Collateral

At the appropriate segregation levels KELER CCP determines the individual collateral requirement to be met. On the CEEGEX spot and derivative market all individual collateral elements can be provided in the eligible collateral assets stated in the Conditions of acceptance of securities and bank guarantee collateral, except for the variation margin. The CEEGEX derivative market variation margin and contribution to the default fund (TEA), are at Clearing Member level and can be met in bank money only.

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.

On the CEEGEX markets KELER CCP also accepts bank guarantee as collateral from non-financial counterparties. It caps the total value of the individual instruments accepted and the total value of bank guarantees also as it applies concentration limits in line with EMIR. The bank guarantee statement of acceptance and the list of eligible assets with the related haircut value, the concentration limits can be found in the Conditions of acceptance of securities and currencies collateral.

Related links:
Conditions of acceptance of securities and currencies collateral
Conditions of acceptance of bank guarantee