ECC Clearing Circular 11/

Transcription

1 ECC Clearing Circular 11/ News Introduction of PEGAS Belgian Gas products and extension to 24/7 Services for French PEGs Summary From July 9 th 2014 ECC will offer spot and futures clearing services in Belgian Natural Gas products to be launched on PEGAS the cooperation platform of EEX and Powernext. This contains spot and futures contracts on Belgian Zeebrugge Virtual Trading Point for high calorific gas, along with spot contracts for low calorific gas.furthermore, ECC clearing and settlement services will be extended to a 24/7 service on all Powernext spot contracts including the existing French PEGs and the new Belgian Natural Gas spot contracts. This Clearing Circular contains information regarding the product set-up, the settlement processes and the preconditions for participation. Physical Settlement Financial Settlement Risk Management Information Technology Contact Clearing & Settlement Phone: clearing@ecc.de

2 Belgian Gas Products Product setup futures contracts Physically settled ZTP Gas Futures traded at PEGAS will be set up as follows in the ECC clearing systems EUREX and SMSS: EUREX Product Code SMSS Product Code Name GBBM ZTP Gas Month Futures GBBQ GBBS ZTP Gas Quarter Futures ZTP Gas Season Futures PWX_FT_NATGAS_ZTP / PWX_FE_NATGAS_ZTP ZTP Gas Futures GBBY ZTP Gas Year Futures Product setup spot contracts Spot contracts on ZTP and ZTPL traded at PEGAS will be setup as follows in the ECC clearing system SMSS: ECC Product Group PWX_IT_NATGAS_ZTP PWX_IT_NATGAS_ZTPL PWX_ST_NATGAS_ZTP PWX_ST_NATGAS_ZTPL Name ZTP Natural Gas Within-Day Contracts ZTPL Natural Gas Within-Day Contracts (low-caloric) ZTP Natural Gas Spot Contracts ZTPL Natural Gas Spot Contracts (low-caloric) Product setup fee reimbursement spread contracts The fee reimbursements for trading Spreads on ZTP at PEGAS will be setup as follows in the ECC clearing system SMSS: ECC Product Group PWX_DS_NATGAS_ZTP PWX_DF_NATGAS_ZTP Name Discount Spot Market ZTP Discount Futures Market ZTP Settlement process Registration of Futures transactions for clearing Transactions in ZTP Gas Futures are imported after the conclusion of the trade at PEGAS into the EUREX clearing system. The transactions are contained in the EUREX streams and in the EUREX reports as usual. The respective ECC product groups will be used for invoicing and reporting in the ECC settlement system (SMSS). In addition, these transactions can be retrieved via the ECC Member Area after 9:30 (CET) on the next ECC business day. Page 2 5

3 Cascading, expiry and financial settlement A variation margin in EUR is calculated for open positions and transactions in ZTP Gas Futures on every ECC business day. The settlement prices are determined by Powernext in EUR and published within the EUREX system at approximately 19:00 (CET). Cascading of the products is effected in accordance with the known ECC standards. For example open positions in year futures are cascaded into three month futures for the delivery months from January through to March and into three quarter futures for the second through to the fourth quarter of the delivery year according to the Contract Detail File which will be available on the ECC website. After cascading, the contracts are fulfilled with the respective contract specifications. ZTP Gas Month Futures expire as stated in the Contract Detail File which will be available on the ECC website and are fulfilled physically in the respective transmission system during the delivery month (BoM processing). On every ECC business day, the contract volume is reduced by the delivery volume of the respective delivery period as specified in the PWX BoM Cascading File. The cascading file (YYYYMMDD_bom_cascading_file_PWX) will be made available on the ECCPUBLIC FTP server and in the download area of the ECC website. It will contain all the data regarding the reduction of the contract volume during the delivery month. The delivery volume is settled financially at the final settlement price via the EUREX system on every ECC business day. Payments will be reported within the EUREX Report CE120 available on the Common Report Engine. Spreads Spread transactions will be settled within the ECC standard processes as for other PEGAS spread contracts in their underlying legs. Due to the pricing on the OTC market Powernext and ECC will waive the fees for one leg. Those reimbursements will be disclosed separately with the product group in the table above in the course of the monthly accounting. The reimbursement on single trade basis can be retraced via the ECC Member Area. The corresponding transaction will be forwarded by Powernext to ECC at the end of each trading day. The External ID of those transactions consists of the transaction type DF or DS and the transaction number of the trade. Financial Settlement spot transactions All Within-Day and Day-Ahead transactions will be imported into the ECC settlement system using the existing ECC member ID (e.g. ABCEX). Just as other spot transactions on power, gas and emission allowances, the values of the transactions concluded are netted out into one net payment per trading participant and Clearing Member on every ECC business day, at the accounting cut-off at 16:00 (CET) (payment group EUR_1600). In this process, all new transactions which have been concluded since the last accounting cut-off will be considered, as is currently the case for other products. In general transactions concluded before the accounting cut-off are financially settled on the next ECC business day. Transactions which are concluded after the accounting cut-off are settled on the very next ECC business day. The exact delivery and payment date is provided in the ECC reports on spot market transactions. Detailed information on the format and set-up of the reports is provided in the Report Specification, which is available for downloading on ECC s website. Page 3 5

4 Physical settlement Physical Settlement of Natural Gas transactions will be provided by ECC s Luxembourg-based subsidiary - European Commodity Clearing Luxembourg S.à.r.l. The delivery instructions for Futures Positions are imported into the ECC settlement system - for the delivery period at the final settlement price. ECC transmits the settlement instructions regarding gas deliveries from exchange transactions in accordance with Fluxys on an hourly basis, nominated delivery positions are contained in the SMSS Delivery Report Summary. On Zeebrugge Trading Point (ZTP) the Single Side Nominations are done by ECC solely. Physical positions for Futures, Day-Ahead and Within- Day transactions are netted within the nomination. The Shipper code of ECC used for nominations in the respective gas quality and the nomination method is as follows: ECC Hub Code / Business Agency Code ZHPECC ZHPECC Margining Market Area High calorific natural gas on the Zeebrugge Trading Point (ZTP) Low calorific natural gas on the Zeebrugge Trading Point (ZTPL) Nomination Method ECC Single Side Nomination ECC Single Side Nomination ECC calculates an initial margin for all open positions in Belgian Gas Futures which is updated near to real time after position changes. The initial margin is calculated using SPAN 1. The underlying margin parameters (scanning range and margin credits) are updated daily and published daily in the SPAN parameter file. Margin credits and thereby full cross margining effects can be granted after a calibration period of 5 trading days. The margin requirements for Belgian Gas Futures can be retrieved via the ECC EUREX clearing system and will be contained in the margin class SPAN in the daily EUREX Report CC050. Exposures from transactions in Within- Day and Day-Ahead gas in Belgium will be included in the time series of exposures used for daily calculation of the Spot Initial Margin (IMSM) and will also be included in the Current Exposure Spot Market (CESM). The exposures will be netted with exposures from all other spot market transactions granting full cross margining effects across all cleared spot venues of ECC. Preconditions for participation The ECC clearing licence for Clearing Members already includes the settlement of Belgian Gas products. Participation in trading requires an application for recognition as a trading participant in PWX Natural Gas Spot Contracts and/or PWX Natural Gas Futures (TP_PWX_01) and a current NCM agreement (NCM02) including the POWERNEXT market or alternatively All Markets. Proof of the capacity to effect physical settlement in the respective transmission system is declared via the TP forms. The corresponding forms are available for downloading on the ECC website. 1 SPAN is a registered trademark of Chicago Mercantile Exchange Inc. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity. Page 4 5

5 Simulation The ZTP Gas Futures are set up within the EUREX simulation environment and are available for test purposes. In case you wish to receive simulation reports please send an to 24/7 Clearing Services on Powernext Spot Contracts ECC will support Powernext on the introduction of 24/7 trading on the existing French PEGs (GRTgaz Nord/Sud and TIGF). Impact for ECC Clients on the current procedures will be minor. ECC will send additional hourly nominations to cover all changes in traded volumes in accordance to the matching cycles with GRTgaz and TIGF. Please note that TIGF will confirm positions for Within-Day trades the day after the traded gas day. All other settlement procedures are in line with existing 24/7 Markets. Page 5 5