Commission Delegated Regulation (EU) 2017/390Show full title

Article 18 Credit risk management framework

1. For the purposes of point (a) of Article 17(1), a CSD-banking service provider shall design and implement policies and procedures that comply with the following requirements:

(a) measure intraday and overnight credit risk in accordance with Sub-section 1;

(b) monitor intraday and overnight credit risk in accordance with Sub-section 2;

(c) manage intraday and overnight credit risk in accordance with Sub-section 3;

(d) measure, monitor and manage the collateral and other equivalent financial resources, as referred to in points (c) and (d) of Article 59(3) of Regulation (EU) No 909/2014, in accordance with Chapter I of this Regulation;

(e) analyses and plans how to address any potential residual credit exposures, in accordance with Sub-section 4;

(f) manage its reimbursement procedures and sanctioning rates, in accordance with Sub-section 5;

(g) report its credit risks in accordance with Sub-section 6;

(h) publicly disclose its credit risks in accordance with Sub-section 7.

2. The CSD-banking service provider shall review the policies and procedures referred to in paragraph 1 at least annually.

3. The CSD-banking service provider shall also review those policies and procedures whenever either of the following occurs and where either of the changes referred to in points (a) or (b) affects the risk exposure of the CSD-banking service provider:

(a) the policies and procedures are subject to a material change;

(b) where the CSD-banking service provider voluntarily carries out a change following the assessment referred to in Article 19.

4. The policies and procedures referred to in paragraph 1 shall include the preparation and update of a report relating to credit risks. That report shall include the following:

(a) the metrics referred to in Article 19;

(b) haircuts applied in accordance with Article 13, reported per type of collateral;

(c) changes to the policies or procedures referred to in paragraph 3.

5. The report referred to in paragraph 4 shall be subject to monthly review by the relevant committees established by the management body of the CSD-banking service provider. Where the CSD-banking service provider is a credit institution designated by the CSD in accordance with point (b) of Article 54(2) of Regulation (EU) No 909/2014, the report referred to in paragraph 4 shall also be made available to the risk committee established under Article 48 of the Delegated Regulation (EU) 2017/392 of the CSD with the same monthly frequency.

6. Where the CSD-banking service provider breaches one or more of the concentration limits referred to in Article 14, it shall immediately report this to its relevant committee in charge of risk control, and, where it is a credit institution referred to in paragraph 5 of this Article, it shall immediately report to the risk committee of the CSD.