Eurex Clearing
1. Introduction
On 1 July 2024, Eurex Clearing AG (Eurex Clearing) announced a change to the calculation of the Contribution Requirements by introducing a Default Fund Operational Buffer component to the calculation formula in Eurex Clearing Circular 045/24.
As a reminder, the Default Fund Operational Buffer will become effective on 2 September 2024 with the end-of-day values from 30 August 2024 via the monthly Default Fund recalibration process. The CD090 and the CD091 reports will include additional information on the Default Fund Operational Buffer in newly introduced fields in the report layer. This change to the reports will go live with the Prisma Release 14.0 and be announced in a separate Eurex Clearing Circular.
Introduction: 2 September 2024
Effective date of report changes: 18 November 2024 (Prisma Release 14.0)
2. Required action
Clearing Members are requested to be prepared to meet the new Contribution Requirements beginning of September 2024. The new Clearing Member Default Fund contributions numbers in reports CD090 and CD091 will include the new requirements including the operational buffer.
3. Details of the update
In this circular, Eurex Clearing announces the update of the initial Default Fund Operational Buffer size. The buffer will initially be set to 5 percent allowing for further Clearing Member feedback to be discussed in the next EMIR Risk Committee meeting.
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, FCM Clearing Members, ISA Direct Clearing Members, Disclosed Direct Clients, FCM Clients of Eurex Clearing AG and vendors | |
Target groups: | Front Office/Trading, Middle + Backoffice, IT/System Administration | |
| Related Circular: | Eurex Clearing Circular 045/24 | |
| Contact: | Your Clearing Key Account Manager or risk@eurex.com | |
| Web: | www.eurex.com/ec-en/ | |
| Authorized by: | Dmitrij Senko |
