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
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.
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.
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
|ECC Risk Parameters
|xlsx (44 KB)
|Market Capacity File
|xlsx (243 KB)
|Back and Stress Testing Disclosure Report
|pdf (131 KB)
|ECC Derivative Market Margining
|pdf (575 KB)
|ECC Spot Market Margining
|pdf (340 KB)
|Initial Margin Spot Market Sample Calculator (*.xlsm) (V3.1.1)
|xlsm (227 KB)
|ECC SPAN Tiering - Sample Calculation
|xlsm (86 KB)
|ECC Margining Sample Calculations
|zip (11 MB)
|Concentration Risk Margining Example
|xlsx (15 KB)
|EUA Expiry Timeline
|pdf (284 KB)
|IVM2 Product List
|xlsx (18 KB)
|Variation Margin Correction
|pdf (139 KB)
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.
Reports & Files
ECC SPAN File, Inter-Commodity Spreads, Scanning Ranges and Margin Buffer
Please download the latest files from our server.
'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.