Skip to the text
In this act Article 45 of 62

Article 45 — Highly secured arrangements maintaining cash

Financial servicesLevel 2RTSEMIRIn forceVerifiedOfficial source

45(1)

1.For the purposes of Article 47(4) of Regulation (EU) No 648/2012, where cash is deposited other than with a central bank then such deposit shall meet each of the following conditions:

Copy link
45(1)(a)
(a)the deposit is in one of the following currencies:
Copy link
45(1)(a)(i)
(i)a currency the risks of which the CCP can demonstrate with a high level of confidence that it is able to manage;
Copy link
45(1)(a)(ii)
(ii)a currency in which the CCP clears transactions, in the limit of the collateral received in that currency;
Copy link
45(1)(b)
(b)the deposit shall be placed with one of the following entities:
Copy link
45(1)(b)(i)
(i)an authorised credit institution as defined under Directive 2006/48/EC that the CCP can demonstrate to have low credit risk based upon an internal assessment by the CCP. In performing such assessment the CCP shall employ a defined and objective methodology that shall not fully rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country;
Copy link
45(1)(b)(ii)
(ii)a third country financial institution that is subject to and complies with prudential rules considered by the competent authorities to be at least as stringent as those laid down in Directive 2006/48/EC and which has robust accounting practices, safekeeping procedures, and internal controls and that the CCP can demonstrate to have low credit risk based upon an internal based upon an internal assessment by the CCP. In performing such assessment the CCP shall employ a defined and objective methodology that shall not fully rely on external opinions and that takes into consideration the risk arising from the establishment of the issuer in a particular country.
Copy link
45(2)

2.Where cash is maintained overnight in accordance with paragraph 1 then not less than 95 % of such cash, calculated over an average period of one calendar month, shall be deposited through arrangements that ensure the collateralisation of the cash with highly liquid financial instruments meeting the requirements under Article 45, except the requirement at paragraph 1(c) of that Article.

Copy link

Article 45 — Concentration limits

45(1)

1.A CCP shall establish and implement policies and procedures to ensure that the financial instruments in which its financial resources are invested remain sufficiently diversified.

Copy link
45(2)

2.A CCP shall determine concentration limits and monitor the concentration of its financial resources at the level of:

Copy link
45(2)(a)
(a)individual financial instruments;
Copy link
45(2)(b)
(b)types of financial instruments;
Copy link
45(2)(c)
(c)individual issuers;
Copy link
45(2)(d)
(d)types of issuers;
Copy link
45(2)(e)
(e)counterparties with which arrangements as provided for in points (b) and (c) of Article 44(1) or in Article 45(2) are established.
Copy link
45(3)

3.When considering types of issuers a CCP shall take into account the following:

Copy link
45(3)(a)
(a)geographic distribution;
Copy link
45(3)(b)
(b)interdependencies and multiple relationships that an entity may have with a CCP;
Copy link
45(3)(c)
(c)the level of credit risk;
Copy link
45(3)(d)
(d)exposures the CCP have to the issuer through products cleared by the CCP.
Copy link
45(4)

4.The policies and the procedures shall determine the risk mitigation measures to be applied when the concentration limits are exceeded.

Copy link
45(5)

5.When determining the concentration limit for a CCP’s exposure to an individual issuer or custodian, a CCP shall aggregate and treat as a single risk, the exposure to all financial instruments issued by, or explicitly guaranteed by, the issuer and all financial resources deposited with the custodian.

Copy link
45(6)

6.A CCP shall monitor on a regular basis the adequacy of its concentration limit policies and procedures. In addition, a CCP shall review its concentration limit policy and procedure at least annually and whenever a material change occurs that affects the risk exposure of the CCP.

Copy link
45(7)

7.If the CCP breaches a concentration limit set out in its policies and procedures, it shall inform the competent authority immediately. The CCP shall rectify the breach as soon as possible.

Copy link