Collateral Security

Overview

As stipulated in EMIR Article 46 (1) and related RTS 153/2013 Article 39 ECC accepts bonds that fulfil the requirements according to RTS 153/2023 Annex 1, Section 1 as margin and default fund collateral.

Eligible bonds

ECC accepts a wide variety of highly liquid bonds as collateral.

ECC only accepts bonds that are both

• an eligible asset for ECB (European Central Bank) and
• admissible as collateral for Eurex Clearing.

Beyond that, ECC applies additional requirements for bonds to be admissible as collateral. The most important are:

• the remaining time to maturity needs to be 15 calendar days or more
• non-callable fixed rate or zero rate bonds
• non-callable floating rate bonds or non-callable reverse floating rate bonds with constant structure (i.e. no switch between fixed and floating coupons)
• no optionalities and inflation-linked coupon structure
• acceptable risk profile based on the internal risk assessment

ECC does not accept own issues (wrong-way risk) as well as close link securities as eligible collateral from Institution Clearing Member.

ECC may, based on an internal risk assessment, classify a specific bond as not eligible.

Concentration limits

ECC sets concentration limits for margin and default fund requirements covered by bonds. The collateral concentration limits established are defined in line with the requirements as stipulated in EMIR Article 46 in connection with RTS 153/2013 Article 42.

ECC has put a collateral policy into effect which establishes concentration limits at the level of:

• individual issuers
• country of issuer
• currency (except EUR).

If a concentration limit set by ECC is breached, ECC's Clearing Operations team will contact the respective Institution Clearing Member who submitted bonds leading to the breach to initiate a replacement of the collateral provided.

Securities account

Institution Clearing Members may provide bonds as collateral to ECC by using securities accounts held at Clearstream Banking Europe AG, Frankfurt. The Institution Clearing Member and ECC will conclude a collateral agreement for all securities accounts at Clearstream Banking Europe AG used by the Institution Clearing Member to provide securities as collateral to ECC. Under the terms of the Collateral Agreement, ECC acquires a pledge (Pfandrecht) in all securities which are held in the securities account(s) of the Institution Clearing Member.