Clearing Circular 26/2021 | IMSM Parameter Update

    ECC plans to adjust the parameters for the Initial Margin Spot Market (IMSM) as of 26 July 2021 as follows:

    The new parameters applicable will be:

    ParameterCurrentNew
    𝛼 (multiplier for statistical component)3,12,8
    đť›˝ (multiplier for maximum component)1,41,5
    d (lookback period for maximum component)2030


    All other IMSM model parameters remain unchanged.

     

    Contact
    European Commodity Clearing AG
    Clearing & Settlement
    Phone: +49 341 24680-444
    E-mail: clearing@ecc.de