ECC accepts EUR cash and a broad range of ECB (European Central Bank) eligible government bonds and EUA emission allowances to fund margin requirements. For Spot Market Initial Margin Requirements ECC accepts Bank Guarantees issued in line with templates provided by ECC. For DCP model ECC accepts cash collateral in EUR and GBP as well as bank guarantees in EUR and GBP.
Haircuts are applied to reflect the potential changes of the market value in stressed market conditions over a liquidation period of, at least, 3 days for bonds and 2 days for EUA emission allowances.
ECC imposes concentration limits on certain issuers, countries and currencies depending on their credit rating. Concentration limits are applied on the level of the Clearing Member and on the default fund as a whole. ECC natively supports the custodian Clearstream Banking Frankfurt with CREATION and CASCADE accounts being available.
The detailed admission criteria are published in the file "Accepted Collateral Securities". The haircuts for foreign currencies are available here. Details on concentration limits are published in the file “Concentration Limits”.
ECC natively supports the custodian Clearstream Banking Frankfurt with CREATION and CASCADE accounts being available.
* ECC uses ratings by Fitch, S&P and Moody's as well as an internal rating.