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Collateral Management

To cover margin responsibilities, OMIClear accepts the following type of assets:


OMIClear accepts cash collateral in euros.

Public Debt Securities

Currently, OMIClear accepts as eligible collateral the following Portuguese public debt issues: Treasury bills and Bonds (“Bilhetes do Tesouro” and “Obrigações do Tesouro”).

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 currently in place, please download the Haircuts applicable to Financial Instruments document.

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.

Further details on OMIClear’s Collateral Management are provided in Instruction A06/2014 - Management and Evaluation of Guarantees (available for download here).