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Eurex Clearing
1. Introduction
Eurex Clearing has introduced a Time-to-Expiry Adjustment (TEA) with Prisma Release 8.0 and launched the calculation of this margin component in January 2019 in a step-wise approach as communicated in Eurex Clearing Circular 024/19.
In line with the step-wise introduction for TEA, Eurex Clearing is updating the corresponding weighting scheme, effective 1 July 2019. The weights in the scheme will be increased from [0.165; 0.33] to [0.33; 0.66].
2. Details of the initiative
TEA improves the handling of market risks with regard to positions close to expiry. The margin effect of the expired positions will increase incrementally prior to expiry, based on the risk horizon of the liquidation group.
In order to foster market acceptance and to allow participants to potentially adjust their roll behaviour across expiries, Eurex Clearing is pursuing a step-wise introduction approach for Liquidation Groups with a risk horizon of more than two days. For a detailed description of the approach, please refer to Eurex Clearing Circular 024/19.
Step 1 of the introduction took place in January 2019. In line with the step-wise introduction for TEA, Eurex Clearing is updating the corresponding weighting scheme, effective 1 July 2019. The weights in the scheme will be increased from [0.165; 0.33] to [0.33; 0.66]. The table in the attachment provides an overview over the weighting schemes for all Liquidation Groups as well as the implementation schedule.
Attachment:
Further information
| 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: | Risk Exposure Management, tel. +49-69-211-1 24 52, fax +49-69-211-1 84 40 or e-mail: risk@eurexclearing.com |
Related Circular: | Eurex Clearing Circular 024/19 |
| Authorised by: | Thomas Laux |