At the appropriate segregation levels KELER CCP determines the individual collateral requirement to be met. On the CEEGEX spot and HUDEX derivative gas market all individual collateral elements can be provided in the eligible collateral assets stated in the Conditions of acceptance of securities, except for the variation margin.
The collective guarantee fund, i.e. the CEEGEX/HUDEX gas KGA contribution, is determined on Clearing Member level and can only be provided in cash (EUR).
In line with the legal requirements KELER CCP accepts only highly liquid assets as collateral, the value of which is taken into account after the deduction of the appropriate haircut. Haircuts are determined in line with the regulations, depending on the liquidity of the instrument and in the case of securities after consideration of the credit rating of the issuer, based on the calculation of the VaR. The haircut calculated based on the risk measure is to cover a price change of at least 2 days, with a confidence level of 99.9% that is increased with at least the amount of the procyclicality buffer.
Collateral instruments are marked to market daily. If justified intraday mark-to-market can be ordered, the conditions of acceptance or the haircuts can also be modified.
The list of acceptable collateral instruments, their haircut value and the concentration limits can be found in the List of admission conditions for securities and foreign exchange. Link:
Related link:
Conditions of acceptance of securities and currencies collateral