Article 32
Assessment of liquidity risk
1.
A CCP shall establish a robust liquidity risk management framework which shall include effective operational and analytical tools to identify, measure and monitor its settlement and funding flows on an ongoing and timely basis, including its use of intraday liquidity. CCPs shall regularly assess the design and operation of their liquidity management framework, including considering the results of the stress tests.
2.
A CCP’s liquidity risk management framework shall be adequately robust to ensure that the CCP is able to effect payment and settlement obligations in all relevant currencies as they fall due, including where appropriate intraday. A CCP’s liquidity risk management framework shall also include the assessment of its potential future liquidity needs under a wide range of potential stress scenarios. Stress scenario shall include the default of clearing members according to Article 44 of Regulation (EU) No 648/2012 from the date of a default until the end of a liquidation period and the liquidity risk generated by the CCP’s investment policy and procedures in extreme but plausible market conditions.
3.
The liquidity risk management framework shall include a liquidity plan which is documented and retained in accordance with Article 12. The minimum content of the liquidity plan shall include the CCP’s procedures for:
(a)
managing and monitoring, at least on a daily basis, its liquidity needs across a range of market scenarios;
(b)
maintaining sufficient liquid financial resources to cover its liquidity needs and distinguish among the use of the different types of liquid resources;
(c)
the daily assessment and valuation of the liquid assets available to the CCP and its liquidity needs;
(d)
identifying sources of liquidity risk;
(e)
assessing timescales over which the CCP’s liquid financial resources should be available;
(f)
considering potential liquidity needs stemming from clearing members ability to swap cash for non-cash collateral;
(g)
the processes in the event of liquidity shortfalls;
(h)
the replenishment of any liquid financial resources it may employ during a stress event.
The board of the CCP shall approve the plan after consulting the risk committee.
4.
A CCP shall assess the liquidity risk it faces including where the CCP or its clearing members cannot settle their payment obligations when due as part of the clearing or settlement process, taking also into account the investment activity of the CCP. The risk management framework shall address the liquidity needs stemming from the CCP’s relationships with any entity towards which the CCP has a liquidity exposure including:
(a)
settlement banks;
(b)
payments systems;
(c)
securities settlement systems;
(d)
nostro agents;
(e)
custodian banks;
(f)
liquidity providers;
(g)
interoperable CCPs;
(h)
service providers.
5.
A CCP shall take into account any interdependencies across the entities listed in paragraph 4 and multiple relationships that an entity listed in paragraph 4 may have with a CCP in its liquidity risk management framework.
6.
A CCP shall establish a daily report on the needs and resources under points (a), (b) and (c) of paragraph 3 and a quarterly report on its liquidity plan under points (d) to (h) of paragraph 3. The reports shall be documented and retained in accordance with Chapter IV.