Clearstream Banking1 informs clients that effective
16 December 2024
an enhanced collateral concentration monitoring framework will apply.
Impact on clients
Collateral concentration limits are set in accordance with Article 14 of Commission Delegated Regulation (EU) 2017/390 of 11 November 2016 (supplementing Regulation (EU) No 909/2014).
Concentration levels are calculated based on end of day and intraday peak exposure of clients with secured credit facilities.
Relative and absolute concentration limits are applicable per concentration criteria, where absolute concentration limits act as minimum enforceable threshold.
For certain concentration criteria, the concentration limits apply individually to each distinct asset class.
Concentration Criteria
Concentration Limits Application
Absolute Concentration Limits (in USD)
Relative Concentration Limits
Issuer
Maximum concentration of securities issued by entities belonging to same group.
No concentration limit applies on securities issued or guaranteed by Governments, Central Banks, German States or Supranational rated BBB (Standard & Poor’s /Fitch) and above or Baa2 (Moody’s) and above.
250,000,000
25%
Country
Maximum concentration on any single country rated BBB- (Standard & Poor’s /Fitch) or Baa3 (Moody’s).
No concentration limit applies on securities where the country of issuer is rated BBB (Standard & Poor’s /Fitch) and above or Baa2 (Moody’s) and above.
250,000,000
15%
Wrong Way Risk – Issuer Type
Maximum concentration on securities issued by financial institutions rated BBB- (Standard & Poor’s /Fitch) or Baa3 (Moody’s).
No concentration limit on securities issued by financial institutions rated BBB (Standard & Poor’s /Fitch) and above or Baa2 (Moody’s) and above.
100,000,000
25%
Wrong Way Risk – Same Country
Maximum concentration on securities issued by entities of the same country as that of the client if country is rated BBB- (Standard & Poor’s /Fitch) or Baa3 (Moody’s).
No concentration limit applies if the country is rated BBB (Standard & Poor’s/Fitch) and above or Baa2 (Moody’s) and above.
250,000,000
15%
Instrument type
Maximum concentration on Equities, Certificates of Deposit, Commercial Paper, and Stripped Bonds.
Equities:
200,000,000
Equities:
20%
Certificates of Deposit/Commercial Paper:
50,000,000
Certificates of Deposit/Commercial Paper:
5%
Stripped Bonds:
50,000,000
Stripped Bonds:
10%
Settlement currency
Maximum concentration on securities issued in non-major currencies.
No concentration limit applies on securities issued in the major currencies: EUR, USD and GBP.
CAD, CHF, JPY:
500,000,000
50%
AUD, DKK, NOK, SEK:
250,000,000
HKD, SGD, MXN, PLN, NZD, CZK, HUF, ZAR:
50,000,000
CNY:
10,000,000
Credit Rating
Maximum concentration on securities rated BBB- (Standard & Poor’s /Fitch) or Baa3 (Moody’s).
No concentration limit on instruments rated BBB (Standard & Poor’s/Fitch) and above or Baa2 (Moody’s) and above.
100,000,000
25%
ECB Eligibility
Maximum concentration on securities not eligible at the ECB.
500,000,000
55%
Liquidity
Maximum concentration on securities with low liquidity score.
50,000,000
10%
Price Volatility
Maximum concentration on securities with high volatility score.
High price volatility:
250,000,000
15%
Very high price volatility:
10,000,000
Clearstream Banking will check the adherence to the above-listed concentration limits and will monitor cases where a client breaches any of those limits. Clearstream Banking will analyse breaches of the concentration limits and may inform clients accordingly. Clients will be granted time to accommodate to the new collateral concentration limits criteria.
Further information
For further information, clients may contact Clearstream Banking Client Services or their Relationship Officer.
The CBL Client Handbook and the CBF Client Handbook will be updated in due time to reflect these changes.
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1. This Announcement is published by Clearstream Banking AG (CBF), registered office at Mergenthalerallee 61, 65760 Eschborn, Germany, registered with the Commercial Register of the District Court in Frankfurt am Main, Germany, under number HRB 7500.
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