Romanian Clearing House (RO)

Romania 

Established: 1998

Type: Central Counterparty (CCP)

CONTRACTS: As part of its Central Counterparty (CCP) service, RCH provides registration, settlement and guarantee for all products traded on derivatives markets of the SIBEX, Sibiu based derivatives exchange. RCH has a share capital of 5,8 mil lei (about 1,5 mil EUR) shared among 70 shareholders (42 capital market intermediaries, which are also clearing membres, 2 banks, SIBEX and Bucharest Stock Exchange)

ACCESS TO FUTURES MARKETS: At present SIBEX is the only futures market cleared and settled by RCH.
RCH uses for clearing and settlement an in-house developed software solution, which is integrated with the trading platform and called alltogether ELTRANS. ELTRANS provides real time clearing and settlement, real time marking to market and futures and options risk evaluation. All clearing reports are available also on real time basis.

INITIAL MARGIN: Initial margin is calculated based on last year prices and volatility of the underlying products. As a general rule, margins for single stock futures are set to a minimum of 10% of the value of underlying shares. At this time, the margins are set as follows:

Contract	Margin per share	Underlying price	% of underlying price
DEATB	0.2500	1.7200	14.53
DEAZO	0.0400	0.1710	23.39
DEBCC	0.0600	0.3650	16.44
DEBIO	0.1000	0.4590	21.79
DEBRD	3.3000	20.0000	16.50
DEBRK	0.3600	2.0600	17.48
DECMP	0.2500	1.3400	18.66
DEIMP	0.0800	0.3400	23.53
DEOLT	0.2000	1.0000	20.00
DERRC	0.0280	0.0864	32.41
DESIF1	0.4500	2.7200	16.54
DESIF2	0.4000	2.7200	14.71
DESIF3	0.3000	1.7900	16.76
DESIF4	0.3000	1.8500	16.22
DESIF5	0.5000	3.5300	14.16
DESNP	0.0700	0.4100	17.07
DETLV	0.1100	0.7250	15.17
DETBM	0.0800	0.5850	13.68
DEIPRU	3.5000	6.3500	55.12
DEARCV	0.7000	1.2100	57.85
DEALBZ	0.3000	0.4700	63.83
DEARAX	0.1600	0.2450	65.31
DEDAFR	0.2000	0.3360	59.52
DECOMI	0.6000	1.0700	56.07
DEOIL	0.3500	0.7400	47.30
DETEL	5.0000	32.0000	15.63
SIBGOLD	80.0000	892.0000	8.97

For higher volatility shares the margin goes up to 70%, mainly for RASDAQ traded shares.

MARGIN FUNDING: Collective guarantee funds are established for the mutual guarantee among members. Fund contributions are held separately from margin accounts and may be used either as a mutual fund to meet any losses arising from a clearing member’s insolvency or delay, or as the second level of funds available to meet any deficiencies arising in the event of a clearing member’s default. There are minimum fund contributions which have to be deposited in cash, but other securities will be accepted very soon.