Elements of the guarantee system

KELER CCP operates a guarantee system to manage the risks arising from default by Non-clearing Members. The guarantee system consists of individual and collective collateral elements as follows:

ENERGY MARKETS
Type Name Objective Eligible instruments
Individal guarantee elements Basic Financial Collateral The instruments blocked as Basic Financial Collateral are to be deposited upon entry into the given market. The objective is to cover individual exposures arising from same day trading. Its amount depends on the number of markets the Non-clearing Member enters, in case of entry into several markets the collateral requirement can be less. KELER CCP publishes the amount and calculation method of the Basic Financial Collateral in the applicable announcement. In EUR Only
Spot market turnover margin On the spot markets cleared by ECC turnover margin is required to cover the risks arising upon default on financial obligations due to buy positions. Its amount is calculated daily.KELER CCP can apply an internal risk multiplier to increase the margin amount, it is published in the applicable announcement. In EUR only.
The value multiplied with the CCP multiplier in line with the valid Conditions of acceptance of securities and currencies collateral.
Future market initial margin The initial margin parameter is determined at the level of instrument and is published by the ECC on its website. 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%. Its value is calculated daily.KELER CCP can apply an internal risk multiplier to increase the collateral amount, it is published in the applicable announcement. In EUR only.
The value multiplied with the CCP multiplier in line with the valid Conditions of acceptance of securities and currencies collateral.
Variation margin On the markets cleared by ECC 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 Non-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 clearing day and the actual clearing day. In EUR only
Margin on products in delivery For the futures contracts that will be physically delivered after expiry margin requirement is determined during the period of delivery also, its objective is to cover during the period of delivery also the risks that may arise from any default on purchase price. In EUR only
Additional Financial Collateral It is to manage Non-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.