As of 27 October 2023, the calculation of the Additional Margin (AMBO) for physically settled monthly gas future contracts in delivery will be adjusted.
Currently, the AMBO is calculated using the equivalent SPAN Initial Margin requirement. This will be changed, calling only the relevant open financial settlement risk of the
remaining days and potential delivery risks.
The change will be active from 27 October 2023 impacting the margin call for the 30 October 2023. The calculation results can be found in the report CC750 Daily Margin in the margin class AMBO as usual without changes to margin classes or the margin call procedures.
Contact
European Commodity Clearing AG
Clearing & Settlement
Phone: +49 341 24680-444
E-mail: clearing@ecc.de