Collateral Acceptance

Collateral type	Acceptance criteria
Cash	Currencies	EUR, GBP, USD (GBP for DCP members only and USD only intraday)
Bonds	Denomination currencies	AUD, CAD, CHF, DKK, EUR, GBP, JPY, NOK, SEK, USD
		DEM (former Euro-In currencies)
	General eligibility	Acceptance by European Central Bank
		Additional sovereigns: AU, CA, GB, JP, US
		Supranationals
		Europe: AT, BE, CZ, DE, DK, ES, FI, FR, GB, HU, IE, IT, LU, NL, NO, PL, SE, SI, SK
		World: AU, CA, CH, JP, US
	Specific eligibility	No unsecured bank bonds from ES, IE, and IT
	Maturity	> 15-days to maturity
		< 30Y for CHF, DKK, JPY, NOK, SEK
		< 50Y for AUD, CAD, EUR, GBP, USD
	Credit rating	Investment grade issue/issuer rating (≥ BBB-)
		Upper medium investment grade for unsecured bank bonds (≥ A-)
	Structures	Selected float and inflation indices
		No callable, puttable, sinkable, convertible or stripped bonds
		No bonds with pool factor or negative coupons
		No ABS, MBS, CDOs
	Concentration	No more than 25% of issued capital
		No more than 1 bn EUR issued by EFSF, ESM, SAREB
	Liquidity	Need to exhibit sufficient liquidity (e.g. reasonable availability of quotes, issued volume, …)
Bank guarantees	General eligibility	Bank Guarantees that fulfill certain criteria are accepted to cover Spot Market Initial Margin Requirements. They can be used as margin credit by NCM and to cover the limit by DCP CM. For details please see “Bank Guarantees as Collaterals” and “Collateral Management”.
Emission Allowances	Emission Allowances General Eligibility	Subject to approval and configuration by the respective Clearing Member, European Emission Allowances (EUA) can be used as margin credits to offset margin requirements for Initial Margin Spot Market (IMSM) and/or Initial Margin Derivatives (SPAN). For details please see “European Union Allowances (EUA) as margin credits”.

 

• Additional collateral concentration limits apply with respect to the collateral pool, details are provided here: Bond Collateral & Concentration Limits (ecc.de) 
• No acceptance of own issues or issues of entities closely linked  to the collateral provider/clearing member.
• No acceptance of issues of Deutsche Börse Group.
• Collateral generally has to allow for straight-through-processing (STP), exhibiting suitable safe custody along with full support of custody events.
• Collateral has to comply with admissible taxation law, be un-sanctioned and the issuer must not be subject to financial distress.

 

The eligibility of specific ISIN along with their respective collateral haircut is disclosed in the Admissible Securities file, published on the website under risk parameters in the section "General Parameters: Bond Collateral & Concentration Limits (ecc.de)".

ECC reserves the right to amend these criteria at any time, in the event that changes in market structure, economics or regulation necessitate such action facilitating the security of the clearing house.