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

Article 19 Measurement of intraday credit risk

1. A CSD-banking service provider shall identify and measure intraday credit risk exposures and anticipate peak intraday credit exposures by way of operational and analytical tools that identify and measure intraday credit exposures, and that record, in particular, all of the following metrics for each counterparty:

(a) peak and average intraday credit exposures for banking-type ancillary services set out in Section C of the Annex to Regulation (EU) No 909/2014;

(b) peak and average intraday credit exposures per borrowing participant, and further breakdown of collateral covering these credit exposures;

(c) peak and average intraday credit exposures to other counterparties and, if it is secured by collateral, further breakdown of collateral covering these intraday credit exposures;

(d) total value of intraday credit lines extended to participants;

(e) further breakdown of credit exposures referred to in points (b) and (c) shall cover the following:

(i)

collateral that meets the requirements of Article 10;

(ii)

other collateral in accordance with Article 11(1);

(iii)

other collateral in accordance with Article 11(2);

(iv)

other equivalent financial resources in accordance with Article 15 and 16.

2. A CSD-banking service provider shall carry out the measurement referred to in paragraph 1 on an ongoing basis.

Where ongoing identification and measurement of intraday credit risk is not possible due to the dependency on the availablity of external data, the CSD-banking service provider shall measure intraday credit exposures on the highest frequency possible and on at least a daily basis.