The clearing members contribute individually to the default fund of the Balancing Clearing and Trading Platform (GCDF - TP Collective Default Fund) forming a risk pool. The collective guarantee element is designed to cover the essential stress risks not covered by individual collateral. In the event of default, if the individual collaterals and the default fund contribution of the defaulting clearing member and KELER CCP’s skin in the game allocated to the Balancing Clearing and Trading Platform do not provide sufficient coverage to cover the shortfall, the default fund contribution of the non-defaulting clearing members will also be used. For more information on the order of use of the individual and collective guarantee elements, please see the ’Default Waterfall’ section.
The contributions to the default fund are determined and collected monthly, however, in case of insufficient size of the default fund, KELER CCP can order extraordinary recalculation, anytime during the month. In line with the requirements of EMIR the default fund has to cover the largest uncovered exposures or the second and third largest uncovered exposures, if the sum of the latter is larger (Max(1,2+3)) stemming from the daily stress test. KELER CCP monitors the sufficiency of the default fund. If the size of the default fund is inadequate, KELER CCP either imposes additional financial collateral or decrees an extraordinary recalculation of default fund.
The parameters of default fund determination methodology are published in the applicable announcement, the methodology is described in detail in the methodology document published.
Related links:
Requirements of Default funds
Methodology