- As of 1 March of this year, IRGiT S.A. is taking another step towards the optimization of collateral for the markets operated by the Polish Power Exchange.
- IRGiT has implemented a new netting model for initial margin, i.e. cross-period netting.
- The implementation of the cross-period netting model is another strategic step for the POLPX Group in building a more efficient and competitive energy and gas market.
“It has been IRGiT’s priority for many years to optimize its offer in terms of collateral. The implementation of the cross-period netting model is the last step of the originally outlined netting package. The implementation of all three netting methods has resulted in significant savings for market participants; in particular, netting contributed to reducing the risk of loss of liquidity for market participants during the extreme market conditions in 2022. However, this does not mean that our work is finished. In the coming period, we will continue to work on new solutions to best meet the challenges of the dynamically changing energy and gas market in Poland,” said Łukasz Goliszewski, President of the Management Board of IRGiT.
IRGiT plays a key role in ensuring the stability and security of the wholesale market for electricity and gas in Poland. Following the introduction of netting for power groups and cross-product netting, the final element, cross-period netting, was implemented on 1 March 2024. All netting models are designed to optimize the level of collateral provided by market participants while maintaining a high level of security. The concept behind cross-period netting is that margin is reduced if a market participant holds opposite positions for two different delivery periods in the electricity or gas forward markets, for which price movements are historically correlated (e.g., a purchase of electricity with delivery in June and a simultaneous sale of electricity with delivery in July).
“The introduction of the cross-period netting model on 1 March of this year is another step in the development of IRGiT’s offering. The new form of cross-period netting, combined with the previously implemented solutions, will allow for more effective risk management and lower margin requirements for market participants, which should improve the liquidity and attractiveness of the POLPX Group's offering,” says Tomasz Wieczorek, head of the Risk Management Department at IRGiT.
The new version of the “Exchange Clearing House Detailed Clearing and Settlement Rules” came into effect on 1 March 2024. It contains amendments to the provisions governing the method of calculation of initial margin for the electricity forward market taking into account the cross-period netting component.