1. A CCP shall establish and implement policies and procedures to ensure that the collateral remains sufficiently diversified to allow its liquidation within a defined holding period without a significant market impact. The policies and the procedures shall determine the risk mitigation measures to be applied when the concentration limits specified in paragraph 2 are exceeded.

2. A CCP shall determine concentration limits at the level of:

(a) individual issuers;

(b) type of issuer;

(c) type of asset;

(d) each clearing member;

(e) all clearing members.

3. Concentration limits shall be determined in a conservative manner taking into account all relevant criteria, including:

(a) financial instruments issued by issuers of the same type in terms of economic sector, activity, geographic region;

(b) the level of credit risk of the financial instrument or of the issuer 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;

(c) the liquidity and the price volatility of the financial instruments.