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

Article 8 Capital surcharge resulting from the provision of intraday credit

1. For the purposes of calculating the additional capital surcharge resulting from the provision of intra-day credit, as set out in point (d) of Article 54(3) of Regulation (EU) No 909/2014, and in point (e) of Article 54(4) of that Regulation, CSD-banking service provider shall apply the following steps in sequence:

(a) it shall calculate, over the most recent calendar year, the average of the five highest intraday credit exposures (‘peak exposures’) resulting from providing the services set out in Section C of the Annex to Regulation (EU) No 909/2014;

(b) it shall apply haircuts to all the collateral collected in relation to the peak exposures, and shall assume that, after the application of haircuts in accordance with Articles 222 to 227 of Regulation (EU) No 575/2013, collateral loses 5 % of its market value;

(c) it shall calculate the average of the own funds requirements with regard to the peak exposures calculated in accordance with paragraph 2 considering those exposures as end-of-the-day exposures (‘capital surcharge’).

2. For the calculation of the capital surcharge referred to in paragraph 1, institutions shall apply one of the following approaches:

(a) the Standardised Approach for credit risk referred to in Articles 107 to 141 of Regulation (EU) No 575/2013, where they do not have permission to use the IRB Approach;

(b) the IRB Approach and the requirements of Articles 142 to 191 of Regulation (EU) No 575/2013, where they have permission to use the IRB approach.

3. Where institutions apply the Standardised Approach for credit risk, in accordance with paragraph 2(a), the amount of each of the five peak exposures referred to in paragraph 1(a) shall be considered an exposure value within the meaning of Article 111 of Regulation (EU) No 575/2013 for the purpose of paragraph 1(b). The requirements of Chapter 4 of Title II of Part Three of Regulation (EU) No 575/2013 that relate to Article 111 of that Regulation shall also apply.

4. Where institutions apply the IRB Approach for credit risk in accordance with paragraph 2(b), the outstanding amount of each of the five peak exposures referred to in paragraph 1(a) shall be considered an exposure value in the meaning of Article 166 of Regulation (EU) No 575/2013 for the purpose of paragraph 1(b). The requirements of Chapter 4 of Title II of Part Three of Regulation (EU) No 575/2013 that relate to Article 166 of that Regulation, shall also apply.

5. The capital requirements of this Article shall apply 12 months after obtaining the authorisation to provide banking-type ancillary services pursuant to Article 55 of Regulation (EU) No 909/2014.