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Eurex Clearing
1. Introduction
The Stress Period Value-at-Risk (VaR) is an integral part of the Market Risk Initial Margin Model of Eurex Clearing’s PRISMA methodology. In order to mitigate a pro-cyclical behaviour of the Initial Margin model, the Stress Period VaR ensures a prudent margin floor during low volatility market regimes. Model parameters include the selection of historical stress period dates for the risk scenarios and the confidence level of the Stress Period VaR. Historical periods of high market volatility in the respective asset classes form the basis for the stress period date selection with the magnitude of the confidence level being calibrated to the long-term at least for 10 years, 99 per cent VaR to ensure stable flooring.
As part of the regular annual review, Eurex Clearing recalibrated the stress period parameters used in the Prisma model for margining of OTC and Exchange Traded Derivatives (ETD).
Effective 29 June 2020, the parameterisation of the stress period simulation is adjusted for all Prisma liquidation groups. The adjustment will affect:
The modified parameters are included in this circular and will be incorporated in the transparency enabler files on the effective date.
2. Required action
There are no required actions for the participants.
3. Details of the recalibration
The table A in the Attachment shows the updated weighting factors and anchor confidence levels for the stressed period VaR for every Liquidation Group.
The table B in the Attachment shows the updated stressed period dates for the stressed period VaR for every Liquidation Group.
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, FCM Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG, vendors and other affected counterparties |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration |
Contact: | Risk Exposure Management, tel. +49-69-211-1 24 52, risk@eurexclearing.com |
Web: | www.eurexclearing.com |
Authorised by: | Dmitrij Senko |