Summary
As of 5 September 2024, the Safety Add-on, which was previously used to adjust the statistical component of the IMSM (Initial Margin Spot Market) model for short exposure time series, will be removed. This means there will be no longer different multipliers (dependent on the number of positive exposures in a member’s one-year exposure time series) used on the standard deviation as part of the statistical component. The removal will lead to a simplified margin calculation and slightly decreased margin requirements in some cases, while not having significant influence on backtesting results. The change will be used for the first time in the IMSM calculation on 5 September 2024, coming into effect the following day, 6 September 2024.
Contact
European Commodity Clearing AG
Clearing & Settlement
Phone: +49 341 24680-444
E-mail: clearing@ecc.de