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24 May 2022

Eurex Clearing

Prisma: Annual update of the parameters of the Stress Period VaR margin component for all ETD and OTC derivatives effective 20 June 2022

Eurex Clearing Circular 038/22 Prisma: Annual update of the parameters of the Stress Period VaR margin component for all ETD and OTC derivatives effective 20 June 2022

1. Introduction

The stress period value-at-risk (VaR) is an integral part of the market-risk initial-margin of Eurex Clearing’s Prisma methodology. To mitigate potential pro-cyclical behavior of initial margins, the stress period VaR serves as a prudent margin floor primarily relevant during low volatility market regimes. Model parameters comprise the selection of historical stress period dates for the risk scenarios and the quantile level on which the margin floor is evaluated and which is calibrated to match a long-term target VaR.

As part of a regular annual review, Eurex Clearing recalibrated the stress period parameters used in the Prisma model for margining of Exchange Traded Derivatives (ETD) and Over-The-Counter Derivatives (OTC).

Effective 20 June 2022 and for all liquidation groups, the recalibration will affect:

  • Stress period dates
  • Stress period confidence level

The recalibrated parameters are attached to this circular and will be incorporated in the transparency enabler files on the effective date.

Production start: 20 June 2022

2. Required action

There are no required actions for participants. The stress period VaR parameter revision will be automatically reflected in the required initial margin amounts at the start of business on the production start date. All model parameters are distributed in the usual manner as part of current Member reporting.

3. Details

Please refer to the tables in the Attachment which summarize the relevant Stress Period VaR parameters for all the liquidation groups.

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 or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
 

Attachment:

  • Relevant Stress Period VaR parameters for all liquidation groups


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:

Your Clearing Key Account Manager or client.services@eurex.com

Web:

www.eurex.com/ec-en/

Authorized by:

Dmitrij Senko