Summary
As of 31 October 2025, the initial margin cap parameter used to size ECC’s Default Fund will increase from 10% to 13%. The initial margin cap serves as an upper limit to ECC’s Default Fund to avoid over-mutualisation of stress risks. Any stress test result exceeding the ECC’s Default Fund will be charged as additional supplementary margin.
The update will become effective in the course of the regular monthly update of the Default Fund on 3 November 2025. All other parameters to calibrate the Default Fund will remain unchanged (see ECC Risk Parameter File available on the ECC website)
Information
The parameters used to determine the Default Fund are outlined in the “Default Fund and Supplementary Margin Methodology” published on the ECC website. The setting of the parameters considers the frequency of supplementary margin calls and the utilisation of the Default Fund. The annual review of the parameters has shown that the previous initial margin cap needs to be updated.
Please find detailed information in the document below.
ECC Clearing & Settlement
T +49 341 24680-444
clearing@ecc.de