A member of
Eurex Clearing
1. Introduction
Eurex Clearing will align the bond margin parameters which are used across all of its cleared venues, comprising Deutsche Börse Cash Market, Eurex Repo (including GC Pooling) and Lending CCP.
Effective date for aligned | 23 October 2019 |
| Effective date for GC Pooling: | 24 October 2019 |
2. Required actions
There are no required actions for the Participants.
3. Details of the initiative
Eurex Clearing decided to align how to deal with bonds across its clearing services, reducing risk fragmentation and increasing transparency. The new margin parameters are calibrated according to the respective interest-, credit- and liquidity risk. The new methodology allows a more granular coverage, enhancing the risk adequacy across the set of eligible bonds.
This harmonisation also applies to GC Pooling, in particular to the ECB- and ECB EXTended Baskets, where the ECAG Margin Parameters will be used instead of ECB haircuts. For further information, please refer to the Eurex Repo Functional Information on the Eurex Repo website www.eurexrepo.com under the following link:
As of the effective date, the enhanced bond margin parameters will be available for download on the Eurex Clearing website www.eurexclearing.com under the following link:
Risk management > Risk parameters > Margin Parameters for Bonds and Repos
and on the Eurex Repo website for GC Pooling under the following link:
Please find attached a sample file, simulated as of 1 October 2019, disclosing aligned bond margin parameters ahead of the effective date.
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 or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Attachment:
Further information
Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors, all FCM Clearing Members and other affected contractual parties |
Target groups: | Front Office/Trading, Middle + Back Office |
Contact: | Risk Exposure Management, T +49-69-211-1 28 28, risk@eurexclearing.com |
| Web: | www.eurexclearing.com |
Authorised by: | Dmitrij Senko |