Eurex Clearing
Dear Clearing Member,
Dear Basic Clearing Member,
We would like to draw your attention to the following changes in collateral value calculations which will become effective with the Clearstream release on 26 June 2022:
1. Changes to the collateral value calculation
As per current processing in the collateral location CmaX, the collateral value calculation for fixed income securities pledged to Eurex Clearing applies a "dirty price" resulting in accrued interest being added to the collateral value of the securities as such.
However, in the ordinary course of business, interest distributed with respect to fixed income securities pledged to Eurex Clearing via CmaX are either directly collected by the respective pledgor or passed on to such pledgor by Eurex Clearing. Hence, to account for this behavior, Eurex Clearing will not consider any such expected interest when determining the collateral value and will instead apply the "clean price" in the future as follows:
collateral value = nominal * price of the relevant securities * haircut * FX haircut
2. Changes to the calculation formula for the valuation method
Further, the valuation method for any securities that are provided to Eurex Clearing via CmaX will be changed from the European to the US valuation method. The reason behind this switch is alignment of the valuation method used in CmaX with the internal calculation method used by Eurex Clearing.
European valuation method (currently used in CmaX)
US valuation method (new)
For detailed information related to collateral management of Eurex Clearing please refer to the dedicated Collateral management webpage.
If you have any questions or comments, please send an e-mail to client.services@eurex.com.
Kind regards,
Your Client Services Team
Visit the Next Generation ETD Contracts webpage for all your Clearing and Trading content!
Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration | |
Contact: | ||
Web: | Collateral management |
