ECC accepts EUR, GBP and USD as cash collateral and a broad range of bonds that are Eurex* and ECB (European Central Bank) eligible 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 the DCP model, ECC accepts cash collateral in EUR and GBP as well as bank guarantees in EUR and GBP.
Detailed admission criteria and security-related haircuts are provided in the file "Accepted Collateral Securities"*. The applied haircuts are calculated with regard to stressed market conditions and an adequate liquidation period. ECC uses haircuts supplied by EUREX Clearing. As such, ECC also uses the collateral valuation model applied by EUREX Clearing. The haircuts for foreign currencies are available here.
ECC imposes concentration limits on certain issuers, countries and currencies depending on their credit rating. Concentration limits are applied at 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.
To cover risks occurring from short positions in futures or to cover Initial Margin Sport Market (IMSM) ECC accepts EUA as margin credit.
ECC does not accept equities or gold as collateral.
* In addition to the selection mechanisms that are used by Eurex Clearing ECC can apply further internal risk control measures.