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Prisma: Update of Time-to-Expiry Adjustment Weights, effective 1 July 2019

Release date: 21 Jun 2019 | Eurex Clearing

No. 062/2019 Prisma: Update of Time-to-Expiry Adjustment Weights, effective 1 July 2019

Eurex Clearing Circular 062/2019

1. Introduction

Eurex Clearing has introduced a Time-to-Expiry Adjustment (TEA) with Prisma Release 8.0 and launched the calculation of this margin component in January 2019 in a step-wise approach as communicated in Eurex Clearing Circular 024/19.

In line with the step-wise introduction for TEA, Eurex Clearing is updating the corresponding weighting scheme, effective 1 July 2019. The weights in the scheme will be increased from [0.165; 0.33] to [0.33; 0.66].

2. Details of the initiative

TEA improves the handling of market risks with regard to positions close to expiry. The margin effect of the expired positions will increase incrementally prior to expiry, based on the risk horizon of the liquidation group.

In order to foster market acceptance and to allow participants to potentially adjust their roll behaviour across expiries, Eurex Clearing is pursuing a step-wise introduction approach for Liquidation Groups with a risk horizon of more than two days. For a detailed description of the approach, please refer to Eurex Clearing Circular 024/19.

Step 1 of the introduction took place in January 2019. In line with the step-wise introduction for TEA, Eurex Clearing is updating the corresponding weighting scheme, effective 1 July 2019. The weights in the scheme will be increased from [0.165; 0.33] to [0.33; 0.66]. The table in the attachment provides an overview over the weighting schemes for all Liquidation Groups as well as the implementation schedule.

Attachment:

  • Table: Weighting schemes per Liquidation Group Split

Recipients:

All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors

Target groups:

Front Office/Trading, Middle + Back Office, IT/System Administration

Contact:

Risk Exposure Management, tel. +49-69-211-1 24 52, fax +49-69-211-1 84 40 or e-mail: risk@eurexclearing.com

Related Circular:

Eurex Clearing Circular  024/19

Authorized by:Thomas Laux