Event-Driven Risk EngineEurex Release 11.0 introduces a new event-driven risk engine. This new risk engine enables Eurex Clearing Members to receive the consolidated information they need on a more frequent basis in order to monitor their customers' trading activity. This move takes an important step towards providing this essential information in real-time. Clients will now be able to see on-screen core risk data quicker, as it will be pushed to them at ten-minute intervals. The new engine allows for integration of the VALUES API data stream into in-house risk management systems. Receiving risk management and clearing data more frequently leads to more proactive risk management, optimized intraday management of funding requirements and more cost-effective and process-efficient collateral management. Current Risk Calculation ProcessCurrently, the risk engine calculates intraday margin requirements every ten minutes. Clearing Members must subscribe to the e-mail-based Intraday Risk Information Service (IRIS) in order to receive this information. When margin shortfalls occur, Clearing Members are contacted by Eurex Clearing. In the event that Members do not reduce their margin shortfall within the stipulated time, Eurex Clearing requests additional collateral to cover the shortfall. Post Release 11.0 Risk Calculation ProcessAfter the introduction of Eurex Release 11.0, the event-driven risk engine will calculate margin requirements for derivatives products on an event driven basis. The recalculation process is driven by position updates. Every update of a derivatives position triggers a recalculation of the margin components (Spread Margin, Premium Margin and liquidating values) and of the cash balances (Variation Margin and option premium) of affected Members. In addition, theoretical prices will be recalculated on an event driven basis. The recalculation process is driven by underlying price updates. Cross asset class components - Additional Margin (including cross-margining), total margin requirement, and margin shortfall - will be recalculated on an event-driven basis as well. The recalculation process is driven by changed derivatives risk figures, collateral data or new intraday batch results for cash market products. Clearing Members will receive broadcasts and the intraday reports via the Eurex network. New Broadcast and InquiriesRisk management relevant information will be delivered over a new private broadcast stream via the VALUES API interface. Margin requirements and margin shortfall/surplus information will be broadcasted to Clearing Members on the Margin Requirement Information window. In order to receive the new broadcast stream, Clearing Members must subscribe to this specific broadcast. A new inquiry option will provide a detailed view on the leading components of the total margin requirement, which is the total margin requirement based on Member, currency and account level. The broadcasts to Clearing Members are distributed at a frequency similar to which the Intraday Risk Information Services (IRIS) is delivered. This is a frequency of approximately ten minutes. ReportsThe intraday risk reports have the naming convention RPTCI while the end-of-day reports have a naming convention RPTCC or RPTCD. In Eurex Release 11.0, the following detailed intraday risk information reports containing details on margin requirement and margin class level et cetera will be received on the Member report nodes (MISSes) approximately every ten minutes:
The content of the reports will be identical to the standard reports, but the report header will contain a timestamp (similar to IRIS reports).        |
