Commission Delegated Regulation (EU) 2017/390 of 11 November 2016 supplementing Regulation (EU) No 909/2014 of the European Parliament and of the Council with regard to regulatory technical standards on certain prudential requirements for central securities depositories and designated credit institutions offering banking-type ancillary services (Text with EEA relevance)

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Overview of requirements regarding the capital of a CSD

• Hold minimum capital at all times using eligible instruments

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Conditions regarding capital instruments

• Hold capital instruments that absorb losses and rank last in insolvency

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Level of capital requirements for a CSD

• Hold sufficient capital to cover all key risk categories

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Level of capital requirements for operational, legal and custody risks

• Calculate capital requirements for operational, legal and custody risks

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Level of capital requirements for investment risk

• Calculate capital requirements for investment risk using prescribed methods

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Capital requirements for business risk

• Calculate and hold capital for business risk using prescribed methodology

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Capital requirements for winding-down or restructuring

• Calculate capital requirements for winding down or restructuring

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Capital surcharge resulting from the provision of intraday credit

• Calculate capital surcharge for intraday credit provision

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General rules on collateral and other equivalent financial resources

• Manage collateral and equivalent financial resources for CSD banking services

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Other collateral

• Use only eligible financial instruments as collateral

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Collateral valuation

• Establish and maintain collateral valuation policies and procedures

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Haircuts

• Set and manage haircut levels for collateral using central bank benchmarks

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Collateral concentration limits

• Set and maintain collateral concentration limits and policies

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General provisions

• Comply with credit and liquidity risk management requirements

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Credit risk management framework

• Establish a credit risk management framework with policies and procedures

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Measurement of intraday credit risk

• Measure and record intraday credit risk exposures daily

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Measurement of overnight credit exposures

• Measure and record overnight credit exposures daily

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Monitoring intraday credit exposures

• Monitor intraday credit risk and maintain records

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Monitoring overnight credit risk

• Maintain records of overnight credit exposures for 10 years

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General requirements for the management of intraday credit risk

• Manage intraday credit risk with cancellable credit lines

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Credit limits

• Manage intraday credit risk when setting credit limits for participants

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Potential residual credit exposures

• Manage potential residual credit exposures with policies and procedures

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Reimbursement procedures of intraday credit

• Set penalty interest rates that deter overnight borrowing

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Reporting to authorities on intraday risk management

• Report intraday credit risk management to your regulator

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Public Disclosure

• Publish annual statement on how you manage credit risks

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General rules on liquidity risk

• Design and implement liquidity risk management policies and procedures

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Measurement of intraday liquidity risks

• Measure intraday liquidity risks on a currency-by-currency basis

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Measurement of overnight liquidity risks

• Compare your liquid resources to overnight liquidity needs on an ongoing basis

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Monitoring intraday liquidity risks

• Monitor and report intraday liquidity risks

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Monitoring overnight liquidity risks

• Monitor and record overnight liquidity risks for each currency

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Qualifying liquid resources

• Mitigate liquidity risks using qualifying liquid resources

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Managing intraday liquidity risk

• Manage intraday liquidity risk for securities settlement systems

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Stress testing the sufficiency of liquid financial resources

• Run regular stress tests on your liquidity reserves

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Unforeseen and potentially uncovered liquidity shortfalls

• Establish rules and procedures for handling liquidity shortfalls

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Arrangements in order to convert collateral or investment into cash using prearranged and highly reliable funding arrangements

• Manage prearranged funding arrangements and liquidity risk for collateral conversion

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Reporting to competent authorities on intraday risk management

• Report intraday liquidity risk management to competent authority

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Public Disclosure

• Publish annual statement on liquidity risk management

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Transitional provisions

• Identify relevant currencies within 12 months of authorisation