|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|
|Europe: AT, BE, CZ, DE, DK, ES, FI, FR, GB, HU, IE, IT, LU, NL, NO, PL, SE, SI, |
|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 |
|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.