05 May 2022

Eurex Clearing

Collateral: Inclusion of the Belgian Covered Bond Law in the exceptions list of “Own Issues” and “Close Links” rule for margin collateral and principal collateral

Eurex Clearing Circular 032/22 Collateral: Inclusion of the Belgian Covered Bond Law in the exceptions list of “Own Issues” and “Close Links” rule for margin collateral and principal collateral

1.  Introduction   

Eurex Clearing herewith announces the inclusion of the Belgian Covered Bond Law as further exception in its “Own Issues” and “Close Links” rule. This rule, which governs eligibility of collateral, was first published with Eurex Clearing Circular 126/14 (Clarification of the Own Issues and Close Links Rule for margin collateral and principal collateral), together with a definition of exceptions.

Consequently, securities in accordance with the Belgian Covered Bond Law will be eligible as margin collateral and principal collateral with Eurex Clearing AG.

Effective date: With publication of this circular.

2.  Required action

We kindly ask you to forward this circular to all involved departments within your company.

3.  Details

Eurex Clearing includes the Belgian Covered Bond Law in its “Own Issues” and “Close Links” rule for margin collateral and principal collateral. With this measure, Eurex Clearing extends the list of defined exceptions to aforementioned rule under number 3 in Eurex Clearing Circular 126/14.

Effective with publication of this circular, the full list of exceptions to Eurex Clearing’s “Own Issues” and “Close Links” rule is as follows:

1. Financial instruments of selected public issuers according to the definition in the Clearing Conditions of Eurex Clearing AG1

2. Issues of central governments with a defined minimum credit quality2 that Eurex Clearing currently recognizes as guarantors; presently the following countries/governments qualify as guarantors3: Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Luxembourg, Netherlands, Norway, Sweden, Switzerland, United Kingdom, United States

3. Covered bonds of issuers with high credit quality4 based on Eurex Clearing’s internal assessment, to which the following dedicated laws5 apply (i.e. covered bonds where the assets backing these bonds are appropriately segregated)6:

Germany:

  • Mortgage bonds pursuant to the Mortgage Bond Act of 19 July 2005
  • Public sector mortgage bonds pursuant to the Mortgage Bond Act of 19 July 2005
  • Collateralisation as per Section 6 (1) of the German Mortgage Bank Act (mortgage collateralisation)
  • Collateralisation as per Section 41 of the German Mortgage Bank Act (guaranteed by public sector agency)

Denmark:

  • Collateralisation as per the Danish Mortgage Bond Act

France:

  • Collateralisation as per Financial Sector Law of 5 April 1993 (Provisions in respect of mortgage banks: “Banques d'émission de lettres de gage” (mortgage credit banks) of 22 June 2000)
  • Collateralisation as per the French law no. 2010-1249 of 22 October 2010 (SFH Law)

Belgium:

  • Collateralisation as per the Belgian Covered Bond Law of 3 August 2012

Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions or FCM Clearing Conditions of Eurex Clearing AG, as applicable.


1  Clearing Conditions of Eurex Clearing AG, Chapter I Part 1 No. 2.1.3
2  In this context “minimum credit quality” approximates external ratings in a range from AAA to AA. However, Eurex Clearing’s internal rating is the basis for a potential exception.
3  The list of countries might be revisited in the future.
4  High internal credit quality approximates external ratings in a range from AAA to A3/A-. However, Eurex Clearing’s internal rating is the basis for a potential exception.
5  The list of laws might be revisited in the future.
6  Commission Delegated Regulation (EU) No 153/2013 (ESMA) Ch. X, Art. 39 and Annex I, Section I (g) (i).


Further information

Recipients:

All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors

Target groups:

Middle + Backoffice, Auditing/Security Coordination

Related circular:

Eurex Clearing Circular 126/14

Contact:

Risk Analytics, tel. +49-69-211-1 24 52, risk@eurex.com

Web:

www.eurex.com/ec-en/

Authorized by:

Dmitrij Senko