The Collateral Policy defines the requirements, which collaterals Clearing Participants need to fulfill at CCPA in order to cover their clearing risks.

Accepted Collaterals

  • Cash in EUR
  • Eligible securities (collateral class 1-3)
    • Debt instruments specified on the list of eligible marketable assets of the ECB
    • Listed in EUR
    • Assignable to one of the haircut categories in the table 
    • Remaining time to maturity of at least one year
    • Listed on a regulated market in the EU
    • The issuer is not
      • the clearing member or a company with which the clearing member is affiliated
      • CCPA or a company belonging to the same group, i.e., WBAG or OeKB an entity that provides services critical for functions of CCPA unless the entity is an EEA central bank. The following company is currently defined as such an entity: OeKB as the settlement bank. For securities in collateral class 1-3 in the single list, the max haircut is 10%.
      • CCPA retains the right to delete securities with 'issuer residence' in specific countries from the list of accepted collateral.

Applied haircuts

Collateral Class
Haircut

1

8 %

2

10 %

3

12 %

Concentration Limits

Concentration limits are applied on the required collateral amount. Every Member must deposit at least 10% of the margin requirement in the form of cash collateral, whereby there is no upper limit for cash deposits.

For securities deposited as collateral, there are concentration limits per collateral class, individual issuer and groups of issuers. The collateral per Clearing Member and/or the entire collateral deposited with CCPA is taken into account, with the assessed collateral (i.e. incl. haircut) being used.

The largest part of CCPA’s securities collateral portfolio consists of government bonds. The states which are currently accepted as issuers of government bonds are: Austria, Germany, France, Poland, Slovakia and Slovenia.

Utilisation of Collaterals

With occurrence of a default, the CCPA is, according to § 34 of CCP Austria's General Terms and Conditions of Business, authorised to utilise clearing collaterals including cash balances and acceptance balances as well as the contributions of the defaulting Clearing Member's default fund to cover all remaining outstanding liabilities. Therein included are unpaid criminal and default interest, fees according to CCPA's Schedule of Fees and the Exchange Operating Company as well as the damage caused by the Clearing Member or Client.  

Utilisation occurs according to CCPA’s General Terms and Conditions of Business in the following order:

  • cash collaterals and all cash balances, which would result in a credit to the clearing accounts of the Clearing Member on settlement date;
  • securities collaterals and acceptance balances (securities, which are to be taken by the defaulting Clearing Member);
  • all contributions of the defaulting Clearing Member's default fund according to §49 of CCP.A’s General Terms and Conditions of Business.