TASECH Risk Fund
The TASE Clearing House ("TASECH") serves as a Central Counter Party (CCP) and it guarantees the clearing of all transactions executed on the TASE, and in MTS, as well as for "custodian" transactions (TASE), inventory and currency if one of the parties does not fulfill its obligation of the transaction.
TASECH has established a Risk Fund in order to fulfill its obligations as a Central Counterparty (CCP). TASECH members participate in the fund according to their relative share in trading activity.
As a part of the TASECH members' obligations, the members deposit assets as a guarantee in the TASECH risk fund
The assets that can be used as collateral are cash, government bonds and / or short-term loans, the collaterals deposited by the member must include at least 25% of the assets in cash. The share of each member is calculated according to the bylaws
The risk fund is updated four times a year and each member's part is updated accordingly.
Risk Fund Size Calculation
The size of the risk fund is based on the financial obligations of TASECH members in the first multilateral clearing window, and reflects the largest financial obligations of a TASECH member or related clearing house members (a banking group, a member being led to a monetary clearing) in a period of 5.35 years and at a significance level of not less than 99%.
To the largest financial obligations that been found will added an additional cost expected to be incurred by the TASECH when handling the inventory of the failed TASECH member and the TASECH's own means will be deducted.
Risk Fund Update Dates
The size of the risk fund is updated four times a year, at the end of each quarter (January 15th, April 15th, July 15th, October 15th). The update is performed according to the members' obligations in respect of transactions and activities to which the TASECH serves as CCP in the last 5.35 years, which ended in that quarter.
As of 22.3.20, the size of the Risk Fund is 1,195,865,917 NIS.
The risk fund is backed by cash (at least 25% of its size) and government bonds deposited by members of the TASECH.
Safety factors for Israeli government bonds/ short-term loans
The safety factor applied for an Israeli government bond / short-term loan (MAKAM) (hereinafter: "bond") is used to adjust the market value of the bond to its value for collateral purposes, taking into account relevant risks.
The safety factors are calculated by the Risk Management Department.
To the safety factors operated by TASECH >
More about TASECH