Initial margin

KELER CCP according to the European Parliament and the Council (EU) 2019/834 regulation (EMIR REFIT) article 1. point 10 paragraph (7) publishes the design of it’s initial margin model and it’s key assumptions.

Spot gas products are traded on the Trading Platform and on the Balancing Platform, the gas market turnover margin is to cover the risks arising from default on related financial liabilities. It is calculated once a month, the calculation methodology is published on the website of KELER CCP.

The bases of the turnover margin calculation are the look back period’s (12 gas months) traded Trading Platform market buy transactions and buy imbalance positions VAT added gross value, and also the net financial liability with VAT added gross value arising from the monthly correctional settlement

For Clearing Members there is a turnover margin determination even if they didn’t make buy transactions in the look back period. The value of the minimum required turnover margin is 10.000.000 HUF.

The turnover margin amount is also a limit for Clearing Members as they deposit various instruments as turnover margin in favour of KELER CCP, these are parts of the limit coverage checked by FGSZ and the individual financial position limit checked by KELER CCP.

Related link:

Announcement on Trading Platform Guarantee System