ECC accepts a wide variety of highly liquid bonds as collateral.
However, ECC only accepts securities that are both
- ECB eligible and
- admissible for Eurex.
Furthermore, bonds need to meet the following requirements to be admissible for ECC:
- The remaining time to maturity needs to be 15 calendar days or more
- They need to be 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. they do not 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.
ECC determines concentration limits for margin and default fund requirements.
ECC has a collateral policy which establishes concentration limits at the level of:
- individual issuers
- country of issuer
- currency (except EUR).
If a concentration limit is violated, ECC's Clearing Operations team will contact the clearing member who submitted collateral leading to the breach to initiate a replacement of collateral.
The collateral policy and procedures are reviewed at least annually and whenever a material change occurs that materially affects the risk exposure.