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ECC to launch Extended Cross-Margining

Published on: 11/15/2011 Leipzig

From 21 November 2011 European Commodity Clearing AG (ECC) will offer its clearing participants considerably increased savings potentials through cross-margining effects. To this end, ECC will use a new calculation logic based on SPAN® to determine the margin requirements. This system is used for commodity margining by a large number of exchanges and clearing houses.

All positions held by participants on the Derivatives Market are continuously checked for possibilities for offsetting. Cross-margining effects are created by offsetting opposite positions on the Derivatives Market with the amount of the savings based on the extent of the correlation of the changes in the prices of the products traded (spreads).

With the new system ECC hones its margin calculation and uses all cross-margining potentials which result from the combination of opposite positions. In this context, the new crossmargining considers all commodities cleared by ECC (power, natural gas, emission rights and coal) as well as all delivery areas, maturities and periods within a given product. While, in the past, a margin parameter was established across all maturities of a given product, the margin parameters are now determined for every individual maturity and updated daily rather than on a monthly basis (as has been the case so far).

“We are very pleased that we can offer our customers increased flexibility and a high savings potential – in particular, in bigger portfolios“, says Dr. Thomas Siegl, Chief Risk Officer of ECC. “A large number of factors, e.g. extended margin credits or the presence of opposite positions with fully overlapping delivery periods, can now be included in the calculation of the margins. As a result, our customers can considerably reduce their margin requirements and have to tie up less liquidity while protection against the counterparty risk remains the same.“

Die European Commodity Clearing AG (ECC) ist das zentrale Clearinghaus für Energie und energienahe Produkte in Europa. Entstanden ist das in Leipzig ansässige Unternehmen im Jahr 2006 mit der Ausgründung und Überführung der Clearingaktivitäten der European Energy Exchange AG (EEX) in diese Gesellschaft. Als zentraler Kontrahent übernimmt die ECC das Clearing sowie die physische und finanzielle Abwicklung von Geschäften, die an der APX-ENDEX, der CEGH Gas Exchange der Wiener Börse, der EEX, der EPEX SPOT, der HUPX und an der Powernext abgeschlossen werden, sowie das Clearing und die Abwicklung von Geschäften, die an diesen Börsen zum OTC-Clearing registriert werden.

'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."

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