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. The calculation methodology and parameters used in calculation are published on the website of KELER CCP.
Balancing Clearing Turnover Margin Calculation
At the calculation Balancing Clearing turnover margin besides balancing buy side positions CEEGEX and Trading Platform sell side positions are also taken into account provided that the Clearing Member is a member on these markets as well. Thus final Balancing Market turnover margin comprises of the sum of the followings:
- Balancing Market percentage parameter (buffered or not based on stress indicator) multiplied with the sum of financial obligations (buy) on Balancing Market for the previous 365 calendar days.
- CEEGEX/Trading Platform parameter (buffered or not based on stress indicator) multiplied with the sum of:
- Maximum of the highest CEEGEX net sell position for 63 settlement days and the average CEEGEX net sell position for 250 settlement days.
- Maximum of the highest TP net sell position for 63 settlement days and the average TP net sell position for 250 settlement days.
Buy side Balancing Clearing positions and sell side Trading Platform and CEEGEX positons are calculated with actual VAT added gross value. In case of foreign Clearing Members the applied value of VAT is 0%, meaning the gross and net value of the position is the same.
Frequency of Balancing Clearing turnover margin calculation: Daily
Minimum turnover margin for Balancing Clearing Members: 50.000 EUR.
Trading Platform Turnover Margin Calculation
- There is no algorithm based turnover margin requirement calculation by KELER CCP for Trading Platform market. Clearing Members can voluntarily define the amount of turnover margin necessary for their trading limits.
- Clearing Members can define the necessary amount of collaterals (EUR) as turnover margin based on their planned exposures and trading limits.
- If Clearing Members do not generate any financial obligations, the placement of turnover margin is not necessary, meaning the required minimum amount of turnover margin is 0 EUR for Trading Platform Clearing Members.
Related link:
Announcement on Trading Platform and Balancing Market Guarantee System