Friday December 29 2017
News Source: Global Exchanges
Focus: Other
Type: General
Country: European Union
Eurex Clearing has implemented a default management process to handle the default of one or more of our Clearing Members. Both the default management process and the margin methodology Eurex Clearing Prisma are based on a liquidation group set-up.
A liquidation group contains products with similar risk characteristics which can be liquidated simultaneously. For each liquidation group, a dedicated holding period has been defined, which indicates the time needed to finalise the default management process for a portfolio in such liquidation group.
Identical holding periods are used as input factors for the margin calculation, to ensure that given margin offsets persist within the default management process.
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