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Securities lending arrangements of the ECB

Updated on 8 December 2016

The ECB has made the holdings of securities purchased under the public sector purchase programme (PSPP) available for securities lending since 2 April 2015.

The implementation of this activity has been delegated to its lending agent Deutsche Bank AG under the terms and conditions determined by the ECB. The ECB may revise these terms and conditions if this is deemed necessary.

Holdings purchased by the ECB under the Securities Markets Programme (SMP) that are also eligible under the PSPP are available for lending under the same conditions.

As of 4 April 2016, holdings purchased by the ECB under its covered bond purchase programmes (CBPP1, 2 and 3) are also being made available for lending via the same channel.

As of 15 December 2016, the ECB makes its holdings under the PSPP also available for securities lending against cash as collateral, subject to certain conditions.

Securities made available for lending (list of ISINs)

Holdings of the ECB made available for lending in the context of the PSPP and the SMP, last update: 05 December 2016

This PSPP/SMP holdings list is updated on a weekly basis. Information on the availability of CBPP holdings can be obtained directly from the securities lending agent.

Pricing and term

As of 9 December 2016, the ECB’s securities lending arrangements allow eligible counterparties, at any time, to borrow securities against securities as collateral at a fixed minimum fee of 10 basis points, or a fee based on prevailing market rates, whichever is the higher. The fee is the difference between the repo and reverse repo rates.

As of 15 December, the ECB also allows eligible counterparties to borrow securities against cash as collateral at a rate equal to the lower of the rate of the deposit facility minus 30 basis points (i.e. currently -70 basis points) and the prevailing market repo rate.

While, in principle, transactions have an open term and there is no fixed time limit on extending a borrowing transaction, loans with a duration of more than 30 calendar days will be monitored by the ECB to ensure that the facility is being used for its intended purpose of supporting secondary market liquidity.

Counterparty eligibility

The arrangements are aimed at primary dealers of euro area sovereign bonds and at other institutions with market-making commitments, provided that they fulfil all the legal requirements for the given securities lending activities. This involves, in particular, the signing of the relevant contractual documentation with the securities lending agent, Deutsche Bank AG, subject to approval by the ECB.

Collateral and haircut

The transactions can take place against securities or, as of 15 December 2016, also against cash as collateral. Borrowers must propose eligible collateral that they intend to offer against the security they wish to borrow. The acceptable collateral consists of the full range of PSPP-eligible securities and cash denominated in euro. Moreover, securities with a remaining maturity of less than two years which are excluded from the PSPP purchases but fulfil all other PSPP requirements for eligibility under the PSPP are also eligible.

Under both options (i.e. lending against securities and lending against cash), a haircut of 4% applies.

Borrowing limits per counterparty

Subject to availability, an individual counterparty may borrow up to 2.5% of the amount outstanding of a single issue (as identified by the ISIN), with a maximum of €200 million for any such issue. Transactions should be split into tickets with a maximum nominal size of €50 million.

In addition, the ECB will set limits for each individual counterparty with regard i) to the overall borrowing volume and ii) to the borrowing volume against cash collateral.

Settlement and cut-off time

As of 15 November 2016, the transactions will be settled through Euroclear either on the same day or on the following business day or two business days later (T+0, T+1, or T+2). The cut-off time for transactions settling on the same day is 13:00 CET/CEST.

Fails mitigation lending

The ECB also participates in Euroclear Bank SA/NV’s Securities Lending and Borrowing Programme (SLB) for the purpose of mitigating fails. The terms and conditions of this programme are the standard ones defined by Euroclear. Please contact Euroclear Bank SA/NV for further information.

Point of contact

For further information contact ECB_PSPP_securities_lending@ecb.int