A member of
Eurex Clearing
1. Introduction
Eurex Clearing regularly reviews and updates the Initial Margin model parametrisation. As part of this regular process, Eurex Clearing updated the liquidity factors used in the Liquidity Add-on and the degrees of freedom distribution parameter of the market risk initial margin.
The update will take place prior to the first intraday calculation run on 15 July 2019.
2. Required actions
There are no actions required.
3. Details of the initiative
As of 15 July 2019, the update in liquidity factors will be reflected in report “CC220 Liquidity Table” which is available in csv-format on the Common Report Engine.
As of the same date, the update in degrees of freedom will be reflected in the report “CC221 Initial Margin Configuration Set”, in the parameters “FHS VaR Scaling factor” and “CBA multiplier”. This report is also available in csv-format on the Common Report Engine.
Unless the context requires otherwise, terms used and not otherwise defined in this circular shall have the meaning ascribed to them in the Clearing Conditions of Eurex Clearing AG.
Further information
| Recipients: | All Clearing Members of Eurex Clearing AG and vendors |
| Target groups: | Front Office/Trading, Middle + Back Office, IT/System Administration |
| Contact: | Risk Exposure Management, T +49-69-211-1 28 28, otcclear@eurexclearing.com |
| Authorised by: | Manfred Matusza |