European Union Allowances (EUA) as margin credits
Subject to approval and configuration by the respective Clearing Member, EUAs can be used as margin credits to offset margin requirements for Initial Margin Spot Market (IMSM) and/or Initial Margin Derivatives (SPAN). For Initial Margin Derivatives (SPAN) a margin credit is only calculated for the equivalent credit value of a net short position in EUA Futures. Furthermore, the credit value from EUAs is capped at 20% of the total margin requirement of a trading participant or to a EUR value as defined by the Clearing Member.
ECC will value the provided EUAs as margin credits by using the current market value and applying an appropriate haircut of currently 35% to establish the eligible margin credit value.
The current haircut for EUAs can be found here.
For more information go to Collateral Management