Collateral

The spot and futures market collateral requirement calculated by ECC can be met in settlement currency bank money only towards KELER CCP, KELER CCP transfers it to ECC. KELER CCP reserves the right to collect collateral from the Non-clearing Member in addition to the collateral requirement determined by ECC, such additional collateral can be provided in the eligible assets stated in the valid Conditions of acceptance of securities and currencies collateral.

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 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.

KELER CCP caps the total value of the accepted collateral assets with the application of concentration limits in line with EMIR. The collateral requirement in addition to the requirement of ECC can be met in the eligible assets stated in the valid Conditions of acceptance of securities and currencies collateral.

Related link:
Conditions of acceptance of securities and currencies collateral