Eurex Clearing
1. Introduction
Eurex Clearing herewith informs about an update to the related Eurex Clearing Circular 121/13 (‘Additionally monitored risks: credit risk, concentration risk and wrong-way risk’) and Eurex Clearing Circular 131/13 (‘Additionally Monitored Risks: Credit Risk, Concentration Risk and Wrong Way Risk - Clarification’) with the update of certain Concentration risk thresholds per country classification as well as Wrong-way risk thresholds for “Same Country” and “Any Country”.
Effective date: 27 June 2023
2. Required action
We kindly ask you to forward this circular to all involved departments within your company.
3. Details
In this circular, Eurex Clearing informs the Clearing Members about updated Concentration risk thresholds per country classification for (3) Groups of issuers country/sovereigns, as well as Wrong-way risk thresholds for “Same Country” and “Any Country” which have been provided in the related Eurex Clearing Circular 121/13 on 25 October 2013 and clarified with Eurex Clearing Circular 131/13 on 8 November 2013.
The updated Concentration risk thresholds are shown in Table 1 below, the updated Wrong-way risk thresholds are shown in the Tables 2 and 3 below.
Table 1: Concentration risk thresholds per country classification
* Limit only applicable to collateral pool (i.e. not applicable to counterparty’s portfolio)
Table 2: Wrong-way risk thresholds for Same Country, i.e. the CM’s home country
* Due to the fact that the counterparty classification is dependent on the respective country classification, these combinations are not possible and therefore have a limit of n.a.
Table 3: Wrong-way risk thresholds for “Any Country”, i.e. all countries within the respective country classification (including the CM’s home country)
For further information, please refer to the following link: Credit, concentration & wrong way risk.
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, Basic Clearing Members, Disclosed Direct Clients, FCM Clearing Members of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration, Auditing/Security Coordination | |
Related circulars: | Eurex Clearing Circulars 121/13, 131/13 | |
Contact: | Risk Analytics, tel. +49-69-211-1 24 52, risk@eurex.com | |
Web: | www.eurex.com/ec-en/ | |
Authorized by: | Dmitrij Senko |
