Title III, Chapter II, Section 2, Section 3, Article 36, Paragraph 7. · Commission Delegated Regulation (EU) 2017/390

Contents

7.The scenarios used in the stress testing of liquid financial resources shall be designed taking into account a wide range of relevant extreme but plausible scenarios, covering short-term and prolonged stress, and institution specific and market-wide stress, including:

(a)the missed receipt of payments from participants on a timely basis;

(b)the temporary failure or inability of one of the CSD-banking service provider's liquidity providers to provide liquidity, including those referred to in point (e) of Article 59(4) of Regulation (EU) No 909/2014, custodian banks, nostro agents, or any related infrastructure, including interoperable CSDs;

(c)simultaneous pressures in funding and asset markets, including a decrease in the value of the qualifying liquid resources;

(d)stress in foreign exchange convertibility and access to foreign exchange markets;

(e)adverse changes in the reputation of a CSD-banking services provider that casue certain liquidity providers to withdraw liquidity;

(f)relevant peak historic price volatilities of collateral or assets as recurrent events;

(g)changes in the credit availability in the market.