Summary
The Initial Margin Spot Market (IMSM) is designed to cover potential future exposures from spot transactions between two consecutive payment settlement dates which is in general a period up to 3 days due to weekends where no financial settlement takes place. Higher exposures due to extra non-ECC business days between two settlement dates, e.g., Christmas holidays, are covered by a specific “Holiday Adjustment”. ECC is planning to change the approach to calculate the “Holiday Adjustment”. The change will be considered for the first time in the margin calculation before the Labor Day holiday 01 May 2023 (IMSM Calculation Date 27 April 2023, resp. 28 April 2023, for the margin effective 28 April 2023, resp. 02 May 2023). The timing for applying the holiday adjustment and all other spot margin model parameters remain unchanged. No operational changes are required by Clearing Members or Trading Participants.