Reminder: Credit Cover after 100 days of I-SEM
Affected Period
Status
Closed
Category
Credit Risk Management
Run Type
N/A
Created
Last Updated
Reminder:
Dear Participant,
As per previous correspondence issued on the 9th July 2018, 100 days after the start of the I-SEM the methodology used for most Participants in calculating credit cover requirements will change from the “New” Participant methodology to the “Standard” Participant methodology.
Dependent on the trading behaviour, settlement amounts, and the variability of these values, this may mean the credit cover requirement of a Participant changes.
In
order to assist Participants in taking account of any possible changes in
credit cover requirements after 100 days, SEMO have developed a model that
allows comparison of the credit cover requirements under the “New” and
“Standard” Participant calculation methods defined in the Trading and
Settlement Code.
A guide to the model is provided here.
The model can be found here.
SEMO would recommend Participants consider using this model to provide an indication of the likely magnitude of the credit cover requirements they may be required to have in place from the time the “Standard” Participant credit cover calculations start.
If you have any questions please contact creditteam@sem-o.com