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

Article 21 Monitoring intraday credit exposures

For the purposes of monitoring intraday credit risk, a CSD- banking service provider shall, in particular:

(a)

monitor on an ongoing basis, through an automatic reporting system, the intraday credit exposures arising from the banking-type ancillary services referred to in Section C of the Annex to Regulation (EU) No 909/2014;

(b)

maintain, for a period of at least 10 years, a record of the daily intraday peak and average intraday credit exposures arising from banking-type ancillary services referred to in Section C of the Annex to Regulation (EU) No 909/2014;

(c)

record the intraday credit exposures stemming from each entity on which intraday credit exposures are incurred, including the following:

(i)

issuers;

(ii)

participants to the securities settlement system operated by a CSD, at entity and group levels;

(iii)

CSDs with interoperable links;

(iv)

banks and other financial institutions used to make or receive payments;

(d)

fully describe how the credit risk management framework takes into account the interdependencies and the multiple relationships that a CSD-banking service provider may have with each of the entities referred to in point (c);

(e)

specify, for each counterparty, how the CSD-banking service provider monitors the concentration of its intraday credit exposures, including its exposures to the entities of the groups comprising the entities listed in point (c);

(f)

specify how the CSD-banking service provider assesses the adequacy of the haircuts applied to the collateral collected;

(g)

specify how the CSD-banking service provider monitors the collateral coverage of the credit exposures and the coverage of credit exposures with other equivalent financial resources.