Eurex Clearing
Dear Client,
With this Newsflash, we would like to provide follow-up information to Eurex Clearing Circulars 019/23, 036/23 and 038/23 as well as to Eurex Clearing Readiness Newsflash from 27 April 2023.
As previously communicated in Eurex Clearing Circular 019/23, Eurex Clearing will enhance the tail modelling in the Initial Margin methodology for both ETD and OTC derivatives as of 3 July 2023 (ETD: within Prisma Release 12.1; OTC: with go-live of OTCClear Release 15.0). Therefore, as outlined in the Eurex Clearing Readiness Newsflash from 27 April 2023, an additional environment of the Cloud Prisma Margin Estimator (CPME) had been set up with the updated configuration to provide Members with the possibility to calculate impacts on margining as resulting from this model change.
On 13 June 2023, this additional Cloud Prisma Margin Estimator (CPME) environment will be updated to also reflect the upcoming Liquidity Add-On parameter update for OTC and ETD derivatives as previously communicated in Eurex Clearing Circulars 036/23 and 038/23. To provide Members with a consolidated view on margin impacts as resulting from the changes that are to take effect on 3 July 2023, the updated CPME environment will allow to calculate margin figures using both the enhanced tail scaling and the updated Liquidity Add-On parameters with validity as of 9 June 2023 (end-of-day) – for both ETD and OTC derivatives.
If you have any further questions or comments, please send an e-mail to client.services@eurex.com.
Kind regards,
Your Client Services Team
Meet the new clearing admission service C7 CAS (Client Administration Service)!
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Back Office | |
Related circulars: | Eurex Clearing Circulars 020/22, 085/22, 010/23, 019/23, 036/23, 038/23 | |
Related newsflashes: | Eurex Clearing Readiness Newsflashes from 4 October 2022 and 27 April 2023 | |
Contacts: | ||
Web: | Additional instance of Cloud Prisma Margin Estimator (CPME) with updated configuration |
