28 Jul 2020

Incorrect OTC Variation Margin and PAI Calculation on 27.07.2020 – Correction payments on 30.07.2020

Please be informed that on 27.07.2020 there was an incorrect MTM-1_exCF for trades with a cashflow settlement on the 27.07.2020 in the CC203 Variation Margin Report which led to an incorrect Variation Margin Payment and incorrect PAI on this day for some members.

The correction will be booked for affected members on 29.07.2020 and settle on 30.07.2020. We will instruct these correction bookings (on collateral pool level) with either Transaction Type 251 OTC Adaptation PAID (in case of a debit instruction) or 252 OTC Adaptation RECEIVED (in case of a credit instruction).

We apologize for any inconvenience caused.

In case more detailed information is required or you have any questions, please do not hesitate to contact our OTCClear Team (phone: +49-69-211 12828 / e-mail: otcclear@eurexclearing.com).