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

Article 30 Measurement of intraday liquidity risks

1. A CSD-banking service provider shall put in place effective operational and analytical tools to measure, on an ongoing basis, the following metrics on a currency by currency basis:

(a) maximum intraday liquidity usage, calculated using the largest positive net cumulative position and the largest negative net cumulative position;

(b) total available intraday liquid resources at the start of the business day, broken down into all of the following:

(i)

qualifying liquid resources as specified in Article 34:

• cash deposited at a central bank of issue;

• available cash deposited at other creditworthy financial institutions referred to in Article 38(1);

• committed lines of credit or similar arrangements;

• assets that fulfil the requirements of Article 10 and 11(1) of this Regulation applicable to collateral, or financial instruments compliant with the requirements set out in the Delegated Regulation (EU) 2017/392, that are readily available and convertible into cash with prearranged and highly reliable funding arrangements, as referred to in Article 38;

• the collateral referred to in Article 10 and Article 11(1);

(ii)

other than qualifying liquid resources, including uncommitted credit lines;

(c) total value of all of the following:

(i)

intraday liquidity outflows, including those for which there is a time specific intraday deadline;

(ii)

cash settlement obligations in other securities settlement systems where the CSD for which the CSD-banking service provider acts as settlement agent has to settle positions;

(iii)

obligations related to the CSD-banking service provider's market activities, such as the delivery or return of money market transactions or margin payments;

(iv)

other payments critical to the reputation of the CSD and the CSD-banking service provider.

2. For each currency of the securities settlement systems for which a CSD-banking service provider acts as settlement agent, the CSD-banking service provider shall monitor the liquidity needs stemming from each entity towards which the CSD-banking service provider has a liquidity exposure.