Summary
ECC plans to change the calculation of the exposures that serve as input to the Initial Margin Spot Market (IMSM) on 2 September 2026. All other model components, including the underlying IMSM margin model itself, are not changing. There are no operational changes for members due to this change.
The change will be used for the first time in the IMSM calculation on 2 September 2026, coming into effect the following day, 3 September 2026.
Today, the IMSM exposure calculation allows netting of payment obligations across different payment dates. Upon go-live of the change, ECC will refine the exposure calculation by explicitly considering payment days, thereby better aligning exposures with the timing of actual cash flows. While netting within the same payment day remains unchanged, netting between the earliest payment day and subsequent payment days will become more limited in certain situations.
This enhancement improves the risk sensitivity of the model’s inputs and may result in adjusted margin requirements for portfolios with positions spanning multiple payment days, while portfolios concentrated on a single payment day are expected to see little or no impact.
Please find detailed information in the document below.
Clearing & Settlement
T+49 341 24680-444
clearing@ecc.de