Dear All,
Please be informed that on 1 March 2024, Izba Rozliczeniowa Giełd Towarowych S.A. (“IRGiT”) will launch the cross-period netting model for initial margins on the Electricity Forward Market (BASE, PEAK5, OFFPEAK) and the Gas Forward Market (GAS_BASE).
The provisions of the Detailed Clearing and Settlement Rules of the Exchange Clearing House (“Detailed Clearing and Settlement Rules”) will be amended accordingly; in particular:
- the cross-period netting component for initial margins will be incorporated in §17 and §18 of the Detailed Clearing and Settlement Rules,
- § 17b and § 17c containing algorithms for calculating cross-period netting components on the Electricity Forward Market and the Gas Forward Market will be added to the Detailed Clearing and Settlement Rules.
According to the new algorithms, cross-period netting of initial margins applies to opposite net positions with the same delivery profile of BASE, PEAK5, OFFPEAK products on the Electricity Forward Market and GAS_BASE products on the Gas Forward Market registered for different delivery dates.
The reduction in initial margins resulting from the application of cross-period netting will reflect the reduced cost of closing the positions portfolio as compared to the sum of the costs of closing the positions independently for the respective delivery periods.
Cross-period netting of initial margins will apply both at the level of a Clearing House Member and at the level of a Power Group. Given the above, cross-product netting, cross-period netting and netting within a Power Group will apply at the same time.
Information on the value of cross-period netting will be available in the clearing system in the “Initial Margin – Position Netting offsets” report.
The implementation of cross-period netting concludes the implementation stage of a comprehensive netting model, in which cross-product netting of initial margin on the Electricity Forward Market has already been implemented.
Additionally, the new version of the Detailed Clearing and Settlement Rules includes:
- more detailed provisions regarding the division of non-cash collateral between entities comprising a Power Group, which, among other things, will allow bank guarantees designated as collateral for the Guarantee Fund to be divided,
- a change of the hour from 3:00 p.m. to 2:30 p.m. for notifying IRGiT about the change of the type of activity for which non-cash collateral is provided (i.e. activity on one’s own account, activity on the clients’ account, activity as a representative of an Exchange Member) by a Clearing House Member acting on its own account and at the same time on the clients’ account or as a representative of an Exchange Member,
The cross-period netting model will be launched on 1 March 2024 and the new version of the Detailed Clearing and Settlement Rules will come into effect on the same date.
Link to the new version of the Detailed Clearing and Settlement Rules.
Detailed description of algorithms, with examples
If you have any questions, please contact IRGiT’s Risk Management Department (e-mail: @email, phone no. +48 22 341 98 20).