With this Newsflash, we would like to provide follow-up information to the Eurex Clearing Circular 019/23.
As previously communicated in Eurex Clearing Circular 019/23, Eurex Clearing will enhance the tail modelling in the Initial Margin methodology for both ETD and OTC derivatives as of 3 July 2023 (ETD: within Prisma Release 12.1; OTC: with go-live of EurexOTC Clear Release 15.0).
To provide Clearing Members with the possibility to calculate impacts on margining, an additional environment of the Cloud Prisma Margin Estimator (CPME) has now been set up with the updated configuration. This additional environment is available from now on and allows to calculate margin figures using the enhanced tail scaling with validity as of 21 April 2023 (end-of-day) – for both ETD and OTC derivatives.
If you have any further questions or comments, please send an e-mail to email@example.com.
Your Client Services Team
All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors
Front Office/Trading, Middle + Back Office
Eurex Clearing Readiness Newsflash from 4 October 2022
Additional instance of Cloud Prisma Margin Estimator (CPME) with updated configuration: