European Commodity Clearing AG
As a central counterparty, ECC assumes the counterparty risk for all transactions concluded at its partner exchanges. ECC manages risk by establishing margin requirements that reflect the risk of participant’s transactions with a high level of confidence. The margin requirements have to be covered with accepted collateral at least on a daily basis however ECC also has the right to call additional collateral at any time during the day (intraday margin call). ECC administrates a default fund that is used to cover the risk beyond the level of confidence used for establishing the margin requirements.
The Spot Margin and SPAN® Initial Margin constitute the two main margin types at ECC.
Spot MarginThe Spot Margin is calculated from a statistic of daily exposures across a trading participant’s spot transactions that have been concluded between the accounting cut-off of the previous ECC business day and the latest point in time where a trading participant in default would be suspended from trading.This methodology allows 100% cross margining over all ECC-cleared spot markets, thereby maximizing margin savings.
ECC updates risk SPAN® risk parameters daily which are available on ECC’s homepage for download. ECC recognizes the diversification effect in large portfolios by granting margin credits of up to 99% for opposing positions in highly correlated products:
Back Tests are performed and analyzed daily for the spot and derivative models. This means that the parameters and assumptions underlying the margin models are reviewed continuously. The results are categorized using the Basle Traffic Light Approach. Back Testing Results are reported to ECC's board on a monthly basis.
Further InformationFor further details and examples please download the following documents:
|New ECC Margining (go live date to be determined)||1.7 MB|
|Documentation ECC Margining (2013-08-16)||1.3 MB|
|ECC Margining Sample Calculations (2012-07-30)||1.5 MB||ZIP|
|Flyer ECC Margining (November 2011)||319.4 kB|
|Disclosure Report||196.4 kB|