Margins

Margins are a fundamental element of the clearing guarantee system in IRGiT. Market participants lodge margins to hedge the risks associated with closing open positions of an  insolvent Clearing Member. Margins are calculated daily for transactions made on the Commodity Forward Market.

The Margin is the sum of the Initial Margin as well as the Variation Margin. Margins are calculated with a compensation between the Initial Margin and the Variation Margin.

 

Initial Margin

The task of the Initial Margin is to cover changes in the price. It is calculated for compensated positions which are in delivery in a given period of time, according to the following information:

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

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

The IRGiT Management Board is entitled to assign – through relevant resolution – to the Clearing Members of the House as well as to specified clients of the Clearing Members of the House distinctive factors adjusting the initial margin for electricity, Gas or Property Rights under Certificates of Origin in consideration of the risk generated by those Clearing Members of the House or their clients.

 

Variation Margin

The Variation Margin is responsible for reckoning the current market price. It is calculated according to 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 depending on market conditions can have a positive or negative value.

Detailed information on the methodology for determining margins have been described in Detailed clearing rules for the markets operated by TGE S.A.