Service Navigation

Prisma: Update of stress period VaR Component parameters effective 7 June 2019

Release date: 31 May 2019 | Eurex Clearing

No. 055/2019 Prisma: Update of stress period VaR Component parameters effective 7 June 2019

Eurex Clearing Circular 055/2019

As part of a regular review, Eurex Clearing recalibrated the stress period parameters used in its Prisma model for margining of OTC and Exchange Traded Derivatives.

Effective 7 June 2019, the parameterisation of the stress period simulation will be adjusted for all Prisma liquidation groups. The adjustment will affect:

  • stress period scenarios
  • anchor confidence levels of stress period VaR components

The modified parameters are listed in the Attachment and will be incorporated in the transparency enabler files on the effective date.

Please refer to Table 1 in the Attachment for the new stress periods.

Table 2 in the Attachment shows the updated weighting factors and anchor confidence levels for the stress periods.

Recipients:All Clearing Members, Basic Clearing Members, Disclosed Direct Clients of Eurex Clearing AG and vendors
Target groups:

Front Office/Trading, Middle + Back Office, IT/System Administration

Contact:

Risk Exposure Management, T +49-69-211-1 24 52, F +49-69-211-1 84 40, risk@eurexclearing.com

Authorized by:Thomas Laux