Article 21
Monitoring intraday credit exposures
For the purposes of monitoring intraday credit risk, a CSD- banking service provider shall, in particular:
(a)
monitor on an ongoing basis, through an automatic reporting system, the intraday credit exposures arising from the banking-type ancillary services referred to in Section C of the Annex to Regulation (EU) No 909/2014;
(b)
maintain, for a period of at least 10 years, a record of the daily intraday peak and average intraday credit exposures arising from banking-type ancillary services referred to in Section C of the Annex to Regulation (EU) No 909/2014;
(c)
record the intraday credit exposures stemming from each entity on which intraday credit exposures are incurred, including the following:
(i)
issuers;
(ii)
participants to the securities settlement system operated by a CSD, at entity and group levels;
(iii)
CSDs with interoperable links;
(iv)
banks and other financial institutions used to make or receive payments;
(d)
fully describe how the credit risk management framework takes into account the interdependencies and the multiple relationships that a CSD-banking service provider may have with each of the entities referred to in point (c);
(e)
specify, for each counterparty, how the CSD-banking service provider monitors the concentration of its intraday credit exposures, including its exposures to the entities of the groups comprising the entities listed in point (c);
(f)
specify how the CSD-banking service provider assesses the adequacy of the haircuts applied to the collateral collected;
(g)
specify how the CSD-banking service provider monitors the collateral coverage of the credit exposures and the coverage of credit exposures with other equivalent financial resources.