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Accepted collateral

The following assets are eligible to be accepted as collateral by the CCP:

 Cash

 BME CLEARING accepts cash collateral in euros, which the Clearing Member or its payment agent must pay into BME CLEARING's Account on the TARGET-2 platform.

 Fixed-income Securities

Government debt of euro area countries, accepted by the European Central Bank (e.g. Germany, France, the Netherlands, Belgium, Austria and Spain, plus United Kingdom and United States sovereign debt), with a solvency level between S1 and S7, according to the circular Calculation of shareholders' equity and solvency.

Collateral acceptance and maintenance criteria:

Satisfaction of these conditions is reviewed on a daily basis and whenever a new ISIN is received as collateral:

  1. Treasury bills and bonds are acceptable only if their time to maturity exceeds three months. Due to their lower liquidity and smaller outstanding balance, neither zero-coupon nor strip bonds are acceptable.
  2.  When the collateral is posted, the issue must achieve a minimum nominal outstanding balance in circulation of €5,000 million.
  3.  The next coupon payment or redemption date of securities provided as collateral must be more than 3 months ahead.
  4.  The latest market price in accordance with the CCP Circular may not exceed the preceding 5 trading days although this restriction is not relevant as daily prices are available for all accepted issues. Government Debt is highly liquid and not only prices are quoted daily at the end of the day, but also in real time throughout the day.
  5.  The collateral provided by a Clearing Member in a single issue may not exceed 10% of the outstanding balance in circulation. In addition, the collateral provided by all Members in a single issue may not exceed 25% of the outstanding balance in circulation.

 

Equities

Securities included in the IBEX-35 index (except shares of BME, the parent company of the group to which the CCP belongs).

Collateral acceptance and maintenance criteria:

  1.  Neither securities issued by the holder of the guaranteed obligation, nor securities issued by its Clearing Members, Non-Clearing Members or clients are acceptable as collateral.
  2.  BME CLEARING may consider equities excluded from the IBEX-35 index or suspended from trading as not acceptable collateral.

These conditions are reviewed daily.

The accepted equities are the most liquid Spanish equities. The minimum applied haircut is very high – 25% – and the limit on posted shares is equal to the relevant daily average volume. As a result, market risk is very low.

 

 

 

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