Summary
As result of a regular parameter review, ECC plans to adjust the parameters for the Initial Margin Spot Market (IMSM) as of 16 August 2023 as shown below while all other IMSM model parameters remain unchanged.
Adjustment Process
The new value for the multiplier α applied on the statistical component of the Initial Margin Spot Market (IMSM) will be used for the first time in the IMSM calculation on 16th August 2023, coming into effect the following (Thursday) 17th August 2023.
Information
Members impact in IMSM requirements can be calculated using the Initial Margin Spot Market Sample Calculator on the ECC Website. Members who want to calculate the IMSM using the Initial Margin Spot Market Sample Calculator have to use a correct parameter configuration in the parameter sheet in the calculator for the respective calculation day according to the table above. For assistance, please contact clearing@ecc.de. The calculator as well as the ECC Risk Parameters file on the ECC Website will be replaced containing the final parameters on 16th August 2023.