A member of
Eurex Clearing
1. Introduction
As part of a regular review of concentration risk handling in the risk methodology, Eurex Clearing has recalibrated the Liquidity Add-on. The recalibration reflects updated market volumes and behaviour of the add-on for growing positions.
The Liquidity Add-on review is structured in two phases, where the first phase of parameter updates affects all Liquidation Groups but PFI01. The reviewed parameters will take effect on 25 November 2019. The second phase will be announced separately.
Production start: 25 November 2019
2. Required action
No specific actions are required.
3. Details of the initiative
Concentration risks are covered as part of Eurex Clearing’s Prisma methodology with a dedicated Liquidity Add-on.
The Liquidity Add-on is designed to capture potential additional costs when liquidating portfolios, where the key features are:
As part of a regular review of concentration risk handling in the risk methodology, Eurex Clearing has recalibrated the Liquidity Add-on with a focus on concentrated positions as well as observed market volumes. Model parameters affected are Market Capacities as well as the Liquidity Factor.
Market Capacities reflect updated market volumes. The Liquidity Factor reflects updates on how the add-on increases with growing position sizes.
The Liquidity Add-on review is structured in two phases, where the first phase will affect the following Liquidation Groups:
The first phase of parameter updates will take effect on 25 November 2019. A follow-up phase will be concerned with the update for PFI01 and will be announced separately.
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, Basic Clearing Members, Disclosed Clients of Eurex Clearing AG and vendors |
| Target groups: | Front Office/Trading, Middle + Backoffice |
| Contact: | Risk Exposure Management, T +49-69-211-1 24 52, F +49-69-211-1 84 40, e-mail: risk@eurexclearing.com |
| Web: | www.eurexclearing.com |
| Authorised by: | Dmitrij Senko |