ L 222, 14.8.1978, p. 11.
requirements for market risk calculated in accordance with
( 2 ) OJ L 193, 18.7.1983, p. 1.
( 3 ) OJ L 372, 31.12.1986, p. 1.
Directives 2006/48/EC and 2006/49/EC, subject to the
( 4 ) OJ L 340, 22.12.2007, p. 66.
restrictions provided in paragraphs 2 to 5.

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L 52/40
EN
Official Journal of the European Union
23.2.2013
2. For
the
calculation
of
capital
requirements
for
market
risk weight of 1 250 % to its exposure stemming from contributions
which is not already covered by specific financial resources as
to the default fund of another CCP and a risk weight of 2 % to
referred to in Articles 41 to 44 of Regulation (EU)
its trade exposures with another CCP.
No 648/2012, a CCP shall use the methods provided for in
Annexes I to IV to Directive 2006/49/EC.
Article 5
3. For the calculation of the risk-weighted exposure amounts
Capital requirements for business risk
for credit risk which is not already covered by specific financial
1. The
CCP
shall
submit
to
the
competent
authority
for
resources as referred to in Articles 41 to 44 of Regulation (EU)
approval in accordance with that competent authority’s
No 648/2012, a CCP shall apply the Standardised Approach for
powers under Title III of Regulation (EU) No 648/2012 its
credit risk provided for in Articles 78 to 83 of Directive
own estimate of the capital necessary to cover losses resulting
2006/48/EC.
from business risk based on reasonably foreseeable adverse
scenarios relevant to its business model.
4. For the calculation of the risk-weighted exposure amounts
for counterparty credit risk which is not already covered by
2. The
capital
requirement
for
business
risk
shall
be
equal
to
specific financial resources as referred to in Articles 41 to 44
the approved estimate and shall be subject to a minimum
of Regulation (EU) No 648/2012, a CCP shall use the Mark-to-
amount of 25 % of its annual gross operational expenses. For
market Method provided for in Annex III, part 3 to Directive
the purposes of this Article, gross operational expenses shall be
2006/48/EC and the Financial Collateral Comprehensive
considered in accordance with Article 2(4).
Method applying supervisory volatility adjustments provided
for in Annex VIII, Part 3 to Directive 2006/48/EC.
Article 6
5. Where
all
the
conditions
referred
to
in
Articles
52
and
53
This Regulation shall enter into force on the twentieth day
of Regulation (EU) No 648/2012 are not fulfilled and where a
following that of its publication in the Official Journal of the
CCP does not use its own resources, the CCP shall apply a risk
European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 19 December 2012.
For the Commission
The President
José Manuel BARROSO

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