As a central counterparty, ECC assumes the counterparty risk for all transactions concluded at its partner markets. In the event of a default of a Clearing Member ECC ensures payments to non-defaulting Clearing Members. Managing the counterparty risk is therefore an essential part of ECC’s business. ECC covers the risk with financial resources in the default waterfall. The main financial resource are the initial margins that are called for open positions.

    ECC Margin Optimization Tools Webinar - CCP Risk Methodology, Leipzig, 04/13/22

    Nicola Chalkley, Dr Manfred Schalke and Jörg Schenderlein explain how to optimize Margining at ECC.

     

    Notice: To activate the video, please click on the picture. Please note that after activation your data will be forwarded to YouTube.

    Webinar
    2022-04-21 ECC Margin Optimization Tools Webinar Reports pdf (324 KB)

    Contact

    Nicola Chalkley

    Head of Clearing Sales
    nicola.chalkley@eex.com

    Jörg Schenderlein

    Director Clearing Strategy
    joerg.schenderlein@ecc.de

    Spot Market Margining

    On spot markets, trading and clearing takes place 24/7 including times when settlement of payments is not possible. ECC measures credit exposure on spot markets near to real time on a 24/7 basis using the Current Exposure Spot Market (CESM). This margin has to be covered with collateral at all times.

    In order to avoid frequent margin calls due to collateral shortfalls and to cover exposures that might arise from trading activities during non-business times, ECC has developed the Initial Margin Spot Market (IMSM) as an additional margin component. The IMSM is a buffer and is designed to cover exposure from potential spot transactions in the future until the next settlement time. The IMSM is updated daily and is communicated to members via ECCs reporting facility.

    Further details on the Spot Margining can be found in the corresponding Spot Market Margining Document in the download section below.

     

    ECC Spot Market Margining

    To the Document

    Derivative Market Margining

    For derivatives markets, ECC employs a statistical approach using the SPAN® industry standard. The SPAN® Initial Margin calculates potential changes in the value of a trading member’s portfolio over a time horizon that is needed to liquidate the portfolio.

    Inter-Commodity Margin Credits are calculated for any combination of opposite positions for different products according to the correlation between the two products and on different levels of netting. This improves collateral efficiency and increases economies of scale in diversified portfolios. This methodology allows ECC to align margin requirements with risk, thereby realizing efficient margining.

    ECC updates the SPAN® risk parameters daily. These parameters are published daily.

    The SPAN® initial margin is calibrated to a liquidation period of at least two days. If the real liquidation period for specific products exceeds this regulatory minimum requirement an additional concentration risk margin is charged. The liquidation period of a position within a given market is the ratio of the net position size (“net quantity times contract value”) and the daily market capacity.

    Further details on the Derivative Margining can be found in the corresponding Derivative Market Margining Document in the download section below.

    ECC Derivative Market Margining

    To the Document

    Back Testing

    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.

    Members can request aggregated backtesting results from ECC Risk Controlling.

    Documents on Margining and Back Testing

    2022-09-26 ECC Risk Parameters Margining pdf (306 KB)
    2022-08-17 Market Capacity File Margining xlsx (250 KB)
    2022-07-07 Back and Stress Testing Disclosure Report Margining pdf (130 KB)
    2022-05-20 Initial Margin Spot Market Sample Calculator (*.xlsm) (V3.0.6) Margining xlsm (323 KB)
    2022-04-05 ECC Derivative Market Margining Margining pdf (470 KB)
    2022-03-30 ECC Spot Market Margining Margining pdf (375 KB)
    2022-01-26 Concentration Risk Margining Example Margining xlsx (15 KB)
    2019-08-01 EUA Expiry Timeline Margining pdf (284 KB)
    2016-02-25 IVM2 Product List Margining xlsx (18 KB)
    2014-07-31 Variation Margin Correction Margining pdf (139 KB)
    2012-07-30 ECC Margining Sample Calculations Margining zip (2 MB)

    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.

    Marcus Knappe

    Director CCP Risk Models & Analytics

    +49 341 24680-530 marcus.knappe@ecc.de

    Guide to Margining

    You can find our "Guide to Margining at ECC" here.

    Download

    Reports & Files

    ECC SPAN File, Inter-Commodity Spreads, Scanning Ranges and Margin Buffer

    Please download the latest files from our server.

    File location                                                             

    Span Files

    Margin Buffer

    Scanning Ranges

    > Inter-Commodity Spread

     


    Disclaimer:
    'SPAN' is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity.

    Further Information

    Further details on  ECC Margining can be found in the section

    MORE

    Download PC-SPAN® Copies

    You can download single copies of PC-SPAN® directly from CME Group Website for free.

    more

    Tutorials

    Tutorials how to use SPAN® and how to update your orgmaster file can be found at the CME Group Website.

    more

    Download Pos Conv Tool

    The SPAN PosConv Tool can be used to create SPAN position files from an Excel Sheet. You can download the PosConv tool and the documentation .