COSI® - Collateral Secured Instruments

Overview of Admissible Collateral

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

securities accepted by the Swiss National Bank in conjunction with repo transactions (2% Haircut);
selected securities accepted by the European Central Bank (5% Haircut);
SIX Delta1 eligible collateral (5% Haircut); and
shares included in recognized stock indices, whereas the acceptance criteria require that the shares have sufficient market liquidity (10% Haircut).

1 Rule-based category of collateral of SSX, 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 being already accepted by the SNB or the ECB.

Depending on the type of collateral, certain collateralization margins may be applied (so-called "haircuts") which lead to an overcollateralization of the current value of the COSI®.

SIX Swiss Exchange selects the admissible forms of collateral from these categories on an ongoing basis.

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