Collateral Margins are fundamental elements of IRGiT’s clearing guarantee system. Clearing House Members  pledge collateral margins to hedge the risks associated with closing open positions of an insolvent Clearing House Member. Collateral margins required from Clearing House Members and from their clients are calculated daily at the end of each day.

The collateral margins may be covered with cash as well as with non-cash collateral. Detailed information regarding non-cash collateral has been described in non-cash collateral tab and in the Detailed clearing rules for the Clearing and Settlement House.

The collateral margin is a sum of the Initial Margin and the Variation Margin.


Initial Margin

Initial Margin aims to cover changes in the price in the event of default and therefore closing positions. It is calculated for compensated positions which are in delivery in a given period of time and based on following information:

  • Net position in MWh
  • current clearing price
  • risk parameters

The value of the required Initial Margin is always higher than 0.

Current and archival risk parameters are available in the Parameters tab.


Variation Margin

Variation Margin is responsible for reckoning the current market price. It is calculated based on the following information:

  • current clearing price
  • volume of buy transaction and weighted average transaction buy price
  • volume of sales transaction and weighted average transaction sales price

The Variation Margin can be either positive or negative depending on current market conditions.


Detailed information on the methodology for determining margins has been described in Detailed clearing rules for the Clearing and Settlement House.