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Eurex Clearing
In order to ensure a high degree of security, Eurex Clearing protects against the risk of default by any of its Clearing Members. The mainstay of this security system is the robust margining system Risk-Based Margining.
Starting April 6, 2010, Eurex Clearing will enhance the Risk-Based Margining Methodology for options by implementing changes in the implied volatility. With this enhancement, Eurex Clearing will increase the accuracy of the additional margin calculation for options and reflect more accurately a further risk component in the margining. Product types other than options (e.g. futures, cash market products) are not affected by this change. The adjustment of the methodology is necessary to secure zero weighting for solvency purposes related to positions with Eurex Clearing and is based on discussions with the supervisory authorities.
This circular outlines the details of the methodology enhancement and describes the functional concept, the calibration and the operational process.