欧元体系信贷业务中的抵押品管理 欧元系统交易对手方信息

Information for Eurosystemcounterparties Contents 1Introduction4 1.1Purpose of this document41.2Structure of this document4 2Background6 3Account and pool structure9 3.1Asset accounts93.2Cash accounts113.3Collateralisation method12 4Collateral mobilisation15 4.1Introduction154.2Mobilisation channels164.3Procedures for the mobilisation of assets184.4Collateralisation arrangement and booking mode184.5Opening hours20 5Mobilisation and demobilisation of marketable assets and DECCs22 5.1Mobilisation225.2Demobilisation25 6Mobilisation and demobilisation of non-marketable assets otherthan DECCs 6.1Credit claims296.2Additional credit claims366.3Retail mortgage-backed debt instruments376.4Fixed-term deposits37 7Triparty collateral management services38 7.1Introduction387.2Initiation of a triparty transaction38 7.3Lifecycle of a triparty transaction407.4Handling of corporate event proceeds437.5Operating days and operating hours44 8Auto-collateralisation46 8.1Introduction468.2Configuration of an auto-collateralisation transaction478.3Reimbursement of an auto-collateralisation transaction47 9Credit position management 9.1Settlement of Eurosystem credit operations499.2Management of credit lines529.3Credit limits53 10Corporate events55 10.1Background5510.2Introduction5610.3Lifecycle of a corporate event5610.4Taxation of corporate events62 11Daily management of collateral66 11.1Valuation6611.2Risk control measures6611.3Accrued interest6711.4Margin calls6711.5Reporting69 12Fees70 12.1CSD and TPA fees7012.2Non-marketable asset fees7012.3Billing cycle7112.4Payment of fees72 13Reallocation and realisation of collateral73 13.1Reallocationof collateral7313.2Blocking of collateral management activity7413.3Realisation of collateral74 14Contingency arrangements75 14.1Non-availability of network service provider (NSP) or otherconnectivity issues7514.2Non-availability of CLM75 15Settlement discipline measures77 15.1Background7715.2Daily reporting on penalties7715.3Monthly reporting on penalties7815.4Payment of cash penalties78 16Annex 16.3Information required for the (de)mobilisation of marketableassets and DECCs 16.4Overview of legal and procedural requirements for credit claimsper NCB 16.5Collateralisation arrangement and booking mode per NCB forauto-collateralisation 16.7List of permissible loan types across the Eurosystem88 16.8(De)mobilisation of collateral in a contingency scenario 16.9List of abbreviations94 16.10Terminology97 1Introduction Purpose of this document Eligible counterparties may only obtain credit from the central bank of the country inwhich they are based–their home central bank (HCB)–by mobilising eligiblemarketable and non-marketable assets as collateral. The process by which theseassets are mobilised (transferred) to their HCB, and any subsequent handling of thecollateral until it is given back to the counterparty, is referred to as collateralmanagement. The purpose of this document is to provide Eurosystem counterparties(“counterparties”) with information on the key processes, procedures andarrangements involved in the mobilisation and management of collateral inEurosystem credit operations. The accompanying legal framework for the mobilisation and management ofcollateral is set out in theGuideline on the management of collateral in Eurosystemcredit operations1(Collateral Management Guideline). Structure of this document 1.2 This documentstarts (Chapter 1) with information on its purpose and structure. Chapter 2provides a high-level introduction to Eurosystem collateral management. Chapter 3contains information on the accounts and collateral pools used tomobilise and manage collateral. Chapter 4provides an overview of the different channels by which counterpartiesmay mobilise collateral. The applicable processes and procedures for the mobilisation of (i) marketableassets and DECCs, and (ii) non-marketable assets other than DECCs are describedinChapters 5 and 6respectively. Chapter 7describes the arrangements in place for the provision of triparty collateralmanagement services by eligible triparty agents. Chapter 8specifies the procedures in place for the execution of auto-collateralisation transactions. Chapter 9explains how the credit positions in the collateral pool are managed. Chapter 10details the applicable processes and procedures for managing corporateevents relating to marketable assets and DECCs mobilised as collateral. Chapter 11describes the daily activities to be performed in order to managecollateral. Chapter 12presents the applicable policies for the recovery of costs incurred byNCBs in connection with the mobilisation of collateral. Chapter 13documents the procedures for the reallocation and realisation ofcollateral. Chapter 14provides information on contingency arrangements. Chapter 15describes those aspects of the settlement discipline regime that arerelevant to the mobilisation of marketable assets and DECCs as collateral. Furth