Eurex is to improve the efficiency of its cross margining procedures. From 23 September the derivatives exchange promises that positions in the DAX, SMI Euro DJ STOXX 50 and DJ STOXX 50 products will be netted for the calculation of margin requirements. “The bundling of margin collateral will result in a distinct reduction of the margin requirements for Eurex customers, and thus in the costs for provision of collateral,” says Eurex. “By as much as 50 percent.”
The Eurex risk-based margining method upon which the realigned Margin Groups are based takes into account the risk-reducing effect of combinations to avoid excess cover for clearing transactions by netting offsetting risks. This is done by dividing up the products into Margin Classes and Margin Groups. A Margin Class comprises all products that have the same underlying instrument. The positions are netted 100 percent here. A Margin Group comprises several Margin Classes whose underlying instruments are largely subject to the same kind of price risks.
Via Eurex Clearing AG, Eurex makes available to the market all clearing services for derivatives transactions, bonds and repos, in addition to trading. From the first quarter of 2003, Eurex Clearing will also function as the Central Counterparty for equities trading at the Frankfurt Stock Exchange (FWB Frankfurter Wertpapier Brse).