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Collateralization

The COSI service enables the collateralization of certificates that are listed and traded on SIX Swiss Exchange.

More detailed information on how COSI works can be found in our Publications.

Based on the Framework Agreement, the collateral provider undertakes to grant a right of lien. The COSI and the collateral itself are valued on each banking day. The amount of collateralization depends on the current valuation of the COSI. The collateral provider is obliged to adjust the amount of collateralization in the event of any changes in market value.

The following companies calculate independent prices in connection with the COSI service:

The precise rules for determining the decisive current values are based on the "Special Conditions Governing Collateral-Secured Instruments[pdf]" of SIX Swiss Exchange.

Administration of the collateral is accomplished via the established technical infrastructure of SIX SIS (Collateralization). The rules and regulations of SIX Swiss Exchange and SIX SIS pertaining to the collateralization of certificates can be found under Participation Conditions.

Securities

Securities from the following categories are acceptable for the collateralization of certificates:

  • securities accepted by the Swiss National Bank in conjunction with repo transactions;
  • selected securities accepted by the European Central Bank;
  • SIX Delta1 eligible collateral;
  • shares included in recognized stock indices, whereas the acceptance criteria require that the shares have sufficient market liquidity.

1 Rule-based category of collateral of SIX, with sole application of the admission criteria valid until the end of 2014 according to the "Instruction sheet on Collateral eligble for SNB repos", excluding collateral already being accepted by the SNB or the ECB.

Collateralizable Certificates

The application for collateralization is submitted via CONNEXOR in conjunction with the request for a COSI to be admitted for trading.

A prerequisite for collateralization is the availability of relevant prices for valuation purposes.

Two categories of certificates may be collateralized:

  • Certificates for which a fair market price ("fair value") can be obtained from an independent third party on a daily basis.
  • All other certificates that come with capital protection (classified as capital protection products by the
    Swiss Association for Structured Products).


An updated list of all collateralizable product structures is available here[xls].

COSI can be traded in more than 20 currencies. The term of the certificates may not exceed ten years.