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Prisma: Update of Event Risk Scenarios as of 15 June 2020

Release date: 15 May 2020 | Eurex Clearing

No. 043/2020 Prisma: Update of Event Risk Scenarios as of 15 June 2020

Eurex Clearing Circular 043/20

1. Introduction

As part of a regular review, Eurex Clearing recalibrated the event risk parameters used in its Prisma model for margining of Exchange Traded Derivatives. Effective from 15 June 2020, event risk is adjusted for Single Stock Dividend Futures as part of the Liquidation Group PEQ01. The modified parameters are included in this circular and will be incorporated in the transparency enabler files on the effective date.

2. Required action

There are no specific actions required.

3. Details of the recalibration

Event Risk is part of Eurex Clearing’s Prisma methodology. In addition to Filtered and Stress Period historical scenarios, Event Risk scenarios are part of Prisma's market risk component, and they apply to Single Stock Dividend Futures only. Event Risk aims to cover idiosyncratic scenarios which are improbable and thus exceed target confidence for the initial margin model, but which have a potential to generate large losses when they actually occur. Event Risk is parametrized by log-returns of the individual scenarios. There is one “Down” and one “Up” scenario for each Single Stock Dividend product. These shifts were recalibrated as displayed below.

 Scenario "Down"  Scenario "Up"
Old Scenario Values -28.8%  27.8%
New Scenario Values -42.0%  28.9%

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, 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
Web:www.eurexclearing.com
Authorised by:Dmitrij Senko