CCP.A calculates and collects margins to cover its credit exposures from its Clearing Members. In case of a clearing member’s default on payment, CCP.A, as a central counterparty to each trade has the obligation to pay the corresponding settlement amount to the clearing member(s) delivering the respective amounts of electricity to the defaulting buyer.
The margin requirements are calculated twice per day after each auction. Netting is done per delivery day across the auctions and all electricity spot market products. If the clearing member holds segregated clearing accounts for proprietary and client positions, the netting and the margin calculation are performed separately for proprietary and client account categories.
The margin calculation is based on:
- Net payment obligation mean value
- Trading volume fluctuation
Important parameters are:
- Confidence level: 99%
- Look back period for margin calculation: 365 days
- Anti-procyclicality margin buffer: 25%
- Credit rating risk premium (0% - 10%)
- Time horizon for calculation: 3 days + holiday adjustment
The calculation methodology and the risk parameters are specified in detail in the document Margin Calculation Methodology Electricity Spot Market.