Clarification on the determination of the relevant currencies

1. How should CSD-banking service providers determine the negative net cumulative positions, which are needed to determine the relevant currencies as referred to in point (c) of Article 59(4) of Regulation 909/2014? 2. In addition, which values should be used to rank the currencies from highest to lowest? 3. Finally, how should the average for currencies without three negative net cumulative positions be calculated?

Article 36(8) of Regulation 2017/390 sets out how CSD-banking service providers should determine their relevant currencies as referred to in point (c) of Article 59(4) of Regulation 909/2014. The article uses the concept of negative net cumulative positions but does not specify what this means. This concept is introduced in the BCBS paper 248, to which recital 47 of Regulation 909/2014 also refers in the context of addressing intra-day liquidity risks. As a first step in the calculation of relevant currencies in accordance with Article 36(8)(a) of Regulation 2017/390, the currencies should be ranked from highest to lowest based on the average of the three largest negative net cumulative positions. It is unclear how the largest negative cumulative positions are to be selected: based on aggregated data (converted into euro) or data per currency. Finally, the CSD-banking service provider should average the values in order to rank the currencies. However, we note that there might be currencies for which the CSD-banking service provider did not have three negative net cumulative positions (i.e. only one or two). The article does not elaborate on such a situation.