Effective April 30, 2024, as part of the annual renewal of the line-of-credit facility, DTC will implement the following changes to modify collateral value for certain securities, which may affect the value of positions applied to the Collateral Monitor:

1. Collateral valuation for corporate notes or bonds rated B1 to B3, will be updated to use a haircut value of 70%, up from 50%.

2. No collateral value will be given for any ETF or other investment vehicle that includes Bitcoin or any other cryptocurrency as an underlying investment, hence will be subject to a 100% haircut.

As done previously and as explained in greater detail in Appendix A, below, DTC will apply a 100% haircut and assign no collateral value to securities that are issued by an affiliate of any lender listed in Table 1 of Appendix A (i.e., lender banks to the joint DTC and NSCC committed 364-day line-of-credit facility dated April 30, 2024).

As a reminder, to help manage intraday transaction blockages due to this risk management control, Participants can (i) designate additional securities as collateral (subject to the applicable collateral haircut listed in Table 2 of Appendix A, below), (ii) process delivery-versus-payment transactions that will generate intraday credits, or (iii) submit settlement progress payments via Fedwire®.

Participants can monitor their Collateral Monitor balance via the Risk Management Controls Inquiry link in the Cash and Balances tab in the Settlement Web.

For more information related to collateral processing at DTC, please see DTC’s Settlement Service Guide.1

The full notice can be read here

Source: DTCC