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Risk Management for Day Ahead and Intraday Markets

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Default Fund

EnExClear, sets up and manages the Default Fund for reasons of risk coverage with respect to the clearing activities that carries out in the Electricity Markets of the HEnEx, sets up and manages a Default Fund.

The participation of each Clearing Member in the Default Fund is determined by its share account.

Each Clearing Member keeps only one share account in the Default Fund. This account is opened upon acquisition of the capacity of Clearing Member for the purpose of Clearing in the Electricity Markets of the HEnEx.

Clearing Members must make an initial contribution to the Default Fund in order to acquire the relevant capacity.

The amount of the initial contribution of the Direct Clearing Members is set at thirty thousand euros (€ 30,000), and of the General Clearing Members at five hundred thousand euros (€ 500,000).

The amount of the Default Fund Capital is calculated on a monthly basis and the calculation is performed in the first three (3) working days of the following month from the reference month.


Margining

EnExClear, in the context of its operation as a Clearing House in the Electricity Markets of the HEnEx, in order to manage the risk of counterparty arising from the concluded transactions, requires from the Clearing Members the payment of a Margin Requirement.

The Margin Requirement is calculated per Clearing Account (Participant) during the clearing day and after the finalization of positions in order to check the Collaterals’ adequacy verification of the respective Account and the Credit Limit’s attribution.

The calculation of Margin is carried out, based on the net position (obligation/claim) of the Clearing Account, arising from the finalized transactions, which have been notified to the Clearing System during the clearing day. Specifically:

  1. If an obligation arises for the Clearing Member to pay a cash amount, which has not been settled yet, this amount is set as margin.
  2. If a claim arises for the Clearing Member to receive a cash amount, then the margin equals to this amount but with negative sign and shall be deemed as available cover, which may be used as Credit Limit of the Clearing Account until the previous working day of the credit payment.

Collateral Management

For the coverage of Margin requirements by the Clearing Members of the Electricity Markets of the HEnEx, EnExClear accepts as Collaterals:

  1. Cash in Euro,
  2. Letters of Guarantee

The Collaterals deposited by the Clearing Members in EnExClear in the form of cash in euros are valuated at 100%.

The percentage of required Margin per Clearing Account which should be covered in cash on a daily basis is set at 40%.

The maximum concentration limit of collaterals in the form of Letters of Guarantee for all the Clearing Members by one issuer is set at € 20,000,000 for all Clearing Accounts.


Credit Limits

During each Trading Day of the Electricity Markets of HEnEx, a real-time calculation is performed of the risk a Clearing Member may assume per each of its Clearing Accounts on that Trading Day (intraday risk). The aforesaid risk is calculated:

a) in respect of Direct Clearing Members, per Own Clearing Account of the Direct Clearing Member, and relates to the entry of orders by the latter as a Participant in Electricity Markets and the performance of relevant Transactions that are cleared through the respective Own Clearing Account, and

b) in respect of General Clearing Members, per Participant Clearing Account held by the General Clearing Member for each Participant with which it is contracted, and relates to the entry of orders by the Participant in Electricity Markets and the performance of relevant Transactions that are cleared through the respective Participant Clearing Account.

For the purposes of calculating the Intraday Risk, the following are taken into consideration:

a) the Transactions concluded that day per Participant in Electricity Markets and per relevant Clearing Account, and

b) the unfilled orders for the conclusion of Transactions per Participant in Electricity Markets and per relevant Clearing Account.

The Intraday Risk (Rintraday) is calculated as the sum of the Risk arising from active orders (Rorders) and the Risk from the transactions already concluded (Rtrades),

 

                                                 R_intraday=R_orders+R_trades

 

During the Trading Session, the Intraday Risk is progressively automatically subtracted in the Clearing System (EMCS) from the Credit Limit of each Clearing Account based on the unfilled validated orders entered by the Participant in the ETS and the Transactions concluded by the latter and not registered in the Clearing System and Credit Limit is correspondingly added on the basis of the available cover of the Clearing Account.


Default Management

If a Clearing Member fails to fulfil its obligations concerning the Clearing and Settlement of Transactions, in the Electricity Markets of HEnEx, as these arise per each of its Clearing Accounts, such Clearing Member shall be deemed in default.

A Clearing Member shall be deemed in default in cases that include but are not limited to the following:

  1. When in the Cash Settlement Account of the Clearing Member, the available cash balance is not sufficient to cover all cash obligations of the Clearing Member,
  2. When the Clearing Member does not provide the required collateral in favour of EnExClear or the contribution in favour of the Default Fund,
  3. In cases of Clearing Member’s insolvency that may occur regardless of whether the Clearing Member has failed to fulfil its obligations to EnExClear concerning the Clearing and Settlement of Transactions.

The sequence of actions in which EnExClear uses the available collaterals to cover the overpayment Default Fund of the Clearing Member is presented below:

 


Investment Policy

EnExClear manages funds that fall into the following categories:

  • Dedicated Own Resources of EnExClear, which are set at 25% of EnExClear's share capital.
  • Resources of Default Fund.
  • Clearing Members’ Deposited collaterals in the form of cash.
  • Cash related to the cash settlement for the Electricity Markets of HEnEx.

EnExClear places all the above resources, only in cash in euro and exclusively at the Central Bank of Greece.

In the placement of the above available funds, security is paramount, and therefore the placements are made in the Central Bank of Greece, even if they have zero or negative return. Any proceeds and expenses related to the management of Default Fund’s resources, collaterals in cash, as well as cash that concerns the cash settlement for the Electricity Markets of HEnEx, are allocated to each Clearing Member accordingly.

In addition to the above, EnExClear may have funds in commercial banks intended for:

  • Covering the obligations of cross-border transactions (Market Coupling).
  • Fulfilling the obligations during the procedure of managing Default Member.

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EnEx Clearing House S.A.

E-mail : EnExClearTeam@enexgroup.gr
Tel : (+30) 210 33 66 952
Fax : (+30) 210 33 66 951