Eurex Clearing
1. Introduction
With Eurex Clearing circular 094/19, Eurex Clearing announced the intention to align bond margin parameters across all cleared venues: Deutsche Börse Cash Market, Eurex Repo (incl. GC Pooling) and Lending CCP.
This circular is intended to announce the extension of the bond margin parameter methodology to the calculation of collateral haircuts. The aligned collateral haircuts will become effective by the end of 4 October 2021.
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2. Required action
With the effective date, the following files that are available for download on the Eurex Clearing website will be replaced or amended:
The Excel spreadsheet under General Parameters, Collateral Acceptance and Haircuts, "AdmissibleCollateralSecurities.xls", will be replaced with a document named "AdmissibleCollateralSecurities.pdf" by 4 October 2021. This new document will provide an overview of acceptance criteria for various collateral types in a tabular form. An example file is provided in the Attachment.
The general format of the offered file under General Parameters, Admissible securities, "Admissiblesecurities.txt", remains unchanged with the exception that column “Security Type” will show one general security type “BBON” for all fixed income positions.
Clearing Members are requested to review potential dependencies on any of the above-mentioned files.
3. Details
Eurex Clearing envisages to align the treatment of bonds across its clearing services reducing risk fragmentation on one hand while increasing transparency on the other hand. To achieve consistency between the treatment of margin parameters and collateral haircuts, the enhanced haircut calculations will be using the bond margin methodology along the dimensions of interest-, credit- and liquidity risk.
This allows for a more granular coverage enhancing the risk adequacy across the set of eligible bonds. While using the same methodology, calibration will be specific to haircuts.
The impacts on collateral values were simulated and assessed to be mostly insignificant. In case of any significant reductions due to the change in calculation methodology, we will get in contact with Clearing Members directly.
Attachment:
Further information
Recipients: | All Clearing Members, Basic Clearing Members, FCM Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | Risk Exposure Management, tel. +49-69-211-1 28 28, risk@eurex.com | |
Related Circular: | Eurex Clearing Circular 094/19 | |
Web: | Services > Risk parameters | |
Authorized by: | Dmitrij Senko |
