A member of
Eurex Clearing
1. Introduction
As communicated in Eurex Clearing Circular 117/19, Eurex Clearing has recalibrated the Liquidity Add-on parameters as part of a regular review of concentration risk handling in the risk methodology.
To facilitate necessary preparations for market participants, Eurex Clearing postpones the go-live to 20 January 2020.
Eurex Clearing supports the preparation of market participants and continues to provide the possibility to calculate impacts on margining using Cloud PME, where an additional environment was setup up with the updated parameters at https://whatif.eurexmargins.prod.dbgservice.com/.
Production start: 20 January 2020
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 communicated in Eurex Clearing Circular 117/19, Eurex Clearing has recalibrated the Liquidity Add-on as part of a regular review of concentration risk handling in the risk methodology. The recalibration reflects updated market volumes and behaviour of the add-on for growing positions.
The Liquidity Add-on is affecting concentrated positions in both clearing member as well as end client accounts. To facilitate necessary preparations, Eurex Clearing postpones the go-live by one month to 20 January 2020.
Eurex Clearing supports the preparation of market participants and continues to provide the possibility to calculate impacts on margining using Cloud PME, where an additional environment was setup up with the updated parameters at https://whatif.eurexmargins.prod.dbgservice.com/.
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 Direct 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 |
| Related Circular: | Eurex Clearing circular 117/19 |
| Authorised by: | Dmitrij Senko |