A member of
Eurex Clearing
1. Introduction
Eurex Clearing has introduced a Time-to-Expiry Adjustment (TEA) with Prisma Release 8.0. The introduction of this margin component follows a step-wise approach, as communicated in Eurex Clearing circular 024/19, and started in January 2019. As the final step in introducing TEA, Eurex Clearing is updating the corresponding weighting scheme. The weights in the scheme will be increased from [0.33; 0.66] to [0.5; 1.0].
Production start: 27 January 2020
2. Required action
No specific actions are required for the participants.
3. Details of the initiative
TEA improves the handling of market risks regarding positions close to expiry. The margin effect of the expired positions will increase incrementally prior to expiry, based on the risk horizon of the liquidation group. In order to foster market acceptance and to allow participants to potentially adjust their roll behaviour across expiries, Eurex Clearing is pursuing a step-wise introduction approach for Liquidation Groups with a risk horizon of more than two days. For a detailed description of the approach, please refer to Eurex Clearing circular 024/19.
Step 1 of the introduction took place in January 2019 and step 2 took place in July 2019. In line with the step-wise introduction for TEA, Eurex Clearing is updating the corresponding weighting scheme, effective 27 January 2020. The weights in this scheme will be increased from [0.33; 0.66] to [0.5; 1.0].
The table in the Attachment provides an overview of the weighting schemes for all Liquidation Groups as well as the implementation schedule.
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.
Attachment:
Further information
| Recipients: | All Clearing Members, DC Market Participants, DCs With System Access and Basic DCs of Eurex Clearing AG and Vendors |
| Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration |
| 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 024/19 |
| Authorized by: | Dmitrij Senko |