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Risk Management on HEnEx’s Natural Gas Trading Platform

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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 on the HEnEx’s Natural Gas Trading Platform, sets up and manages a Default Fund.

The participation of each Clearing Member in the Default Fund is determined by its share account. This account is opened upon acquisition of the capacity of Clearing Member for the purpose of Clearing on the Natural Gas Trading Platform of HEnEx.

Each Clearing Member keeps only one share account in the Default Fund.

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 fifteen thousand euros (€ 15,000), and of the General Clearing Members at two hundred and fifty thousand euros (€ 250,000).

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 on the Natural Gas Trading Platform of 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 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.

Learn more about the calculation of Margin Requirement can be found in Decision 18 of EnExClear.


Collateral Management

 

For the coverage of Margin requirements by the Clearing Members of the HEnEx’s Natural Gas Trading Platform, EnExClear accepts as Collaterals:

  a) Cash in Euro,

  b) 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 session of the Trading Platform, EnExClear performs a real-time calculation of the risk a Clearing Member may assume per each of its Clearing Accounts (Intraday Risk). The aforesaid risk is calculated:

   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 Trading Platform Participant and the performance of relevant Transactions that are cleared through the respective Own Clearing Account, and

   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 Trading Platform Participant 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:

    the Transactions concluded per Trading Platform Participant and per relevant Clearing Account which have not been communicated to EnExClear for clearing, and

   the unfilled orders for the conclusion of Transactions per Trading Platform Participant and per relevant Clearing Account.

The Intraday Risk (R_intraday) is calculated as the sum of the Risk arising from active orders (R_orders) and the Risk from the transactions already concluded (R_trades),

 

                                                                                              R_intraday = R_orders + R_trades

 

During the course of the session, the Intraday Risk already assumed on the basis of unfilled orders entered in the Trading System by the Participant and the Transactions it has concluded is progressively subtracted by EnExClear from the Credit Limit of each Clearing Account and Participant Clearing Account, 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, on the Natural Gas Trading Platform 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:

   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,

   When the Clearing Member does not provide the required collateral in favour of EnExClear or the contribution in favour of the Default Fund,

   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.

 

 


 

Investment Policy

 

EnExClear manages funds that fall into the following categories:

   Dedicated Own Resources of EnExClear, which are set at 5% of EnExClear's share capital

   Resources of Default Fund

   Clearing Members’ Deposited collaterals in the form of cash.

   Cash related to the cash settlement of the Transactions on the Natural Gas Trading Platform 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 of Transactions on the Natural Gas Trading Platform of HEnEx, are allocated to each Clearing Member accordingly.

In addition to the above, EnExClear may have funds in commercial banks intended for fulfilling the obligations during the procedure of managing Default Member.

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EnEx Clearing House Single Member S.A.

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