KELER CCP operates a guarantee system to make sure that in case of default by Clearing Members the securities and/or cash obligations are met towards the non-defaulting counterparty. The guarantee system consists of individual and collective guarantee elements as follows:
BSE DERIVATIVE MARKETS
| Type |
Name |
Objective |
Eligible instrumentum |
| Individual guarantee elements |
Basic Financial Collateral |
The Basic Financial Collateral is to be provided upon entry into the BSE derivative market sections, on one occasion. The objective is to cover individual exposures arising from same day trading. Its amount is fixed for the given derivative sections, and is published by KELER CCP in the applicable announcement.
The amount of the Basic Financial Collateral can be supplemented with the liquidity FX deposit (LIDÓ) by markets if it is justified by the risk of products cleared in foreign currencies on the derivative markets cleared. The amount of LIDÓ is published in the applicable announcement jointly with the amount of the Basic Financial Collateral.
|
In line with the provisions of the Conditions of acceptance of securities and currencies collateral. |
| Initial margin |
The amount of initial margin is determined by products and is published by KELER CCP in the applicable announcement on its website. The objective is to cover the potential change in the product price of at least two days, with a confidence level of at least 99%.
|
In line with the provisions of the Conditions of acceptance of securities and currencies collateral. |
| Variation margin |
On the BSE derivative markets the variation margin is the change in value of the open position of the market participant in a given instrument, it can be profit or loss for the Clearing Member. Its value is calculated daily. On T day it is the difference of the trade price and the same day closing price, on the following days it is the difference of the closing prices of the previous clearing day and the actual clearing day. KELER CCP collects the variation margin thus calculated from the participant making a loss on the open position and credits it to the participant making a profit on its position. The amount of variation margin is 0 at both product and market level. The premium payable by the option holder is settled during the settlement of variation margin.
|
Bank money only |
| Additional Financial Collateral |
It is to manage Clearing Member individual risks, to sanction the violation of certain obligations, to supplement the clearing member minimum capital or to cover any (temporary or permanent) shortage of individual or collective guarantee elements.
|
In line with the provisions of the Conditions of acceptance of securities and currencies collateral. |
| Collective guarantee elements |
Default fund contribution |
The Clearing Members form a risk pool to contribute individually to the default fund of the BSE derivative market (KGA). The objective is to cover the basically stress risks that are uncovered by individual guarantee elements. Upon default, if the individual guarantee elements of the defaulting Clearing Member and its default fund contributions and the dedicated own resources of KELER CCP allocated to the BSE derivative markets are insufficient to cover the shortage, the default fund contributions of non-defaulting Clearing Members will be used also.
|
HUF bank money only |