Eurex Clearing
1. Introduction
The margin parameters of the exchange traded products (ETPs) are subject to Risk-Based Margining methodology and are determined daily based on the volatility of the instrument. The algorithm itself depends on several configuration parameters for each margin class including the floor value; these are determined by the instrument type and history. Effective from 2 December 2024, this configuration will be updated for many ETPs.
2. Required action
No specific action is required.
3. Details of the initiative
The margin parameter for many fully replicated ETFs and swap-based UCITS-compliant equity ETFs will decrease. On the other hand, the margin parameter is expected to increase for a limited number of non-equity ETPs. The overall impact will likely be a decrease in initial margins.
The margin parameters used for Risk-Based Margining (including those for ETFs) can be found on the Eurex website www.eurex.com/ex-en/ under the following link:
Data > Clearing files > Risk parameters and initial margins
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 and FCM Clearing Members of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Back Office | |
Contact: | client.services@eurex.com, risk@eurex.com | |
Web: | Services > Margining > Risk-Based Margining | |
Authorized by: | Dmitrij Senko |
