To cover margin responsibilities, OMIClear accepts the following type of assets:
OMIClear accepts cash collateral in euros.
Public Debt Securities
Currently the following types of government debt securities are eligible as collateral:
i. Portuguese – “Bilhetes e Obrigações de Tesouro” (Treasury Bonds and Bills);
ii. Spanish – “Bonos y Obligaciones del Estado” (Treasury Bonds and Bills);
iii. German – securities issued by the Federal Government;
iv. Others defined by OMIClear
OMIClear evaluates the financial instruments on a daily basis and assess their regular disclosure of market prices and liquidity.
For the purpose of valuating collateral, the financial instruments value is calculated according to the following formula:
Value of Guarantee = Market value x (1 – Haircut) + Accrued Interest
Haircuts are defined by the product of a factor (H1) linked to the volatility of asset prices and another factor (H2), determined based on the liquidity of assets and the respective amount deposited by the Participant. H1 is determined based on the 99.9% percentile of the series of worst price variations for a 5 day close out period and on the haircut values established by the European Central Bank.
Haircut = H1 x H2
To check the haircut values please go to the Downloads Section.
In cases of instability or abrupt changes in the relevant market of the financial instruments, OMIClear may immediately change the Haircuts, as well as the list of financial instruments accepted as collateral.
To circumvent concentration issues, the amount held by OMIClear in a single issue is capped to 5% of its total value.
Likewise, the collateral represented by financial instruments of a single EU issuer cannot exceed 40% of the total collateral held by OMIClear.
To obtain further information please visit OMIClear rules on downloads section
OMIClear Instruction A06-2014_Management and Evaluation of Guarantees