A member of
Eurex Clearing
Dear Clearing Member,
Eurex Clearing would like to inform all Members and clients about the introduction of two new risk reports (CP030/CI030) on Monday, 2 December 2019:
| Report name | Overnight report | Equivalent intraday report | ||
| Margin Drilldown on Underlying Level Report | CP030 | CI030 |
Content of the new reports
To enhance the transparency of required margins, the new risk reports will provide margin drill-down on underlying level.
The new reports provide an overview of the total margin requirement, intraday variation margin and premium payments on underlying level. As an example, above margin figures for all futures on DAX (FDAX) and options on DAX (ODAX) will be reported on aggregated level under Underlying_ID DAX.
To establish comparable intraday risk transparency for all affected customers on report basis, Eurex Clearing will introduce the complementary XML intraday report (i.e. CI030) containing the same level of information as provided in the overnight XML (i.e. CP030). The intraday CI030 report will be created every ten minutes during business hours and distributed via the Common Report Engine (CRE) as other existing intraday reports.
Additional information on the report content can be found in the Prisma Report Reference Manual for Release 9.0 available in the Eurex Clearing Member Section under the path: Risk & Collateral Management > Eurex Clearing Prisma > Documents & Circulars.
Availability of the new reports
The CP030 report will be created and distributed overnight to the Members as other existing reports. It will be available in TXT and XML formats.
If you wish to have access to the intraday report CI030, please send an e-mail to risk@eurexclearing.com with your institution’s Member ID and your request to subscribe.
If you have any further questions please do not hesitate to contact your Key Account Manager or send an e-mail to client.services@eurexclearing.com.
Kind regards
Your Client Services Team
| Recipients: | All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, FCM Clearing Members, vendors and other affected contractual parties |
| Contact: | client.services@eurexclearing.com |
| Web: | www.eurexclearing.com |
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