The Collateral Policy defines the requirements, which collaterals Clearing Participants need to fulfill at CCP.A in order to cover their clearing risks.
- Cash in EUR
- Bonds, which meet the following conditions:
- ECB single-list bond
- associated with liquidity class 1-3 of EZB
- admitted to trading at a recognized exchange within the EURO currency area according to § 2 (32) of the Austrian Banking Act
- quoted in EUR
- expiration time at least of one year
- no own issues and no issues of companies with which the Clearing Member is affiliated (General Terms and Conditions of Business of CCP.A § 47 (6))
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 CCP.A is taken into account, with the assessed collateral (i.e. incl. haircut) being used.
The largest part of CCP.A’s securities collateral portfolio consists of government bonds. The states which are currently accepted as issuers of government bonds are: Austria, Germany, France and Slovakia.
Utilisation of Collaterals
With occurrence of a default, the CCP.A 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 CCP.A'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 CCP.A’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.