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Risk management
EMCF employs the most advanced and prudent risk management practices in the industry, giving clients the confidence that risks are managed in a competent and timely manner. We update positions and recalculate margin requirements on a near real time basis, thereby greatly reducing our exposure.

Our sophisticated risk management system is the Correlation Haircut System, which is validated by both the Dutch and the UK financial markets regulators for calculating Basel II capital requirements for credit and market risk. We calculate the correlation haircut, stress haircut, margin and concentration risk of our portfolios on an ongoing basis and store these values in a central database.

Our first line of defence is a set of strict membership requirements which are laid down in the EMCF Rules Book. Among other things, the following capital requirements are applicable to EMCF Clearing Participants:
  • Direct Clearing Member: 7.5 million.
  • General Clearing Member: 25 million.
The second line of defence is the margins calculated over open positions in EMCF's books. These are calculated using the Correlation Haircut System, which has proven to work effectively during years of operation by Fortis Bank Global Clearing across 60 exchanges worldwide. A key feature of the system is the implementation of a linear factor model that enables us to process the complicated correlation structures observed in different markets.

The third line of defence, is the clearing fund to which each Clearing Participant must contribute and which can be used in full when handling a clearing participant default.
 Useful links
• Code of conduct.
• European Association of
  Clearing Houses (EACH).
• European Commission.
• FSA register.

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