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Eurex Clearing
Effective April, 18, 2011, the Executive Board of Eurex Clearing AG decided to change the basis for the computation of the volatility component of margin parameters for equity and equity-style trading instruments as well as haircuts on equity collateral from an equally weighted average to an exponentially weighted moving average (EWMA) following the same approach which is already used for cash market instruments.
The overall process of publishing the updated risk parameters will remain unchanged: the information will be available on the website of Eurex Clearing. It will also be sent to the Members’ MISSes. However, as the frequency of updating the risk parameters will be increased to daily, Eurex Clearing will no longer announce a change in the parameters via circulars.