Direct Clearing Participant (DCP) Model
A DCP CM needs a limit before starting to trade. The limit is capped by the financial strength of the DCP CM. ECC uses the Creditreform rating and equity of the DCP CM to determine the maximum limit as shown in the following table:
|Creditreform Score||Equity* (in thousand EUR)||Maximum Limit (in million EUR)|
|100 ≤ x ≤ 149||> 50,000||25|
|150 ≤ x ≤ 199||10,000 – 50,000||20|
|200 ≤ x ≤ 249||5,000 – 10,000||15|
|250 ≤ x ≤ 299||2,000 – 5,000||10|
|300 ≤ x ≤ 349||1,000 – 2,000||5|
|350 ≤ x ≤ 499||200 – 1,000||2|
|>500||50 - 200||1|
*) Equity incl. subscribed capital, capital reserves, retained income less any losses incurred in the course of the year and less intangible assets. Increases of the subscribed capital during a given year shall be proven by means of the submission of the registration message. A DCP can increase the equity by means of bank guarantees or guarantees of a parent company accepted by ECC.”
A DCP CM communicates the limit preferences which will be adopted by ECC as well as the available collateral, i.a. by using the form “O09 Limit Adjustment”. For submitting the form as well as for support concerning the limit management process please contact ECC on the following email address: firstname.lastname@example.org.
To cover the limit DCP CMs can only provide trading participant collateral as defined in article 3.5.10 and 5.1.2 of ECC’s Clearing Conditions.
Currently accepted collaterals for DCP CMs are:
- Cash funds in EUR and GBP
- Bank Guarantee in EUR and GBP (Guarantors have to fulfil the ECC minimum requirements, for further information please refer to Bank Guarantees as Collateral)
All collaterals for a DCP CM are booked in a delivery account in ECC’s settlement system SMSS. For each margin type and currency a separate delivery account is set up. The member can monitor the balance of his collateral accounts via ECC’s Member Area.
|SMSS Collateral Management||Description|
|HLDNG_CASH_MRGN_EUR||Cash deposited at ECC in the collateral account and in currency Euro.|
|HLDNG_CASH_FUND_EUR||Cash deposited at ECC in the clearing fund account and in currency Euro.|
|HLDNG_CASH_MRGN_GBP||Cash deposited at ECC in the collateral account and in currency British Pound.|
|HLDNG_CASH_FUND_GBP||Cash deposited at ECC in the clearing fund account and in currency British Pound.|
|HLDNG_CASH_CAP_EUR||Credit limit given in currency Euro determining the total trading limit.|
|GUARANTEE_XXXX_EUR_DMS||Guarantee provided from an accepted guarantor – guarantee amount will be booked at the collateral account in Euro.|
|GUARANTEE_XXXX_GBP_DMS||Guarantee provided from an accepted guarantor – guarantee amount will be booked at the collateral account in British Pound.|
Cash Collateral payments resulting from adjustments of collateral are shown in ECC’s payment reports and will be settled according to the financial settlement process for DCP CMs.
For an increase of collaterals the respective amount will be considered after the next ECC booking cut at 16:00 CET and the new collateral balance will be processed in the collateral account on the next TARGET2 or GBP day after successful cash settlement of all ECC Clearing Members. After successful processing, ECC will enter the adjusted limit in ECC’s clearing system SMSS which is effective after confirmation by the respective exchange trading system.
In case of a decrease of collaterals ECC has to check the impact on the limit of the DCP CM. A decrease of the limit will be processed by ECC immediately.
DCP CMs are required to contribute to the ECC clearing fund according to section 3.8 of the ECC Clearing Conditions. Accepted collateral for the ECC clearing fund is Euro & British Pound cash only. In case of a DCP CM’s default, its collateral and clearing fund contribution are used to cover the resulting shortfall. If that is not sufficient, ECC’s dedicated own resources of currently 10 million EUR and subsequently the default fund contribution of all other DCP CM’s are used. Finally the remaining clearing fund is used.
A minimum default fund contribution of a DCP CM is defined as a percentage of its total trading limit.
ECC performs daily stress tests. If the calculated shortfall from the stress test exceeds the DCP CM’s clearing fund contribution including ECC’s dedicated own resources, the amount of exceedance is allocated to the DCP CM as an additional clearing fund contribution proportional to their current shortfall.