14 Aug 2025
Eurex Clearing
Eurex Clearing Readiness Newsflash | EurexOTC Clear: Change in the Burn-in Period and Update of Curve settings & Pricing of Inflation Swaps
With this Newsflash, Eurex Clearing informs you about the upcoming modification of the Burn-in Period, curve settings, and the inflation seasonality parameters effective 22 September 2025.
Eurex Clearing will adjust the configuration of the Burn-in Period used in the volatility filtering of risk factor returns, increasing it from the current uniform value of 100 to 750 for all risk factors. This modification will affect the Filtered Historical Simulation (FHS) Value-at-Risk (VaR) leading to a possible change in the initial margin.
Furthermore, as part of its ongoing enhancements to market data quality, Eurex Clearing will refine its current curve settings. These modifications are expected to have a minimal effect on initial margin requirements. Additionally, the curve settings update will impact the "MarketDataItem" field in the DV01 Sensitivity Report for IRS (CC233) & DV01 Sensitivity Report for FX (CC234). The value of this field will be updated as follows for the following curves:
Old Curve Name | New Curve Name |
DIS JPY TONAR ZC | DIS JPY TONAR ZC1 |
DIS CHF SARON ZC | DIS CHF SARON ZC1 |
DIS GBP SONIA ZC | DIS GBP SONIA ZC1 |
DIS USD SOFR ZC | DIS USD SOFR ZC1 |
DIS EUR ESTR ZC OFFICIAL | DIS EUR ESTR ZC1 OFFICIAL |
FWD EUR EURIBOR 6M ZC | FWD EUR EURIBOR 6M ZC1 |
FWD EUR EURIBOR 1M ZC | FWD EUR EURIBOR 1M ZC1 |
FWD EUR EURIBOR 3M ZC | FWD EUR EURIBOR 3M ZC1 |
FWD EUR EURIBOR 1Y ZC | FWD EUR EURIBOR 1Y ZC1 |
Finally, the seasonality parameters used within the pricing of Inflation Swaps will be recalibrated and updated. As a result, the ECAG prices of inflation swaps – as well as variation and initial margin requirements – may be slightly affected for related portfolios.
Eurex Clearing will directly notify clients anticipated experiencing major or significant changes in their initial margin values via email. Two production-like estimations are scheduled prior to the go-live date: the first will be distributed during calendar week 35 (25–29 August), and the second will be sent to affected clients one week before the go-live date.
Clearing Members interested in receiving information about negligible changes in the initial margin are encouraged to contact their Clearing Key Account Manager or reach out to client.services@eurex.com.
Kind regards,
Your Client Services Team
Visit now Eurex Support Clearing to access a wide array of support content!
Recipients: | All Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors, all FCM Clearing Members and other affected contractual parties | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Contact: | client.services@eurex.com | |
Web: | www.eurex.com/ec-en/ |
