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Prisma: Update of Liquidity Add-On parameters put on hold

Release date: 17 Jan 2020 | Eurex Clearing

No. 007/2020 Prisma: Update of Liquidity Add-On parameters put on hold

Eurex Clearing Circular 007/20

1.    Introduction

As communicated in Eurex Clearing Circular 117/19, Eurex Clearing has recalibrated the Liquidity Add-on parameters as part of a regular review of concentration risk handling in the risk methodology. 

To facilitate necessary preparations for market participants, Eurex Clearing puts the update of Liquidity Add-on parameters on hold. A new date for the update will be communicated once preparations are finished.

Eurex Clearing supports the preparation of market participants and continues to provide the possibility to calculate impacts on margining using Cloud PME, where an additional environment was setup up with the updated parameters on the Eurex Clearing website: Cloud Prisma Margin Estimator.

2.    Required action

There are no specific requirements needed by the participants.

3.    Details of the initiative

Concentration risks are covered as part of Eurex Clearing’s Prisma methodology with a dedicated Liquidity Add-on.

The Liquidity Add-on is designed to capture potential additional costs when liquidating portfolios, where the key features are:

  • The Liquidity Add-on depends on the relative size of positions as compared to observed market volumes
  • The Liquidity Add-on depends on the current level of market risk of the respective products.

As communicated in Eurex Clearing Circular 117/19, Eurex Clearing has recalibrated the Liquidity Add-on as part of a regular review of concentration risk handling in the risk methodology. The recalibration reflects updated market volumes and behaviour of the add-on for growing positions.

The Liquidity Add-on is affecting concentrated positions in both Clearing Member as well as end client accounts. To facilitate necessary preparations, Eurex Clearing puts the update of Liquidity Add-on parameters on hold. A new date for the update will be communicated once preparations are finished.

Eurex Clearing supports the preparation of market participants and continues to provide the possibility to calculate impacts on margining using Cloud PME, where an additional environment was setup up with the updated parameters on the Eurex Clearing website: Cloud Prisma Margin Estimator.

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.


Further information

Recipients:

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

Target groups:

Front Office/Trading, Middle + Backoffice

Contact:

Risk Exposure Management, T +49-69-211-1 24 52, F +49-69-211-1 84 40, e-mail risk@eurexclearing.com

Related Circular:

Eurex Clearing Circular 117/19

Authorised by:Dmitrij Senko