Collateral

At the appropriate segregation levels KELER CCP determines the individual collateral requirement to be met. Regarding the multinet markets all individual collateral elements can be provided in the eligible collaterals stated in the Conditions of acceptance of securities and currencies collateral. The contribution to the default fund (TEA), is at Clearing Member level and can be provided in bank money only.

In line with the legal requirements KELER CCP accepts only highly liquid instruments 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 with the consideration of the credit rating of the issuer, based on the calculation of VaR risk measure. 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 assets 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 multinet markets, as only financial counterparties are entitled to trade on such markets, KELER CCP does not accept bank guarantee as collateral. KELER CCP caps the total value of the collaterals accepted with the application of concentration limits in line with EMIR. The list of eligible instruments, related haircut values and the concentration limits are stated in the Conditions of acceptance of securities and currencies collateral.

Related links:
Conditions of acceptance of securities and currencies collateral