Elements of the guarantee system

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:

CEEGEX SPOT MARKET
Type Name Objective Eligible instruments
Individual guarantee elements Basic Financial Collateral The Basic Financial Collateral is to be provided upon entry into the CEEGEX spot market, on one occasion. The objective is to cover exposures arising from trading. Its amount is fixed and is published by KELER CCP in the applicable announcement. In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Spot market margin On the CEEGEX spot market the spot market margin consists of the turnover part and the delivery part. Its objective is to ensure cover for the position limit and cover for the purchase price payment obligation arising from default on physical delivery. It is calculated and settled daily. In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Supplementary collateral Its objective is to supplement the clearing member minimum capital, cover any shortage (temporary or permanent). Supplementary collateral can be imposed in the following case:
  • If the minimum capital requirement determined by KELER CCP for Clearing Members is not met, the supplementary collateral amount equals the amount required to meet the minimum capital requirement.
In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Additional Financial Collateral It is to manage Clearing Member individual risks, to sanction the violation of certain obligations. In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Collective guarantee elements Collective guarantee fund contribution The CEEGEX spot market Clearing Members form a risk pool to individually contribute to the CEEGEX market default fund (CKGA) with the minimum contribution amount valid from time to time. EUR bank money only.

 

 

CEEGEX FUTURES MARKET
Type Name Objective Eligible instruments
Individual collateral elements Basic Financial Collateral The Basic Financial Collateral is to be provided upon entry into the CEEGEX futures market, on one occasion. The objective is to cover individual exposures arising from same day trading. Its amount is fixed and is published by KELER CCP in the applicable announcement. 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 product and is published on the website of KELER CCP. Its objective is to cover the potential change in the product price of at least 2 days, with a level of confidence of at least 99%. In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Variation margin On the CEEGEX futures market the variation margin is the change of value of the open position in the instrument given of the market participant, 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 settlement day and the actual settlement 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. EUR bank money only.
Supplementary collateral The objective is to supplement the clearing member minimum capital and cover any (temporary or permanent) shortage of individual and collective collateral elements. Supplementary collateral can be imposed in the following cases:
  • If the minimum capital requirement determined by KELER CCP for Clearing Members is not met, the supplementary collateral amount equals the amount required to meet the minimum capital requirement.
  • If the amount of the CEEGEX derivative market default fund (CKGA) is insufficient on any day to cover the risks arising from the stress tests calculated daily by KELER CCP, supplementary collateral is imposed up to the amount of the shortage on the Clearing Members due to which the shortage arises.
In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Additional Financial Collateral It is to manage Clearing Member individual risks, to sanction the violation of certain obligations. In line with the provisions of the Conditions of acceptance of securities and currencies collateral.
Collective guarantee elements Collective guarantee fund contribution It is to manage Clearing Member individual risks, to sanction the violation of certain obligations. EUR bank money only.