Leipzig, 1 February 2024 – European Commodity Clearing (ECC) has initiated the transition to a portfolio-based Value-at-Risk (VaR) initial margin model for commodity derivatives. Completion of the process is anticipated for 2026, subject to regulatory approvals and member readiness.
Tobias Paulun, CEO of ECC, comments: “Transparency and risk-adequate margin efficiency are key for our customers and clearing members. With risk management for commodity products in the forefront during the recent volatile years, we are certain that the transition to the portfolio-based initial margin model is an important step forward.”
For derivatives markets, ECC currently employs Standard Portfolio Analysis of Risk (SPAN®) to calculate initial margin requirements. The VaR-based methodology to be implemented by ECC will be a commodity derivatives-focused version of the Prisma model currently used by Eurex Clearing AG, while the technical platform (Risk Management Platform R7) is being developed within the Deutsche Boerse Group. The new methodology will be accompanied by revised margin simulation tools with comprehensive margin replication and calculation functionalities for initial margins.
European Commodity Clearing (ECC) is a central clearing house which specialises in energy and commodity products. ECC assumes the counterparty risk and guarantees the physical and financial settlement of transactions, providing security and cross-margining benefits for its customers. As part of EEX Group, ECC provides clearing services for EEX, EEX Asia and EPEX SPOT and for the partner exchanges HUPX, HUDEX, NOREXECO, SEEPEX and SEMOpx. For more information, please visit www.ecc.de