KELER CCP according to the European Parliament and the Council (EU) 2019/834 regulation (EMIR REFIT) article 1. point 10 paragraph (7) publishes the design of it’s initial margin model (turnover margin) and it’s key assumptions.
Trading Platform
On the Trading Platform, KELER CCP applies a position limit, which prevents uncovered exposures from occurring, the market operates in a 'prepaid' manner. As there is no uncovered exposures, there is no need for turnover margin requirements to be determined. Clearing Members can voluntarily determine the amount of collateral posted according to their desired trading limits. Clearing Members need to set collateral in the amount of their intended trading limit and exposure. If no financial liability is generated, no turnover margin is required, so there is no minimum turnover margin for TP Clearing Members.
Balancing Clearing
In the calculation of the turnover margin on the Balancing gas market, KELER CCP takes into account the ENTRY and EXIT amounts determined by the transmission system operator for each gas day, which include both organized gas market positions and OTC positions. Furthermore, an important element of the model is the difference between the ENTRY and EXIT values, namely the imbalance position. When a system user's EXIT value is higher than the ENTRY, they may incur a payment obligation to the transmission system operator (except when using the LPFS service, but its effect is not considered in the model). The model takes into account these potential payment obligations over several days, depending on what the CCP would have had to or should have covered with collaterals in the event of a potential default.
The basis of the turnover margin is the turnover margin base, which is the maximum of three components: Expected Shortfall, Ratio Floor, and Fixed Floor. The turnover margin base is further buffered with the expert buffer and the procyclicality buffer. After rounding, the buffered turnover margin base determines the actual turnover margin requirement.
Clearing members acting as transmission system operators in the Hungarian gas market are subject to a unique margin requirement calculation. For those clearing members that qualify as transmission system operators but do not serve this role in the Hungarian gas market, the methodology detailed above applies.
The detailed methodology used to determine the turnover margin of the Balancing gas market and the value of certain parameters are published in the applicable KELER CCP announcement.