Risk Management for Balancing Market
EnExClear, sets up and manages the Default Fund for reasons of risk coverage with respect to the clearing activities that carries out on the Balancing Market of the HETS Operator.
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 covering the risk in clearing of Positions on the Balancing Market of the HETS Operator.
Clearing Members must pay an initial contribution to the Default Fund 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 is calculated on a quarterly basis and the calculation is performed on the first three (3) working days of each current calculation period.
EnExClear, in the context of its operation as a Clearing House on the Balancing Market of the HETS Operator, in order to manage the risk that arises from the cash settlement of the positions, of the Balancing Market, requires from the Clearing Members the payment of a Margin.
The Margin Requirement is calculated per Clearing Account during the clearing day and after the finalization of positions in order to check the Collaterals’ adequacy verification of the respective Account and is based on the calculation of the loss that will be caused by non-fulfillment of the obligations of the Clearing Member with respect to the Clearing Account for a time period of 2 weeks.
Learn more about the calculation of Margin Requirement can be found in Decision 9 of EnExClear.
For the coverage of Margin requirements by the Clearing Members on the Balancing Market of the HETS Operator, EnExClear accepts as Collaterals:
a) Cash in Euro and
b) Letters of Guarantee
The Collaterals deposited by the Clearing Members to 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 Clearing Members by one issuer is set at € 20,000,000 for all Clearing Accounts.
If a Clearing Member fails to fulfil its obligations of clearing and cash Settlement of its Positions, on the Balancing Market of the HETS Operator, as these arise per Clearing Account, it shall be deemed default.
A Clearing Member shall be deemed default in cases that include but are not limited to the following:
1. When the available cash balance in the Cash Settlement Account of the Clearing Member, 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 Positions.
The sequence of actions in which EnExClear uses the available collaterals to cover the Default Clearing Member is presented below:
Especially for Supplementary Clearing for a defaulting Member:
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.
• Pre-funded Financial Resources.
• Clearing Members’ Deposited collaterals in the form of cash.
• Cash related to the cash settlement of the Positions on the Balancing Market.
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 of the Positions on the Balancing Market, 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.
EnEx Clearing House S.A.
E-mail : EnExClearTeam@enexgroup.gr
Tel : (+30) 210 33 66 952
Fax : (+30) 210 33 66 951