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Eurex Clearing
1. Introduction
Since the recalibration for the Liquidity Add-on in November 2019 (see Eurex Clearing circular 105/19), the observed market volumes in listed FX products have considerably increased. Therefore, we are updating the calibration for the liquidation group.
The Liquidity Add-on parameter concerns all products in Liquidation Group PFX01 and reviewed parameters will take effect on 2 March 2020.
2. Required action
No specific actions are required.
3. Details of the initiative
The Liquidity Add-on is designed to capture potential additional costs when liquidating portfolios, where the key features are:
Since the recalibration in November 2019, the observed market volumes in listed FX products have considerably increased. Therefore, we are updating the calibration for the liquidation group. The Liquidity Add-on parameter concerns all products in Liquidation Group PFX01 and reviewed parameters will take effect on 2 March 2020.
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 + Back Office |
| Contact: | Risk Exposure Management, tel. +49-69-211-1 24 52, fax +49-69-211-1 84 40, risk@eurexclearing.com |
| Related circular: | Eurex Clearing circular 105/19 |
| Web: | www.eurexclearing.com |
| Authorised by: | Dmitrij Senko |