Turnover 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 (turnover margin) and it’s key assumptions.

Trading Platform

Spot gas products are traded on the Trading Platform. On the Trading Platform, KELER CCP applies a position limit, which prevents uncovered exposures from occurring, the market operates in a 'prepaid' manner. As there is no uncovered exposure, there is no need for turnover margins on the TP market, as determined by the KELER CCP algorithm. Clearing Members can voluntarily determine the amount of turnover margin posted according to their desired trading limits. Clearing Members need to set collateral in the amount of their intended trading limit and exposure. If no financial liability is generated, no turnover margin is required, so there is no minimum turnover margin for TP Clearing Members.

In the Balancing Gas Market, balancing transactions are created on the basis of imbalance positions, for which no position limit can be applied and therefore the KELER CCP sets a turnover margin to cover the risks involved.

When determining the turnover margin of the Balancing Gas Market, in addition to the buy transactions on the Balancing Market, the sell transactions on the CEEGEX Central Eastern Europe Organised Natural Gas Market (hereinafter CEEGEX) and the Trading Platform shall be taken into account, provided that the Clearing Member is present on these markets. Therefore, the balancing turnover margin is the sum of the following two elements:

1. the Balancing Gas Market parameter multiplied by the sum of the Balancing Gas Market Financial Obligations (purchases) over 365 calendar days.

2. the CEEGEX/KP parameter multiplied by the sum of the following two:

- The greater of 63 settlement days maximum or 250 settlement days average net CEEGEX short position

- The greater of 63 settlement days maximum or 250 settlement days average net KP short position

The formula used to determine the turnover margin for the Balancing Gas Market is published in the applicable KELER CCP announcement.