TITLE IIIPRUDENTIAL REQUIREMENTS APPLICABLE TO CREDIT INSTITUTIONS OR CSDS AUTHORISED TO PROVIDE BANKING-TYPE ANCILLARY SERVICES, AS REFERRED TO IN ARTICLE 59 OF REGULATION (EU) No 909/2014

CHAPTER IIPRUDENTIAL FRAMEWORK FOR CREDIT AND LIQUIDITY RISK

SECTION 2 Liquidity risk

Sub-Section 2 Monitoring of intraday liquidity risks

Article 33Monitoring overnight liquidity risks

In relation to overnight liquidity risks, the CSD-banking service provider shall apply both of the following:

  1. (a)

    maintain, for a period of at least 10 years, a record of the liquidity risks created by the use of overnight credit for each currency of the securities settlement system for which it acts as settlement agent;

  2. (b)

    monitor the liquidity risk created by the overnight credit extended against the maximum liquidity exposure created by the overnight credit extended, historically recorded.