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Eurex Clearing
With Eurex Clearing circular 019/10 “Changes in Implied Volatility for Risk-Based Margining”, Eurex Clearing announced on March 31, 2010 that the Risk-Based Margining methods of Eurex Clearing have been enhanced by implementing changes in the implied volatility.
To provide more transparency in the methodology and to support members in reconciliation of calculation in their back office system, Eurex Clearing will offer more information regarding the implied volatility shifts, namely three additional Theoretical Price Files and a new report which reflect volatility adjustments. The
distribution to the member MISSes will take place after the distribution of the already existing price files FPTHED, FPTHEF and FPTHEU.
Distribution of the Theoretical Price Files and of the new report will start with the end-of-day processing on July 19, 2010.