Risk Management for Day-Ahead and Intraday Markets


ALPEX sets up and manages the Default Fund for reasons of risk coverage with respect to the clearing activities that carries out in the ALPEX Markets, sets up and manages a Default Fund. The participation of each Clearing Member in the Default Fund is determined by its share account. Each Clearing Member keeps only one share account in the Default Fund. This account is opened upon acquisition of the capacity of Clearing Member for the purpose of Clearing in the ALPEX Markets. Clearing Members must make an initial contribution to the Default Fund in order to acquire the relevant capacity. The amount of the initial contribution of the Direct Clearing Members is set at thirty thousand euro (€ 30,000), and of the General Clearing Members at one hundred fifty thousand euro (€ 150,000). The amount of the Default Fund is calculated on a monthly basis and the calculation is performed in the first three (3) working days of the following month from the reference month.


ALPEX in its role as Central Counter Part in its Electricity Markets in order to manage the risk of counterparty arising from the concluded transactions, requires from the Clearing Members the payment of a Margin Requirement. The Margin Requirement is calculated per Clearing Account (Exchange Member) during the clearing day and after the finalization of positions in order to check the Collaterals’ adequacy verification of the respective Account and the Credit Limit’s attribution. The calculation of Margin is carried out, based on the net position (obligation/claim) of the Clearing Account, arising from the finalized transactions, which have been notified to the Clearing System during the clearing day.

1. If an obligation arises for the Clearing Member to pay a cash amount, which has not been settled yet, this amount is set as margin.                2. If a claim arises for the Clearing Member to receive a cash amount, then the margin equals to this amount but with negative sign and shall be deemed as available cover, which may be used as Credit Limit of the Clearing Account until the previous working day of the credit payment.


Clearing Members are required to provide collateral in favor of ALPEX to secure their Clearing and Settlement obligations towards ALPEX in accordance with the specific provisions of Clearing and Settlement Procedures.

ALPEX accepts as Collaterals:
1. Cash Collateral
2. Letters of Guarantee

ALPEX shall accept cash collateral in Euro or in Lek Currency. The collateral may be accepted pursuant to ALPEX Technical Decision No. 3-C. The Cash Collateral shall be deposited into Cash Collateral Accounts and it shall be in Eur Currency for Albanian and Kosovar Markets, meanwhile it can be in ALL Currency for Albanian Markets. If Clearing Members shall provide the Cash Collateral in ALL Currency, then the value of this Collateral shall be at least 130% of equivalent value in ALL. For calculation of equivalent value in ALL, ALPEX shall refer to the exchange rate of Bank of Albania specified in respective Technical Decision. The Collaterals deposited by the Clearing Members in ALPEX in the form of cash in euros are valuated at 100%. The maximum concentration limit of collaterals in the form of Letters of Guarantee for all the Clearing Members by one issuer is set at € 150,000 to € 2,000,000 for all Clearing Accounts specified in Technical Decision No. 3-C.


During the session of Electricity Markets, ALPEX calculates in real- time the risk that is undertaken by each Clearing Member per Clearing Account (Intraday Risk).

The aforesaid risk is calculated:
a) in respect of Direct Clearing Members, per Own Clearing Account of the Direct Clearing
Member, and relates to the entry of orders by the latter as an Exchange Member in
ALPEX Markets and the performance of relevant Transactions that are cleared through the respective Own Clearing Account, and
b) in respect of General Clearing Members, per Exchange Member Clearing Account held by the General Clearing Member for each Exchange Member with which it is contracted and relates to the entry of orders by the Exchange Member in ALPEX Markets and the performance of relevant Transactions that are cleared through the respective Exchange Member Clearing Account.

For the purposes of calculating the Intraday Risk, the following are taken into consideration:
a) the Transactions concluded per Exchange Member in ALPEX Markets and per relevant Clearing Account that have not been notified yet to ALPEX for clearing, and
b) the unfilled orders for the conclusion of Transactions per Exchange Member in ALPEX Markets and per relevant Clearing Account.

The Intraday Risk (Rintraday) is calculated as the sum of the Risk arising from active orders (Rorders) and the Risk from the transactions already concluded (Rtrades),

R_intraday = R_orders + R_trades

During the Trading Session, the Intraday Risk is progressively automatically subtracted in the Clearing System (EMCS) from the Credit Limit of each Clearing Account based on the unfilled validated orders entered by the Exchange Member in the ETSS and the Transactions concluded by the latter and not registered in the Clearing System and Credit Limit is correspondingly added on the basis of the available cover of the Clearing Account.


If a Clearing Member fails to fulfil its obligations concerning the Clearing and Settlement of Transactions, in the ALPEX Markets, as these arise per each of its Clearing Accounts, such Clearing Member shall be deemed in default.

A Clearing Member shall be deemed in default in cases that include but are not limited to the following:

1. When in the Cash Settlement Account of the Clearing Member, the available cash balance is not sufficient to cover all cash obligations of the Clearing Member,

2. When the Clearing Member does not provide the required collateral in favor of ALPEX or the contribution in favor of the Default Fund,

3. In cases of Clearing Member’s insolvency that may occur regardless of whether the Clearing Member has failed to fulfil its obligations to ALPEX concerning the Clearing and Settlement of Transactions. The sequence of actions in which ALPEX uses the available collaterals to cover the overpayment.

Default Fund of the Clearing Member is presented below:

1. Guarantee of the Clearing Account
2. Share of Default Clearing Member in Default Fund
3. Remaing of the Default Fund on a pro rata basis, according to their percentage of participation
4. ALPEX dedicated own funds