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Summary of Collateral Management in Eurosystem Credit Operations

Core Content

This document outlines the framework and procedures for collateral management in Eurosystem credit operations, aimed at providing counterparties with essential information on how eligible assets and cash are mobilised, managed, and used as collateral. It includes details on account structures, mobilisation channels, legal arrangements, daily management, fees, and contingency measures.

Main Purpose

• To inform Eurosystem counterparties about the key processes, procedures, and arrangements involved in the mobilisation and management of collateral.
• To ensure transparency and clarity in how collateral is handled across different types of assets and operations.
• To support the proper functioning of the Eurosystem by enabling counterparties to meet collateral requirements efficiently.

Key Processes and Procedures

1. Collateral Management Overview

• Collateral Management: Refers to the process of transferring eligible assets (marketable and non-marketable) to a home central bank (HCB) as collateral for credit operations, and managing these assets until they are returned.
• Eligible Assets: Include marketable assets and non-marketable assets (such as credit claims, retail mortgage-backed debt instruments, and fixed-term deposits) that meet the Eurosystem's criteria.
• Collateral Types: Assets can be used as collateral for various Eurosystem credit operations, including open market operations, marginal lending, and intraday credit.

2. Account and Pool Structure

• Asset Accounts: Used to hold collateral, including internal (maintained by NCBs) and external (held with CSDs or correspondents) accounts.
  • External Asset Accounts: Include regular collateral accounts (T2S), triparty collateral accounts (T2S), and collateral receiving accounts (T2S) for auto-collateralisation.
  • Internal Asset Accounts: Separate accounts for marketable and non-marketable assets to ensure segregation and proper management.
• Cash Accounts: Used to support the execution of collateral management activities and include:
  • Main cash account (MCA): Managed by the counterparty or a co-manager.
  • Dedicated cash account (DCA): For auto-collateralisation transactions.
  • Non-euro cash account: For non-euro-denominated assets.
  • Contingency cash account: Required for critical participants and transactions.
• Collateral Pools: Aggregates all collateral positions linked to a specific pool. The total value of a counterparty's collateral position is calculated after applying haircuts and subtracting any applicable limits.

3. Collateralisation Method

• Pooling Collateralisation: NCBs use this method, where collateral is not linked to a specific credit operation, except for RMBDs.
• Credit Freezing: Allows for the reservation of collateral for specific purposes within a pool, which affects the credit position.
• Booking Mode: Refers to the legal form used for collateralisation, such as repo or pledge, depending on the asset type and NCB preferences.

4. Collateral Mobilisation Channels

• Domestic: Collateral is mobilised from a CSD in the same country as the HCB.
• Links: Used when there is an eligible link between SSSs operated by CSDs.
• CCBM (Correspondent Central Banking Model): An NCB acts as custodian for assets issued in a different country.
• Direct Access: Allows mobilisation of assets from a non-domestic CSD using an NCB account held in that CSD.

5. Types of Collateral and Mobilisation Procedures

• Marketable Assets & DECCs: Can be mobilised via all four channels (Domestic, Links, CCBM, Direct Access).
• Non-Marketable Assets (excluding DECCs): Can be mobilised via Domestic or CCBM channels, depending on legal jurisdiction and NCB procedures.
• Cash as Collateral: Only mobilised in exceptional circumstances, such as when a margin call remains outstanding at 16:55 CET.

6. Collateralisation Arrangements and Booking Mode

• Two main legal instruments are used:
  • Repo: A repurchase agreement.
  • Pledge/Security Interest: Includes pledges, assignments, or floating charges.
• The choice of legal instrument depends on the asset type and the NCB's guidance:
  • For marketable assets and DECCs: Repo, pledge, or both.
  • For non-marketable assets (excluding DECCs): Pledge, assignment, or floating charge.
• The counterparty must specify the chosen method in the mobilisation instruction message (sese.023) using codes:
  • REPU for repo.
  • COLI for pledge.

7. Daily Collateral Management Activities

• Valuation: Collateral is valued daily based on market prices and haircuts.
• Risk Control Measures: Implemented to ensure adequate collateral coverage and manage margin calls.
• Accrued Interest: Applied to collateral positions and must be accounted for.
• Margin Calls: Triggered when collateral levels fall below required thresholds.
• Reporting: Required for daily and monthly penalties, and for accrued interest and margin calls.

8. Fees and Cost Recovery

• CSD and TPA Fees: Charged for the use of securities settlement systems and triparty agents.
• Non-Marketable Asset Fees: Specific to the type of asset and the NCB.
• Billing Cycle: Monthly for most fees, with cash penalties paid immediately.
• Payment of Fees: Counterparties are responsible for reimbursing NCBs for costs incurred.

9. Reallocation and Realisation of Collateral

• Reallocation: May occur during auto-collateralisation transactions or due to margin calls.
• Realisation: Involves the conversion of collateral into cash, typically in cases of default or non-compliance.
• Blocking of Collateral Management Activity: May be imposed in contingency scenarios.

10. Contingency Arrangements

• NSP or Connectivity Issues: Alternative procedures are in place to ensure continuity of operations.
• Non-Availability of CLM: Contingency cash accounts are used to manage collateral in such cases.

11. Settlement Discipline Measures

• Penalties: Imposed for non-compliance with settlement rules.
• Daily and Monthly Reporting: Required for transparency and monitoring.
• Payment of Cash Penalties: Must be made promptly to avoid further disciplinary actions.

Key Information

• Eligibility: Counterparties must meet the Eurosystem's counterparty eligibility criteria to participate in credit operations.
• Collateral Types: Marketable assets, DECCs, credit claims, RMBDs, FTDs, and cash (in limited cases).
• Account Structure: Internal and external accounts are used, with specific naming conventions for clarity.
• Legal Arrangements: Vary by NCB and asset type, with repo and pledge being the primary methods.
• Mobilisation Channels: Include Domestic, Links, CCBM, and Direct Access, depending on the asset and location.
• Collateral Pools: Used to aggregate collateral positions, with a floating credit line determined by the difference between total collateral and credit positions.
• Daily Management: Involves valuation, interest accrual, margin calls, and reporting.
• Contingency Measures: Ensure continuity of operations in case of system failures or legal restrictions.
• Settlement Discipline: Includes penalties and reporting requirements to enforce timely settlement.

Conclusion

This document provides a comprehensive overview of the Eurosystem's collateral management framework, detailing the processes, legal arrangements, and procedures for mobilising and managing assets as collateral. It aims to ensure efficient and transparent operations while adhering to the Eurosystem's eligibility and risk management standards.