Article 32
Monitoring intraday liquidity risks
1.
The CSD-banking service provider shall establish and maintain a report on the intraday liquidity risk that it assumes. Such report shall include, at least:
(a)
the metrics referred to in Article 30(1);
(b)
the risk appetite of the CSD-banking service provider;
(c)
a contingency funding plan describing the remedies to be applied where the risk appetite is breached.
The report referred to in the first subparagraph shall be reviewed monthly by the risk committee of the CSD-banking service provider and by the risk committee of the CSD.
2.
For each settlement currency of the securities settlement system for which the CSD-banking service provider acts as settlement agent, it shall have effective operational and analytical tools to monitor on a near to real-time basis its intraday liquidity positions against its expected activities and available resources based on balances and remaining intraday liquidity capacity. The CSD-banking service provider shall:
(a)
maintain, for a period of at least 10 years, a record of the daily largest positive net cumulative intraday position and the largest negative net cumulative intraday position for each settlement currency of the securities settlement system for which it acts as settlement agent;
(b)
monitor its intraday liquidity exposures on an ongoing basis against the maximum intraday liquidity exposure that has been historically recorded.