Default waterfall - KASE Clearing Centre

The Default Waterfall protection system ensures market stability even in the event of a participant's default

Losses are covered in stages: first, the participant's own funds are used, then the common clearing fund, and, if necessary, resources of the central counterparty. This allows for a gradual and fair distribution of losses, maintains the financial stability of the system, and guarantees the completion of all settlements without risk to other market participants.

The structure of protection levels used in KACC

Funds and/or securities that a clearing participant is required to deposit to the central counterparty's account to cover potential losses on open positions.

Initial margin
Variation margin

Individual collateral of a clearing participant on the stock and currency markets, determined by the Clearing Center using risk parameters for stress in order to cover the credit and market risks as well as systemic risk in transactions with financial instruments.

Individual rates of initial margin and stress concentration are established for financial instruments of the stock and currency markets.

Funds contributed by a clearing participant to the guarantee fund, which are used in case of default.

Stock market

Banks – 30 mln KZT
Brokers – 7,5 mln KZT

Currency market

Banks – 25 mlnн KZT
Brokers – 1 mln KZT

Derivatives market

3 mln KZT

The central counterparty's own funds intended to cover losses in case of default by one or more clearing participants.

Stock market – 2 208 mln KZT
Currency market – 1 500 mln KZT
Derivatives market – 170 mln KZT

A fund formed from contributions of all clearing participants, intended to cover losses in case of default by one or more participants, in cases where an unscrupulous participant's own funds and the CCP's reserve fund have already been exhausted.

Stock market – 720 mln KZT
Currency market – 634 mln KZT
Derivatives market – 54 mln KZT