As of 14 February 2023, the trading limit systems M7 and ETS will use an updated price independent delivery risk parameter for the EPEX UK spot market. The updated parameter will also be considered in the DCP limit calculation.
The new parameters applicable will be:
| Parameter | Current | New |
|---|---|---|
| UK Price Independent Delivery Risk Parameter in GBP for Continuous Trading in M7 (Sell only) | 245 | 255 |
| UK Price Independent Delivery Risk Parameter in GBP for Auction Trading in ETS (Sell only) | 408 | 435 |
| UK Price Independent Delivery Risk Parameter in GBP for DCP limit calculation (Sell only) | 408 | 435 |
All other trading limit configurations remain unchanged.
Adjustment Process
The new values for the price independent parameters applicable for all ELEXON sell trades and orders is applicable in M7 and ETS for trading on 14 February 2023 at 16:00 CET for the first time.
Information
UK Price Independent Delivery Risk Parameter is used as add-on applicable for sell orders and - trades to calculate the limit utilization during the limit period in both trading systems ETS and M7 for the clearing product groups EPEX_ST_POWER_ELEX, EPEX_IT%_POWER_ELEX for auction- and EPEX_IT_POWER_ELEX for continuous trading. The more conservative parameter leads to a higher utilization of the limit by constant trading quantity not considering any price changes. Details of the limit function and the maintenance process can be found in the Risk Management Service Manual on the ECC website.
Clearing Members are reminded to check whether defined Emergency Member Stop Limits and deposited collaterals are set sufficiently to cover a possible margin increase. Clearing Members and DCPs are asked to check whether defined trading limits and deposited collaterals for relevant auctions (EPEX_AUCTION_GBP) and continuous trading (EPEX_CONTINUOUS_GBP) are set sufficiently to cover a possible increase in limit utilization.
Contact
European Commodity Clearing AG
Clearing & Settlement
Phone: +49 341 24680-444
E-mail: clearing@ecc.de