欧洲央行-欧元体系信贷业务中的抵押品管理-欧洲系统交易对手信息（英）

EUROPEANCENTRALBANK

EUROSYSTEM

CollateralmanagementinEurosystemcredit

operations

InformationforEurosystemcounterparties

August2024

CollateralmanagementinEurosystemcreditoperations–Contents1

Contents

1Introduction4

1.1Purposeofthisdocument4

1.2Structureofthisdocument4

2Background6

3Accountandpoolstructure9

3.1Assetaccounts9

3.2Cashaccounts11

3.3Collateralisationmethod12

4Collateralmobilisation15

4.1Introduction15

4.2Mobilisationchannels16

4.3Proceduresforthemobilisationofassets18

4.4Collateralisationarrangementandbookingmode18

4.5Openinghours21

5MobilisationanddemobilisationofmarketableassetsandDECCs22

5.1Mobilisation22

5.2Demobilisation25

6Mobilisationanddemobilisationofnon-marketableassetsother

thanDECCs29

6.1Creditclaims29

6.2Additionalcreditclaims36

6.3Retailmortgage-backeddebtinstruments37

6.4Fixed-termdeposits37

7Tripartycollateralmanagementservices38

7.1Introduction38

7.2Initiationofatripartytransaction38

CollateralmanagementinEurosystemcreditoperations–Contents2

7.3Lifecycleofatripartytransaction40

7.4Handlingofcorporateeventproceeds43

7.5Operatingdaysandoperatinghours44

8Auto-collateralisation46

8.1Introduction46

8.2Configurationofanauto-collateralisationtransaction47

8.3Reimbursementofanauto-collateralisationtransaction47

9Creditpositionmanagement49

9.1SettlementofEurosystemcreditoperations49

9.2Managementofcreditlines52

9.3Creditlimits53

10Corporateevents55

10.1Background55

10.2Introduction56

10.3Lifecycleofacorporateevent56

10.4Taxationofcorporateevents62

11Dailymanagementofcollateral66

11.1Valuation66

11.2Riskcontrolmeasures66

11.3Accruedinterest67

11.4Margincalls67

11.5Reporting69

12Fees70

12.1CSDandTPAfees70

12.2Non-marketableassetfees70

12.3Billingcycle71

12.4Paymentoffees72

13Reallocationandrealisationofcollateral73

CollateralmanagementinEurosystemcreditoperations–Contents3

13.1Reallocationofcollateral73

13.2Blockingofcollateralmanagementactivity74

13.3Realisationofcollateral74

14Contingencyarrangements75

14.1Non-availabilityofnetworkserviceprovider(NSP)orother

connectivityissues75

14.2Non-availabilityofCLM75

15Settlementdisciplinemeasures77

15.1Background77

15.2Dailyreportingonpenalties77

15.3Monthlyreportingonpenalties78

15.4Paymentofcashpenalties78

16Annex79

16.1Harmonisednamingconventionsforaccountsandpools79

16.2PurposesforwhichcollateralmaybemobilisedwithNCBs80

16.3Informationrequiredforthe(de)mobilisationofmarketable

assetsandDECCs83

16.4Overviewoflegalandproceduralrequirementsforcreditclaims

perNCB85

16.5CollateralisationarrangementandbookingmodeperNCBfor

auto-collateralisation87

16.6Non-marketableassetfeesperNCB88

16.7ListofpermissibleloantypesacrosstheEurosystem88

16.8(De)mobilisationofcollateralinacontingencyscenario92

16.9Listofabbreviations94

16.10Terminology97

CollateralmanagementinEurosystemcreditoperations–Introduction

1Introduction

1.1Purposeofthisdocument

1.1.1Eligiblecounterpartiesmayonlyobtaincreditfromthecentralbankofthecountryinwhichtheyarebased–theirhomecentralbank(HCB)–bymobilisingeligible

marketableandnon-marketableassetsascollateral.Theprocessbywhichthese

assetsaremobilised(transferred)totheirHCB,andanysubsequenthandlingofthecollateraluntilitisgivenbacktothecounterparty,isreferredtoascollateral

management.

1.1.2ThepurposeofthisdocumentistoprovideEurosystemcounterparties

(“counterparties”)withinformationonthekeyprocesses,proceduresandarrangementsinvolvedinthemobilisationandmanagementofcollateralinEurosystemcreditoperations.

1.1.3Theaccompanyinglegalframeworkforthemobilisationandmanagementof

collateralissetoutintheGuidelineonthemanagementofcollateralinEurosystemcreditoperations1(CollateralManagementGuideline).

1.2Structureofthisdocument

Thisdocumentstarts(Chapter1)withinformationonitspurposeandstructure.

Chapter2providesahigh-levelintroductiontoEurosystemcollateralmanagement.

Chapter3containsinformationontheaccountsandcollateralpoolsusedtomobiliseandmanagecollateral.

Chapter4providesanoverviewofthedifferentchannelsbywhichcounterpartiesmaymobilisecollateral.

Theapplicableprocessesandproceduresforthemobilisationof(i)marketable

assetsandDECCs,and(ii)non-marketableassetsotherthanDECCsaredescribedinChapters5and6respectively.

Chapter7describesthearrangementsinplacefortheprovisionoftripartycollateralmanagementservicesbyeligibletripartyagents.

Chapter8specifiestheproceduresinplacefortheexecutionofauto-collateralisationtransactions.

Chapter9explainshowthecreditpositionsinthecollateralpoolaremanaged.

1Guideline(EU)2024/[XX]oftheEuropeanCentralBankof13August2024onthemanagementofcollateralinEurosystemcreditoperations(ECB/2024/22)(notyetpublishedintheOfficialJournal).

CollateralmanagementinEurosystemcreditoperations–Introduction

Chapter10detailstheapplicableprocessesandproceduresformanagingcorporateeventsrelatingtomarketableassetsandDECCsmobilisedascollateral.

Chapter11describesthedailyactivitiestobeperformedinordertomanagecollateral.

Chapter12presentstheapplicablepoliciesfortherecoveryofcostsincurredbyNCBsinconnectionwiththemobilisationofcollateral.

Chapter13documentstheproceduresforthereallocationandrealisationofcollateral.

Chapter14providesinformationoncontingencyarrangements.

Chapter15describesthoseaspectsofthesettlementdisciplineregimethatarerelevanttothemobilisationofmarketableassetsandDECCsascollateral.

FurtherrelevantinformationonmattersintroducedinChapters1to15isincludedintheAnnex.

CollateralmanagementinEurosystemcreditoperations–Background

2Background

2.1.1InlinewithArticle18.1oftheESCBStatute,allEurosystemcreditoperations

conductedwithcreditinstitutionsandmarketparticipantsarebasedontheprovisionofadequatecollateral.Adequatecollateralreferstotheprovisionofmarketable

assetsand/ornon-marketableassetsthatfulfiltheEurosystem’seligibilitycriteria.Theterm“eligibleasset”isusedforassetsthattheEurosystemmayacceptas

collateral.

2.1.2Eurosystemcreditoperationscomprisethefollowing:

•liquidity-providingreversetransactions,i.e.liquidity-providingEurosystem

monetarypolicyoperationsexcludingforeignexchangeswapsformonetarypolicypurposesandoutrightpurchases;

•intradaycreditoperations(i.e.intradaycreditinTARGETandT2Sauto-collateralisation);

•ECONScredit.

Figure1

OverviewofEurosystemcreditoperations

2.1.3InordertoparticipateinEurosystemcreditoperations,acounterpartymustfulfiltheEurosystem’scounterpartyeligibilitycriteria.Eachcounterpartymaybeeligibleto

participateinsomeorallofthecategoriesofEurosystemcreditoperationsoutlinedinTable1:

CollateralmanagementinEurosystemcreditoperations–Background

•Monetarypolicycounterpartiesmayparticipateinsome2orallEurosystemcreditoperations.

•Intradaycreditcounterpartieshaveaccesstointradaycreditonly.

Table1

CategoriesofEurosystemcreditoperations

Category

Type(andlegalnature)oftransactions

Maturity

Frequency

Settlementofcash

Openmarketoperations

Mainrefinancingoperations

Reversetransactions(repoorcollateralisedloan)

Oneweek

Weekly

TARGET(MCA)

Longer-term

Reversetransactions(repo

Threemonths(General

Monthlyoradhoc

TARGET(MCA)

refinancingoperations

orcollateralisedloan)

Framework)to48months(TemporaryFramework)

Fine-tuningoperations

Reversetransactions(repoorcollateralisedloan)

Non-standardised

Non-regular

TARGET(MCA)

Structuraloperations

Reversetransactions(repoorcollateralisedloan)

Standardised/non-standardised

Non-regular

TARGET(MCA)

Standingfacilities

Marginallending

facility–marginallendingonrequest

Reversetransactions(repoorcollateralisedloan)

Overnight

Daily(accessatthe

discretionof

counterparties)

TARGET(MCA)

Marginallending

facility–automaticmarginallending

Reversetransactions(repoorcollateralisedloan)

Overnight

Daily

TARGET(MCA)

Intradaycredit

TARGETintraday

Reversetransactions(repo

Intraday

Accessatthe

TARGET(MCA)

credit

orcollateralisedloan)

discretionof

counterparties

T2Sauto-

Reversetransactions(repo

Intraday

Accessatthe

TARGET(T2SDCA

collateralisation

orcollateralisedloan)

discretionof

counterparties

forauto-

collateralisationandMCAforrelocations)

Contingencycredit

ECONScredit

Reversetransactions(repoorcollateralisedloan)

Non-standardised

Non-regular

ECONSII

2.1.4Eligiblecounterpartiesmayonlyobtaincreditfromthecentralbankofthecountryinwhichtheyarebased–theirhomecentralbank(HCB)–while,inthecaseof

marketableassets,eligibleassetsmaybeissuedinanyEuropeanEconomicArea(EEA)countryand,fornon-marketableassets,thecreditclaimagreementmaybegovernedbythelawofanyMemberStatewhosecurrencyistheeuro.3

2.1.5TheEurosystemhasthereforeputinplaceaseriesofarrangementstoensurethatallmarketableandnon-marketableassetseligibleforuseinEurosystemcredit

operationsaremadeavailabletoallcounterparties,regardlessofwheretheassetsorthecounterpartiesaresituated.Aftermobilisation,aEurosystemnationalcentralbank(NCB)oradesignatedthirdparty(atripartyagent(TPA))isresponsibleforthe

2Forfine-tuningoperationsthatareexecutedbymeansofquicktenderprocedures,counterpartiesareselectedinaccordancewiththeparticipationcriteriadescribedinArticle57oftheGeneral

Documentation.

3Theoverallnumberoflawsgoverningacreditclaimmustnotexceedtwo.

CollateralmanagementinEurosystemcreditoperations–Background

dailymanagementoftheassetsmobilisedascollateral.TheEurosystemCollateralManagementSystem(ECMS)isthesingleEurosystemplatformusedby

EurosystemNCBsformanagingeligibleassetsandcash4mobilisedascollateralinEurosystemcreditoperations.5

2.1.6Figure2providesahigh-leveloverviewofthemainactivitiesinvolvedinthe

managementofcollateralfromthetimethecollateralisdeliveredfromthe

counterpartytoitsHCB.Thearrowsdepicttheflowofcollateral(totheHCB)andtheflowofcredit(tothecounterparty).

Figure2

Eurosystemcollateralmanagement

4CashmayonlybeacceptedascollateralintheeventofamargincallinaccordancewithArticle

15(1)(c)oftheGD.

5Thedomesticmobilisationof(additional)creditclaimsmaybemanagedoutsidetheECMS.

CollateralmanagementinEurosystemcreditoperations–Accountandpoolstructure

3Accountandpoolstructure

Thischapterprovidesinformationontheaccountsandcollateralpoolsusedtomobiliseandmanagecollateral.

3.1Assetaccounts

3.1.1Tofacilitatethemobilisationofcollateral,counterpartiesneedtomaintainassetaccounts.

3.1.2Assetaccountsincludebothinternalassetaccounts(maintainedbyNCBs)and

externalassetaccounts(maintainedbyacentralsecuritiesdepository(CSD)oracorrespondentcentralbank(CCB)).

3.1.3Externalaccountscomprisethefollowing:

•Accountsheldwitheligiblesecuritiessettlementsystems(eligibleSSSs)forthepurposesofreceivingeligiblemarketableassetsanddebtinstrumentsbackedbyeligiblecreditclaims(DECCs)ascollateralinEurosystemcreditoperations.Theseaccountscomprisethefollowing:

•Regularcollateralaccounts–securitiesaccountsinT2Swherethe

marketableassetsandDECCsmobilisedviatheDomestic,Links6,DirectAccessandCCBMmobilisationchannelsaretransferredorretained.

•Tripartycollateralaccounts–securitiesaccountsinT2SwherethemarketableassetsandDECCsmobilisedviaatripartyagentare

transferredorretained.

•Collateralreceivingaccounts–securitiesaccountsinT2SwherethemarketableassetsandDECCsmobilisedviaanauto-collateralisationtransactionareheldonanintradaybasis.

•AccountsheldwithotherNCBsthatactasCCBformarketableandnon-marketableassetsmobilisedbycounterpartiesoftheHCB.

3.1.4Internalaccountscomprisethefollowing:

•Counterpartyassetaccounts–accountsmaintainedtorecorddetailsofthemarketableandnon-marketableassetsmobilisedbycounterparties.

3.1.5Figure3providesasimplifiedoverviewoftheaccountstructure.

6AsshowninTable2,DECCsmaynotbemobilisedviatheLinksmobilisationchannel.

CollateralmanagementinEurosystemcreditoperations–Accountandpoolstructure

Figure3

Accountstructure

Accountopening

Externalaccounts

3.1.6ExternalaccountsinSSSsmaybeopenedwithanyeligibleSSS(thelistofeligibleSSSsispublishedontheECB’swebsite).7Theseaccountsmaybeopenedinthenameofeither(i)theNCBor(ii)thecounterparty.

•Forcollateralmobilisedviaatripartyagent,oneexternalassetaccountmustbeopenedpertripartytransaction,i.e.adedicatedaccountforeachcounterpartyusingtripartycollateralmanagementservices.

•ForT2Sauto-collateralisationtransactions,thecollateralreceivingaccount

(CRA)andtheregularcollateralaccount(RCA)mustbeopenedwiththesameeligibleSSS.

Internalaccounts

3.1.7NCBsopenandmaintaintheinternalaccountsrequiredforcollateralmanagementpurposesonbehalfoftheircounterparties.

•IfanNCBpermitstheuseofmorethanonecollateralisationarrangement,8thenseparateinternalassetaccountsareopenedpercollateralisation

arrangement.

•NCBsmaintainseparateinternalassetaccountstosegregateholdingsofmarketableandnon-marketableassets.

7Tobeeligible,anSSSmustfulfiltheeligibilitycriterialaiddowninAnnexIoftheCollateral

ManagementGuideline.TheoperatoroftheSSSmustestablishandmaintaintechnicalconnectivitybetweentheSSSandtheECMS,inaccordancewiththeproceduresetoutbytherespectiveNCB.

8PleaserefertoSection4.4formoreinformationonthedifferentcollateralisationarrangementsacceptedbyeachNCB.

CollateralmanagementinEurosystemcreditoperations–Accountandpoolstructure

Accountnamingconventions

3.1.8AssetaccountsarenamedinaccordancewiththeharmonisednamingconventionssetoutinAnnex

16.1

tothisdocument.

Accountmanagement

3.1.9NCBsallowcounterpartiestomandateathirdpartytomanageassetaccountsontheirbehalfwhereby:

(a)thecounterpartyaccountinanSSSinwhichsecuritiesareheldpriortomobilisationmaybeownedbyathirdparty;

(b)thecounterpartyassetaccountsareopenedinthenameofthe

counterparty,whilethecounterpartyhasthepossibilitytoappointathirdpartytosendinstructionsto,andreceivenoticesfrom,itsHCBonits

behalfwithregardtocollateralmanagementactivityontheseaccounts;

(c)NCBswillnotactasthethirdpartyreferredtounderpoint(b)(exceptionsarepossibleincontingencysituations).

3.2Cashaccounts

3.2.1Counterpartiesalsoneedtomaintaincashaccountsinordertosupporttheexecutionofcollateralmanagementactivities.

3.2.2Cashaccountscomprisethefollowing:

•Maincashaccounts–cashaccountsinCentralLiquidityManagement(CLM)

•Contingencycashaccounts–cashaccountsintheEnhancedContingencySolution(ECONSII)

•Dedicatedcashaccounts–cashaccountsinT2S

•Non-eurocashaccounts–cashaccountsincorrespondentbanks

3.2.3Eachcounterpartyneedstomaintain:

•amaincashaccount(MCA)(i)openedinitsownnameandmanagedbythe

counterpartyitself,(ii)openedinitsownnameandmanagedbyathirdparty

(referredtoasaco-manager),or(iii)belongingtoanotherTARGETparticipant,inordertofacilitate:

•thesettlementofEurosystemcreditoperations;

•themanagementofthecreditline(relevantforcounterpartieshavingaccesstointradaycredit);

CollateralmanagementinEurosystemcreditoperations–Accountandpoolstructure

•thecollectionoffeesowedonamonthlybasis;

•theprocessingofcashflowsstemmingfromcorporateactioneventsonmobilisedcollateral;

•therelocationofcollateralinthecontextofanauto-collateralisation

transaction(relevantforcounterpartiesusingT2Sauto-collateralisation);

•the(de)mobilisationofcashascollateral9.

•adedicatedcashaccount(DCA)persecuritiesaccounttofacilitatethe

settlementofauto-collateralisationtransactionsinaT2SCSD(relevantforcounterpartiesusingT2Sauto-collateralisation);

•anon-eurocashaccountwhererelevanttofacilitatethesettlementof:

•corporateeventproceedsonnon-euro-denominatedsecurities(relevantforcounterpartieswishingtomobilisenon-euro-denominatedassets);

•non-euroEurosystemcreditoperations(relevantforcounterpartieswishingtoparticipateinnon-euroEurosystemcreditoperations).

•AcontingencycashaccounttosupporttheexecutionofcollateralmanagementoperationsintheeventthatCLMisunavailable(thisaccountismandatoryonlyforparticipantsconsideredtobecriticalbyitsNCBandforparticipantsthat

settleverycriticaltransactions).

3.3Collateralisationmethod

3.3.1NCBsusethepoolingcollateralisationmethodtomaintaincollateralmobilisedby

counterparties.Underthismethod,thecounterpartymakescollateralavailabletoanNCBtocollateralisecreditfromthatNCB,andinwhichindividualeligibleassetsarenotlinkedtoanyspecificEurosystemcreditoperation,withtheexceptionofRMBDswhicharelinkedtoaspecificcreditoperation.

3.3.2Thecollateralpoolincludesallcollateralpositionsthatarelinkedtothatpool.

3.3.3Thetotalvalueofacounterparty’scollateralpositionisequaltothesumofthe

collateralvalueafterhaircutsoftheindividualcollateralpositionsinthatpoolminusthetotalvalueofanylimitsthatmaybeappliedtothepool.

3.3.4Figure4belowprovidesasimplifiedoverviewofacollateralpoolwithafloatingcreditline.

9CashmayonlybeacceptedascollateralintheeventofamargincallinaccordancewithArticle

15(1)(c)oftheGD.

CollateralmanagementinEurosystemcreditoperations–Accountandpoolstructure

Figure4

Collateralpool

3.3.5InadditiontothecollateralisationofEurosystemcreditoperations,collateralmay

alsobemobilisedforotherpurposes.Thelistof(other)purposesforwhichcollateralmaybemobilisedwithanNCBisprovidedinAnnex

16.2.

3.3.6CollateralmobilisedforthepurposesofcollateralisingEurosystemcreditoperationsmustbeheldinaseparatecollateralpoolfromcollateralmobilisedforpurposes

otherthanthecollateralisationofEurosystemcreditoperations.NCBsmaintainasmanycollateralpoolspercounterpartyasrequiredforthispurpose.

3.3.7Eachcollateralpoolisidentifiedinaccordancewiththeharmonisedpool-namingconventionssetoutinAnnex

16.1.

3.3.8Collateralmobilisedforotherpurposesismanagedinaccordancewiththe

proceduresinplaceforthemobilisationandmanagementofcollateralusedtocollateraliseEurosystemcreditoperations.

Reservationofcollateral

3.3.9Mobilisedcollateralmaybereservedforaspecificpurposewithinacounterparty’scollateralpoolinaccordancewiththeHCB’stermsandconditions.Thisconceptisknownascreditfreezing(asthereservedcollateralisconsideredtobeconsumedcreditfromacollateralmanagementperspectiveand