Collateral
Management

Collateral Valuation

BME CLEARING measures in real time the credit quality, market liquidity and price volatility of each asset accepted as collateral.

BME CLEARING system updates in near to real time, every 15 minutes, the prices of assets accepted as collateral: last price for equities provided by SIBE, bid-ask average provided by SENAF for Spanish sovereign debt, and bid-ask average calculated based on bid and ask price data per issue provided by Reuters or Bloomberg for non-Spanish sovereign debt.

Fixed Income Securities

  • The valuation of Government Debt will be made by multiplying the market price of the security by a coefficient of:  Coefficient = 100% - haircut. Haircuts per Debt and maturity tranche are established in “Valuation of Securities posted as Margins” Circular.
  • In exceptional circumstances, BME CLEARING can decide to increase any of the haircuts set out in the Circular, in order to align them with the lowest requirements of margin percentages or haircuts of the Clearing Houses in the environment of trades on Spanish sovereign debt in the same tranche or period.

Equities

  • For those shares included in the IBEX 35 index and that are the underlying asset of Stock Futures and Stock Options in BME CLEARING, valuation will be the result of taking the market price of the share and applying a reduction of: maximum (25%, Daily fluctuation parameter).
  • For other shares, valuation will be the result of taking the market price of the share and applying a reduction of: maximum (25%, Daily fluctuation parameter * Ratio 1,1).
  • The market price taken as the reference is the closing price at SIBE.
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