Methodology note
Issuer groups and ultimate parents (LEI Level 2)
An issuer group limit adds together every security issued by companies under the same parent. Two subsidiaries at 15% each pass a 25% issuer cap but breach it as a group at 30%. The rule needs reliable parent data, and GLEIF's LEI Level 2 records each entity's direct and ultimate accounting parent, free to use.
concentration · Household and related-portfolio concentrationrelated_portfolio_concentration · Counterparty concentration limitcounterparty_concentrationWhy groups matter
Fund rules often treat a group as one issuer. The UCITS Directive counts companies in the same group for consolidated accounts as a single body for its limits. Spain's fund regulation does the same for its 20% combined limit.
A family office or charity policy may not mention groups at all, but the risk is the same. A parent's failure hits every subsidiary's bonds at once.
Where parent data comes from
The Legal Entity Identifier system publishes "who owns whom" as Level 2 data: each entity's direct and ultimate accounting consolidating parent. GLEIF provides it free and without registration, and the LEI data is licensed CC0.
Not every entity has a parent recorded. Check unmatched holdings by hand, and record where a group key came from.
How the registry measures it
The concentration template groups by instrument, issuer, or issuer group as ultimate parent, with each position carrying its group key. The example shows the same book on the group dimension.
On the issuer dimension, the two bank subsidiaries read 15% each and pass. On the group dimension they add up to 30% and breach.
Pitfall: the missing group key
A position with no group key cannot be placed in a group. The engine reads it as unclassified weight and leaves the rule not evaluated, rather than treating the holding as its own group.
Group membership also changes with mergers and disposals. Record the parent data's as-of date with each result, so a past reading can be reproduced.
Worked example
Two subsidiaries of one bank hold 150 each: 15% apiece by issuer, but 30% together under their parent, over a 25% group cap.
Rule template:concentration dimension: issuerGroup
Bounds: hard max 25%
| Holding | Issuer | Issuer group | Market value |
|---|---|---|---|
| Bank UK 2030 bond | Bank UK Ltd | Bank plc | 150 |
| Bank DE 2029 bond | Bank DE AG | Bank plc | 150 |
| Company A | A | A | 240 |
| Company B | B | B | 230 |
| Company C | C | C | 230 |
| Group | Status | Value | Bounds | Headroom to the hard bound | Code |
|---|---|---|---|---|---|
| Bank plc | Breach | 30% | ≤ 25% | -5% | ABOVE_HARD_MAXIMUM |
| A | Compliant | 24% | ≤ 25% | 1% | WITHIN_LIMITS |
| B | Compliant | 23% | ≤ 25% | 2% | WITHIN_LIMITS |
| C | Compliant | 23% | ≤ 25% | 2% | WITHIN_LIMITS |
ABOVE_HARD_MAXIMUM: The measured value exceeds the approved hard maximum, beyond any stated tolerance.WITHIN_LIMITS: The measured value sits inside every approved bound.
Largest contributors: Bank plc → Bank UK 2030 bond 15%, Bank DE 2029 bond 15% · A → Company A 24% · B → Company B 23%
Computed at build time by the Acclimetry rule engine (backend commit 8197063); the same code runs in the product.
Questions
Should government-related issuers be grouped with their government?
That is a policy decision. Rule sets often treat public issuers separately, so record whether agencies and state-owned companies count with their government.
Where does the group key come from if LEI data is missing?
From your own reference data, such as a parent mapping kept by operations. Record its source and date, because the result depends on it.
Sources
- Directive 2009/65/EC, consolidated version of 16 April 2026 (EUR-Lex, source of record), Arts 52-57 · CC BY 4.0 · Read on12 October 2026
- Real Decreto 1082/2012 (Reglamento de IIC), art. 51.6-51.7, consolidated text last updated 28/12/2023. Fuente: Agencia Estatal Boletín Oficial del Estado; de carácter meramente informativo · BOE licence · Read on12 October 2026
- GLEIF, Level 2 data: who owns whom · cite only · Read on12 October 2026
- GLEIF, LEI data terms of use (CC0 for LEI data) · cite only · Read on12 October 2026