Eurex Clearing
1. Introduction
This circular introduces amendments to the composition of the Listed Fixed Income Liquidation Group and the discontinuation of the Corporate Bond Liquidation Group:
The effective date of these amendments will be 17 February 2025.
2. Required action
There is no required action for the Participants.
3. Details of the initiative
There are currently seven Bond Index Futures listed at Eurex Deutschland which have been allocated to a dedicated Corporate Bond Liquidation Group (PCB01):
In line with the continuous improvement of its Default Management Process (DMP), Eurex Clearing intends to combine all such Bond Index Futures with the Listed Fixed Income Liquidation Group (PFI01), with the consequence that the Corporate Bond Liquidation Group (PCB01) will be discontinued.
Main objective of this initiative is to reduce the overall number of Liquidation Groups and to reallocate the Bond Index Futures to the Fixed Income Futures, as such products have similar risk parameters facilitating the liquidation of all such products in a default scenario.
Portfolio margining will apply to Bond Index Futures and the products forming part of the Listed Fixed Income Liquidation Group (PFI01). Bond Index Futures will not be considered as a potential instrument to be used for cross-margining with OTC Interest Rate Swaps.
Eurex Clearing will provide for an updated list of the Liquidation Groups on the Eurex Clearing Website www.eurex.com/ec/en/ under the following link:
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, vendors 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/ | |
| Authorized by: | Dmitrij Senko |
