Clearstream Banking1 informs clients that effective
11 December 2023
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.
In addition to relative concentration limits, absolute (amount-based) concentration limits will be applicable per concentration criterion. Absolute concentration limits will act as minimum enforceable thresholds.
Concentration criteria | Concentration limits application | Absolute concentration limits | 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 | USD 250,000,000 | 25% |
Country | Maximum concentration on any single country rated BBB- (S&P Global Ratings/Fitch) or Baa3 (Moody’s). No concentration limit applies on securities where the country of issuer is rated BBB (S&P Global Ratings/Fitch) and above or Baa2 (Moody’s) and above. | USD 250,000,000 | 10% |
Wrong Way Risk – Issuer type | Maximum concentration on securities issued by financial institutions rated BBB- (S&P Global Ratings/Fitch) or Baa3 (Moody’s). No concentration limit on securities issued by financial institutions rated BBB (S&P Global Ratings/Fitch) and above or Baa2 (Moody’s) and above. | USD 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- (S&P Global Ratings/Fitch) or Baa3 (Moody’s). No concentration limit applies if the country is rated BBB (S&P Global Ratings/Fitch) and above or Baa2 (Moody’s) and above. | USD 250,000,000 | 10% |
Instrument type | Maximum concentration on Certificates of Deposit, Commercial Paper, and Stripped Bonds. | USD 150,000,000 | 10% |
Settlement currency | No concentration limit applies on securities issued in EUR, USD, GBP, CHF, JPY, AUD, CAD, NZD, NOK, DKK, and SEK. Securities issued in all remaining currencies are subject to a concentration limit. | USD 50,000,000 | 30% |
Credit rating | Maximum concentration on securities rated BBB- (S&P Global Ratings/Fitch) or Baa3 (Moody’s). No concentration limit on instruments rated BBB (S&P Global Ratings/Fitch) and above or Baa2 (Moody’s) and above. | USD 100,000,000 | 25% |
ECB eligibility | Maximum concentration on securities not eligible at the European Central Bank (ECB). | USD 500,000,000 | 60% |
Liquidity | Maximum concentration on securities with low liquidity score. | USD 50,000,000 | 15% |
Price volatility | Maximum concentration on securities with high volatility score. | USD 150,000,000 | 10% |
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.