Collateral

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 HUDEX gas derivative market variation margin and contribution to the default fund (CEEGEX / HUDEX/Gas Collective Guarantee Fund), 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.

Related link:
Conditions of acceptance of securities and currencies collateral