ECC Clearing Circular 01/2015 | 2015-01-15
Spot Market Margin Amendment
News
Summary This circular contains information about the planned amendment for calculating the Initial Margin Spot Market (IMSM). The changes take effect from 30 January 2015. Please do not hesitate to contact ECC if you require any further information. | Physical Settlement |
Summary This circular contains information about the planned amendment for calculating the Initial Margin Spot Market (IMSM). The changes take effect from 30 January 2015. Please do not hesitate to contact ECC if you require any further information. | Financial Settlement |
Summary This circular contains information about the planned amendment for calculating the Initial Margin Spot Market (IMSM). The changes take effect from 30 January 2015. Please do not hesitate to contact ECC if you require any further information. | Risk Management |
Summary This circular contains information about the planned amendment for calculating the Initial Margin Spot Market (IMSM). The changes take effect from 30 January 2015. Please do not hesitate to contact ECC if you require any further information. | Information Technology |
European Commodity Clearing AG Clearing & Settlement
Phone: +49 341 24680-444
E-mail: clearing@ecc.de
ECC Clearing Circular 01/2015 | 2015-01-15
Spot Market Margin Amendment
Spot Market Margin Calculation Amendment
This update mainly focuses on improving forecast stability for trading participants with a short trading history. This is implemented by the following changes in the calculation methodology:
a. A minimum margin of 30,000 EUR is called for all new trading participants for the first 30 trading days after admission. Thereafter a minimum margin of 10,000 EUR is applied.
b. In order to handle uncertainty for trading participants with a short trading history at ECC Spot Markets more conservatively, ECC applies a security add-on to a calculated estimator1 used to describe the variation of the participant's exposure towards ECC. This add-on decreases with an increasing amount of trading data and is published on the ECC website.
c. A new approach2 for weighting trade history is implemented to improve the forecasting
results of the IMSM: More recent observations have a greater influence on the calculated IMSM by reflecting changes in trading behaviour more promptly. This methodology is in line with our calculation methods for derivative products.
A more detailed explanation and an example calculation can be found on ECC's website:
http://www.ecc.de/ecc-en/risk-management/margining.
Migration to New Spot Market Margin
Based on given historical trading data, the margin will be calculated from 29 January 2015 for the preparation of the respective End-of-Day procedures. The calculation results can be found in the report CC050 Daily Margin in the margin class IMSM.
1 The standard deviation
2 An EWMA algorithm with λ=0.99 is used
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