The Pitfalls for Physical Trading when Clearing Trades are Overlapping OTC Contracts

An example analysis for EFET traded vs ECC cleared products.

  • The Problem
  • Why EFET and ECC ?
  • The Basis Risk
  • The Analysis
    • The Contractual Structure
      • Portfolio Effect vs. Risk Concentration
    • The Product Structure
      • Pre Physical Settlement
      • The Physical Settlement
      • Basis Risk during Physical Settlement Period
      • Further possible Consequences
  • Summary of Conclusions
Energy Trading Energy Trading Clearing

Presentation Date

Thursday, November 22, 2012 - 11:00



Presentation PDF