A member of
Eurex Clearing
1. Introduction
This circular introduces amendments to the composition of the Listed Fixed Income Liquidation Group, specifically that of the two-day Liquidation Group Split, and the discontinuation of the FX Liquidation Group:
The effective date of these amendments will be 24 June 2026.
2. Required action
There is no required action for Participants.
3. Details of the initiative
There are currently 27 FX futures products and 12 FX option products cleared by Eurex Clearing AG, which have been allocated to a dedicated FX Liquidation Group (PFX01). These comprise products on 14 currencies.
The change will improve risk quantification of portfolios based on common risk factors by allocating products of the FX Derivatives Liquidation Group (PFX01) to the Listed Fixed Income Liquidation Group (PFI01) recognizing economic relationship between these products.
The FX Derivatives Liquidation Group PFX01 will subsequently be decommissioned.
The change does not amend any components of the Prisma methodology nor does it have any effect on the backward-looking margin components (Variation Margin, Premium Margin).
As is currently the case, FX Derivatives will not be considered as potential instruments to be used for cross-margining with OTC Interest Rate Swaps.
Eurex Clearing will provide for an updated list of the Liquidation Groups on the Eurex Clearing Website www.eurex.com/ec-en/ under the following link: Risk parameters.
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 or FCM Clearing Conditions of Eurex Clearing AG, as applicable.
Further information
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients, all FCM Clearing Members of Eurex Clearing AG, vendors and other affected contractual parties |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination |
| Contact: | client.services@eurex.com or risk@eurex.com |
| Web: | Risk parameters |
| Authorized by: | Dmitrij Senko |