Interest rates on cash collateral

ECC pays interest on EUR margin assets in the form of cash, contributions to the Default Fund in the form of cash and funds provided for the fulfilment of liable equity capital requirements in the form of cash provided by an Institution Clearing Member, subject to and as long as being accepted as guarantee fund by Deutsche Bundesbank in accordance with the Guideline of the European Central Bank of 5 December 2012 on a Trans-European Automated Real-time Gross settlement Express Transfer system (T2) ECB/2012/27.

ECC will apply for EUR cash collateral the following interest rates:

Interest is calculated on a daily basis ACT/360 and will apply during an interest period for the respective end-of-day cash balances reduced/complemented by a service fee of 15 bps in accordance with the ECC Price List.

Minimum Cash Quota

At ECC, a Minimum Cash Quota applies for Institution Clearing Members. For each Institution Clearing Member, the ratio of all margin assets in the form of EUR cash booked to the internal collateral accounts of such Institution Clearing Member to the overall Margin Requirement of such Institution Clearing Member always needs to stay above the Minimum Cash Quota.

Currently applied Minimum Cash Quota: 50%

The EUR Minimum Cash Quota does not apply to contributions to the ECC Default Fund.

ECC uses an automated process for Cash Quota within the C7 Clearing System. As part of the End-of-Day processing, the required cash collateral (Minimum Cash Quota in % * Total Margin Requirement) will be determined per collateral pool and automatically maintained as a separate cash collateral position in Type of Money “QUOTA”. Cash collaterals held permanently at ECC in EUR, i.e. deposited as Type of Money “TERM”, are considered for the fulfillment of Cash Quota and reduce the cash collateral held in Type of Money “QUOTA”.

As Trading Participant Collaterals in Emission Rights and Bank Guarantees are currently considered as margin credits, Institution Clearing Members, allowing EUA and guarantee collateral, are required to monitor the Minimum Cash Quota in addition to the described automated process per collateral pool. If needed, a manual maintenance of cash collateral must be done. By using Type of Money “TERM”, Institution Clearing Members can prevent an automatic withdrawal of cash collateral during the End-of-Day-processing. To reduce complexity, ECC allows the fulfillment of the Minimum Cash Quota by any cash collateral available at the collateral pools of the Institution Clearing Member in this case. ECC will monitor the Minimum Cash Quota of the Institution Clearing Members. In case the Minimum Cash Quota is not fulfilled, ECC will inform the Clearing Member and perform an intraday increase of cash collateral on behalf of the Clearing Member on the STANDARD collateral pool.

Any substitution of margin assets in the form of cash with other margin assets will only be possible to the extent that it does not lead to a breach of the EUR Minimum Cash Quota.

Institution Clearing Members can determine and monitor their actual EUR Cash Quota using daily C7 Reports.

Overview of Cash Quota representation in C7 reports:

• CD031 - Daily Collateral Valuation: The report shows the current collateral position before the respective End of Day recalculation of Cash Quota requirement (Type of Money “QUOTA”) and End-of-Day Margin Call (Type of Money “OWN”).
• CD710 - Daily Cash Account CM: The report includes the deposit or withdrawal transactions of the current End-of-Day process per collateral (Transactions in Type of Money “QUOTA” are recorded with transaction types 210 and 211.)
• CD042 - Daily Settlement Statement: The report shows required margins and collateral per collateral pool, including the already updated cash collateral, allocated to cash quota (CD031 cash collateral +/- cash quota transaction)