As part of the Clearstream Banking’s1 November Release, effective 19 November 2016, multiple changes will be implemented to Triparty Collateral Management reporting in order to harmonise information between the CSD and the ICSD collateral management services in a TARGET2-Securities (T2S) market landscape.
Key features
The enhancements that will be implemented consist of additional information on the account structure and additional scheduling of the reports. The changes will impact the following reports:
- Triparty Collateral Management Daily Exposure Report – PDF, TXT and Basel Regulation compliant (TXT);
- Collateral Shortage Report – PDF, TXT;
- Triparty Collateral Management Securities Forecast Detailed Report – TXT;
- Triparty Collateral Management Securities Extended Forecast Detailed Report – CSV; and
- MT569 Triparty Collateral and Exposure Statement Summary and Detailed – PDF.
An additional scheduling of the Collateral Shortage Report will be performed in order to take into account T2S deadlines.
An additional scheduling of the MT569 Triparty Collateral and Exposure Statement will be made available to cover the T2S end of day.
Information about the custodian of the collateral source account or the custodian of the collateral account will also be available in Cm@XDirect.
Customer benefits
The advent of T2S will lead to increased cash netting, pooling of credit lines and collateral opportunities across T2S markets, enabling Collateral Management participants to mobilise seamlessly their European domestic and ICSD collateral assets with greater flexibility and profitability.
Detailed information
Triparty Collateral Management Daily Exposure Report
The Triparty Collateral Management Daily Exposure Report will include the following elements:
- Collateral Giver version – Custodian for the collateral source account information;
- Collateral Giver/Receiver version – Custodian for the collateral account information;
- When the collateral source account or the collateral account is a T2S account, the account number will be displayed with seven digits (Clearstream Banking Frankfurt format);
- Haircut and Marginal Value information will be displayed for cash as collateral.
Collateral Shortage Report
The Collateral Shortage Report, available for Collateral Givers only, will include the following elements:
- Custodian for the collateral source account and collateral account information;
- When the collateral source account or the collateral account is a T2S account, the account number will be displayed with seven digits (Clearstream Banking Frankfurt format);
- An additional scheduling of the Collateral Shortage Report will be available at 16:00 CET to allow the coverage of any shortfall resulting from T2S.
Triparty Collateral Management Securities Forecast Detailed Report
The Triparty Collateral Management Securities Forecast Detailed Report will include the following elements:
- Custodian for the collateral source account information;
- When the collateral source account is a T2S account, the account number will be displayed with seven digits (Clearstream Banking Frankfurt format).
Triparty Collateral Management Securities Extended Forecast Detailed Report
The Triparty Collateral Management Securities Extended Forecast Detailed Report will include the following elements:
- Custodian for the collateral source account information;
- When the collateral source account is a T2S account, the account number will be displayed with seven digits (Clearstream Banking Frankfurt format).
MT569 Triparty Collateral and Exposure Statement
The MT569 Triparty Collateral and Exposure Statement will include the following elements:
- Collateral Giver/Receiver version – Custodian for the collateral account information;
- When the collateral source account or the collateral account is a T2S account, the account number will be displayed with seven digits (Clearstream Banking Frankfurt format);
An additional scheduling of the MT569 Triparty Collateral and Exposure Statement will be available at 18:15 CET to cover the T2S end of day.
Cm@xDirect
The updated version of Cm@XDirect will include all additional information comprised in the Extended Forecast report.
Note: Upon request, customers will, ahead of implementation date, be able to receive test files of the enhanced Triparty Collateral Management Daily Exposure reports.
Further information
For detailed specifications of the new information in the Triparty Collateral Management Daily Exposure Report, please refer to the November pre-release version of the Triparty Collateral Management Services (CmaX) Connectivity Guide available on our website in due course.